Joy Pathak
Swaptionz
- Joined
- 8/20/09
- Messages
- 1,328
- Points
- 73
It’s been a while since my last post. It has been quite the semester. I am currently visiting my parents and girlfriend in Canada during our winter holidays. I figured I would take the time to talk about my first semester in the Baruch Financial Engineering program.
The first semester included taking 4 graduate level courses. These were Stochastic Processes in Finance, Numerical methods in Finance, Object Oriented programming in Finance and Pricing of Financial Instruments. All the courses were heavy on the quantitative side. The Pricing course included a strong exposure to lots of financial products which was a good relief from the heavy math in the other courses. Every course included lots of programming (C++ especially) except Stochastic Processes class.
The most challenging class definitely had to be Stochastic Processes. There is a big focus on Measure Theory and Real Analysis in this course. The second part of this course will be next semester which is supposed to include a significant amount of Stochastic Calculus and finance exposure. After going through this course, martingales, sigma-algebra, LDCT, MCT and Brownian motion have been embedded into my brains pretty deeply.
One of my favorite classes had to be the Pricing class. We had an amazing professor who had a lot of deep industry knowledge about various products. I definitely got exposure to a huge range of financial products in this course and how to price them. I can now effectively price several exotic options, vanilla options, FRA, FRN, CDS, Interest Rate Swaps, FX Swaps, etc. The course also gave me a lot of exposure to various risk management parameters like Delta, Gamma, Vega, Theta, etc. The course included a lot of coding in Excel/VBA.
The highest amount of programming in the course was done in two courses: Numerical Methods in Finance and Object Oriented Programming. Numerical Methods mostly included lots of Monte Carlo simulation and Finite Difference methods to price options. The course went through several finite difference methods which included Forward and Backward Euler, Crank Nicholson and many more. We priced vanilla options with dividends, without dividends, with discrete dividends, with continuous dividends, exotic options, and many more products. This course included a significant amount of algebra, differential equations and programming. All the programming was done in C++. Our final basically included pricing a Barrier option and an American option.
The last, but not the least, was Object Oriented programming in finance. This course included teaching us the intricacies of C++ at a much technical level. It included us learning about classes, pointers, polymorphism, STL, factories, etc and implementing various pricing procedures using optimized code. The course was taught by a programmer who works on the prop desk at Bank of America.
Well enough about courses. I have been applying for summer internships and full-time positions extensively. I also have been networking a lot by going to several conferences in the area. The fruits of networking and applying have already been paying off. I recently had the pleasure of interviewing with a large British bank for an internship, a private equity firm for a full time position, 2 hedge funds for an internship, a large Japanese bank for a full time position, a full time position at a large American BB, a full time position at a prop firm and a few other positions. I have a few offers now from the interviews. I cannot give out any more details for obvious reasons right now. Once it is all confirmed and set I will be sure to let you guys know.
For job seekers out there I will give you some information in how I secured these interviews. Mostly what I did was have an effective resume and just applied on websites and job boards. I also sent out several emails that I have collected over the last few months. These emails are mostly of people I met at conferences and events around New York. In addition, I contacted people who were part of the fraternity I am a member off from Wisconsin that are in finance, especially in New York. I think one of the biggest help in me getting interviews was probably the Resume Book that my professor sent to firms for internship positions. Other than that, I am sure some luck helped me too. I just stayed positive and highly pro-active and made sure I applied everywhere I could think off.
These two articles helped me quite a bit:
The social life at Baruch is absolutely great. My classmates and professors usually get together for drinks once a week. We even went to several famous spots on school field trips in New York which included the Metropolitan Opera, Museum of Natural History, Central park, etc.
I feel very blessed past few months. I have had the chance to make some great friends in the program, got to meet some great people in the industry, and learn a lot. I am looking forward to next semester. I will be taking Stochastic Calculus 2, Numerical Methods 2, Risk Management, and am still debating between Market Microstructure and Structured Finance. I would love to learn more about the role that exchanges play in trading. At the same time being an engineer, I love the notion of “creating” new products. Right now Structured Finance seems absolutely dead, but I do see a strong come-back in the near future. It is a hard decision. Let me know if you guys have any tips?
