Resignation

Its bye-bye DBS…Well in spirit and on paper atleast. I will continue to work during my notice period of one month and 8th June will be my last working day.

 Travel plans: I plan to leave for NYC on the 14th of June and meet some of my friends there. One of the advantages of going to IIT-IIM has been that i am not short of friends anywhere on the planet! Its a shame though that most of my friends in the US are on the east coast and i will mostly be on my own in California. I then fly to Stanford on the 19th and will straight away move into my aptmt for the summer.

Visa Application: This is a tricky one for me. Since i am an Indian citizen i might be asked to go back to India and apply for a Visa. I really want to avoid that. Plus it makes sense for me to apply in Singapore given that i have been here for a year now. If ever there was a genuine case, it is mine

Some really funny questions i was asked in recent weeks while filling forms:

1. Do you seek to enter the US to engage in subversive or terrorist activities? (Wonder who has answered that with a ‘yes’!)

2. Are you suffering from a terminal illness? (Excuse me! would i spend my last days studying math!)

Courses of Study

As promised, here i am with a listing of some interesting courses that i plan to do in the program. The dilemma i have here is whether to decribe these courses or to just list them. Keeping in mind the fact that most of the titles are self-explanatory and that i will be writing about my learnings from them in detail later on, ive decided to stick to a listing for now.

A lot of people have the misconception that Stanford MS-FM has an inordinate amount of math. I dont think that is true. I believe that we will be doing all the basic math that we will need as financial engineers. Plus the plethora of electives at the GSB and courses from the ECON and MS&E departments make this a very well rounded program.

Quite honestly though, i prefer a little extra mathematical rigor as that is the part that i would find harder to learn once im working.

 Summer 2007

Introduction to Mathematical Finance

Time series Modelling and Forecasting

Introduction to Stochastic Processes (Stock prices here i come!)

Applied Multivariate Analysis

International Investments

Autumn 2007

Stochastic Processes

Partial Differential Equations

Object Oriented Programming from a modelling and simulation perspective

Monte Carlo Simulations

Investment Science Honors

Theory of Probability (Hoping to build a really strong base here)

Workshop in Quantitative Finance

Winter 2008

Debt Markets (Heard so much about this one, can’t wait to get started)

Derivative Securities (John. C. Hull – A course on the derivatives bible!)

Introduction to Stochastic Differential Equations

Partial Differential Equations of Applied Mathematics

Mathematical Finance

Advanced Topics in Financial Engineering

Spring 2008

Computation & Simulation in Finance

Credit Risk: Modelling and Management

Statistical Modelling in Financial Markets

Topics in Financial Mathematics: Fixed Income Models

Entrepreneurial Thought Leaders Seminar (In the heart of Silicon Valley!)

Well im a trifle dissapointed that my budget and time constraints wont allow me to take many of the other interesting courses i wanted to, but then lets not be too greedy!

Preparing for the Big move!

The preparations for the big move to Cali have started off in full swing. I am supposed to join in the Summer qtr in June and so have to do everything much sooner than my other classmates who will be joining us in September for the Autumn qtr.

Financing – Stanford MSFM is the cheapest amongst all the top Financial engg/Math programs. International MSFM students this year are supposed to provide proof of funding for $56,105. The number of different courses the program offers for this amount makes for great value-for-money!

Housing – Stanford graduate housing allotments follow a lottery system and i have to submit my preferences by the end of this month. I really like Escondido Village (EV). Its a huge establishment and most of my classmates are also likely to be around. Rains is supposed to be the happening place on campus, but the rates are a bit steep for my liking.

Courses – The program requires me to complete 45 credits and i plan to do 10 of them in the summer. Its really a very short term lasting only about 2 months and i dont want to unnecessarily overburden myself initially. Plus the fee for 8-10 credits is a good $4000 less than a 11-18 credit schedule! Following this schedule would mean that i will end up doing 10 credits in 3 of the terms and 15 in one. Although i just might get greedy and squeeze in upto 3 more. Plus theres always an option to audit some courses in case i really want to.

Next Post: Courses on offer

Breaking News: Plans for the revised GRE General Test cancelled!

Financial Engineering or Financial Science?

I first heard the words “financial engineering” in 1992, and I thought they were a poor descriptor of the field I knew. I had been on Wall Street for seven years, and the contents of the few available textbooks we practitioners typically owned – Cox & Rubinstein’s Options Markets and Jarrow & Rudd’s Option Pricing – looked more like science than engineering to me. But inappropriate though I thought the name was, it’s become accepted, and, I now think, more or less rightfully so.

-Emanuel Derman

Heres an interesting article in Financial Engineering News that tries to answer the question, What is Financial Engineering?

So is it Science? Is it Math? Is it Engineering? Or Is it an Art?

First Post

Thats it! The long drawn application process is over and the decision has been made in favor of the MS in Financial Mathematics at Stanford University. I will be leaving for Stanford sometime in June. Classes for the summer term start on June 26th, 2007 and i plan to reach atleast a week in advance and get settled in.

Although this is a financial mathematics blog i plan to keep it simple. Someone famous once said, “If someone can’t explain to you in 5 minutes what they do, they probably don’t understand it themselves.” On that note, i hope that anybody reading this blog should be able to follow what i intend to say.

 This should be especially helpful for people who are looking towards a career in Quantitative finance or want to know more about the Financial Math program at Stanford University.

 Until next time, as a primer, here’s what Wikipedia has to say about Mathematical Finance.