Until next time...
The first semester included taking 4 graduate level courses. These were Stochastic Processes in Finance, Numerical methods in Finance, Object Oriented programming in Finance and Pricing of Financial Instruments. All the courses were heavy on the quantitative side. The Pricing course included a strong exposure to lots of financial products which was a good relief from the heavy math in the other courses. Every course included lots of programming (C++ especially) except Stochastic Processes class.
The most challenging class definitely had to be Stochastic Processes. There is a big focus on Measure Theory and Real Analysis in this course. The second part of this course will be next semester which is supposed to include a significant amount of Stochastic Calculus and finance exposure. After going through this course, martingales, sigma-algebra, LDCT, MCT and Brownian motion have been embedded into my brains pretty deeply.
One of my favorite classes had to be the Pricing class. We had an amazing professor who had a lot of deep industry knowledge about various products. I definitely got exposure to a huge range of financial products in this course and how to price them. I can now effectively price several exotic options, vanilla options, FRA, FRN, CDS, Interest Rate Swaps, FX Swaps, etc. The course also gave me a lot of exposure to various risk management parameters like Delta, Gamma, Vega, Theta, etc. The course included a lot of coding in Excel/VBA.
The highest amount of programming in the course was done in two courses: Numerical Methods in Finance and Object Oriented Programming. Numerical Methods mostly included lots of Monte Carlo simulation and Finite Difference methods to price options. The course went through several finite difference methods which included Forward and Backward Euler, Crank Nicholson and many more. We priced vanilla options with dividends, without dividends, with discrete dividends, with continuous dividends, exotic options, and many more products. This course included a significant amount of algebra, differential equations and programming. All the programming was done in C++. Our final basically included pricing a Barrier option and an American option.
The last, but not the least, was Object Oriented programming in finance. This course included teaching us the intricacies of C++ at a much technical level. It included us learning about classes, pointers, polymorphism, STL, factories, etc and implementing various pricing procedures using optimized code. The course was taught by a programmer who works on the prop desk at Bank of America.
Well enough about courses. I have been applying for summer internships and full-time positions extensively. I also have been networking a lot by going to several conferences in the area. The fruits of networking and applying have already been paying off. I recently had the pleasure of interviewing with a large British bank for an internship, a private equity firm for a full time position, 2 hedge funds for an internship, a large Japanese bank for a full time position, a full time position at a large American BB, a full time position at a prop firm and a few other positions. I have a few offers now from the interviews. I cannot give out any more details for obvious reasons right now. Once it is all confirmed and set I will be sure to let you guys know.
For job seekers out there I will give you some information in how I secured these interviews. Mostly what I did was have an effective resume and just applied on websites and job boards. I also sent out several emails that I have collected over the last few months. These emails are mostly of people I met at conferences and events around New York. In addition, I contacted people who were part of the fraternity I am a member off from Wisconsin that are in finance, especially in New York. I think one of the biggest help in me getting interviews was probably the Resume Book that my professor sent to firms for internship positions. Other than that, I am sure some luck helped me too. I just stayed positive and highly pro-active and made sure I applied everywhere I could think off.
These two articles helped me quite a bit:
- How to get quant jobs -advice from Wall street executives
- List of firms that offer quant internships and jobs
The social life at Baruch is absolutely great. My classmates and professors usually get together for drinks once a week. We even went to several famous spots on school field trips in New York which included the Metropolitan Opera, Museum of Natural History, Central park, etc.
I feel very blessed past few months. I have had the chance to make some great friends in the program, got to meet some great people in the industry, and learn a lot. I am looking forward to next semester. I will be taking Stochastic Calculus 2, Numerical Methods 2, Risk Management, and am still debating between Market Microstructure and Structured Finance. I would love to learn more about the role that exchanges play in trading. At the same time being an engineer, I love the notion of “creating” new products. Right now Structured Finance seems absolutely dead, but I do see a strong come-back in the near future. It is a hard decision. Let me know if you guys have any tips?
Until next time...
