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Given the recent problems on Wall Street and in banking, looks like the world may be moving toward "Big Data" analytics. This will provide a new venue for MFE graduates to seek employment outside of finance. Mayor Michael R. Bloomberg and Columbia University President Lee C. Bollinger...

No more floor trading for coffee/sugar/cocoa! Everything on computer! http://www.wallstreetandtech.com/exchanges/240004469

Many courses can have similar names but quite different content. It would be very helpful to examine the syllabus, or at a minimum, to find out the name of the textbook that the instructor is going to use for each course you are considering. If you do an MFE, you are going to be bombarded...

These are the key points of the program: http://www.frankfurt-school.de/mqf http://www.frankfurt-school.de/content/en/education_programmes/master/mqf.html http://www.frankfurt-school.de/content/en/education_programmes/master/mqf/mqf_employers.html Among others, faculty includes Jan Vecer and...

As mentioned above, Harvard’s School of Engineering and Applied Sciences (SEAS) does not appear to have faculty with “quant finance” focus. Students who have wished to pursue this area in the past have been served by the Department of Statistics, which for a number of years has offered an...

Harvard’s School of Engineering and Applied Science (SEAS) and the Graduate School of Arts and Science (GSAS) have just announced a new one-year Master of Science (SM) program in Computational Science and Engineering (CSE) to begin in Fall 2013, and a two-year Master of Engineering (M.E.)...

There's a new book written by former derivatives trader John Coates, now a neuroscientist at Cambridge University, which finds scientific evidence for correlation between testosterone levels and trading success. The Hour Between Dog and Wolf: Risk Taking, Gut Feelings and the Biology of Boom...

The emphasis on R is most likely because this program at UWash was recently started by Doug Martin, the original creator of S-Plus, which over the years has been sold several times (originally Stat-Sci, then Mathsoft, then renamed Insightful, and now part of TIBCO, where the product it is known...

If you have opted to install it, cygwin should include a program called "xemacs", which runs emacs under an X-server, with all the mouse-friendly features that you prefer. However, you do have to configure the X-server and the application default settings in order to get the windows the way...

Although I am a US native who doesn't need to concern myself with these things, it is my understanding that foreign students are eligible to take (paying) off-campus internships of up to 20 hours per week after they have completed two full semesters in the USA. (During the summer and other times...

Well, at the college where I did both MS Stats and MS Financial Mathematics (simultaneously!), the way that the tuition works, one only pays for four courses each semester -- so the fifth (and the sixth, for those of us who are totally crazy) are FREE. Of course, this arrangement only applies to...

You do want your math to be fresh. If you are working in a field where you don't use it much (or, at all) then after a year you would probably start to forget things that you have learned now. To improve your skil lset, you might want to look into something like the Baruch Pre-MFE program...

The Stony Brook program was started by Robert Frey, who spent many years working for Jim Simons at Renaissance Technologies, which is located just down the road, and is now run by Zari Rachev, who has written numerous books and articles in the field...

Note that in order to be eligible for the (much lower) in-state tuition, you need to be a New York resident for a full year before starting classes at CUNY. If you are moving to New York from elsewhere and starting classes right away, you would be subject to the higher out-of-state tuition rates.

It's interesting that Rutgers would grant you both degrees with only one extra semester of coursework. Would some of your courses get counted toward both degrees? I ask this because a number of years ago I did both a Masters in Statistics and a Masters in Financial Math (simultaneously, in...

Install setup.exe from http://www.cygwin.com/ Then run setup.exe, which will give you a screen from which you need to select which mirror site from which to download cygwin, and a menu which will show a tree of all the various downloadable modules, of which there are many. If you choose to...

If you reside anywhere within New York City (Manhattan, Brooklyn, Queens, Bronx, Staten Island) then you have to pay the NYC resident tax, which is actually closer to 4%. The only exception would be if you come here on a diplomat (A) visa, or an international organization (G) visa (for example...

As a publicly-funded institution, Baruch is certainly much less expensive than CMU, especially so for those who are eligible to pay the New York State resident tuition rate. The CMU MSCF degree will cost about $75,000 in tuition alone. For students starting in 2012, the Baruch degree will...

Thanks, Ken -- I hadn't seen that one before.

The application of PCA to level/slope/curvature of bond yield curves all stems from: Litterman and Scheinkman, "Common Factors affecting Bond Returns", http://www.princeton.edu/~joses/pp/Common_F.pdf published in 1991 in the very first issue of Journal of Fixed Income. Although they...

Just remember that the larger the size of the class at your respective school, the larger the number of students against whom you are competing directly for interviews and jobs. If your program has 70 or 120 people, it may be more difficult for you to obtain the attention of prospective...

Don't ignore the possibilities in New Jersey which are close to the PATH train (Hoboken, Jersey City, etc.) http://www.panynj.gov/path/maps.html There you may be able to find some relatively inexpensive accommodation. I know several students (primarily from India) who lived near the "Journal...

Remember that the interview not only measures your math knowledge, but also your ability to communicate in English. A candidate could be a technical/quant wizard, but if he/she can't carry on a conversation in English, it might be very difficult getting through the program and interviewing...

Some very well-known economists have come through those schools: http://en.wikipedia.org/wiki/Xavier_Sala-i-Martin http://www.econ.upf.edu/~mcolell/en/index.html However, their focus is more on other areas of economics, apart from Finance. If you are interested in a masters in finance...

I didn't say that Vassar was "accepting" them. Rather, Vassar is claiming that they had erroneously advised the students of an incorrect admissions decision. Your argument is suggesting that a student would apply early decision to his/her first choice college, be admitted to that school, but...

Also, some law schools have been known to recruit students by awarding them "merit scholarships" which they can retain only if they maintain a specified grade point average -- without informing them that the school's rigid grading curve ensures that many such students will lose their scholarship...

It combines the resources of two well-respected universities: Universitat Pompeu Fabra (UPF) and Universitat Autònoma de Barcelona (UAB).

aaronhotchner, Clearly you don't know what you are talking about. Read the binding agreement: https://www.commonapp.org/CommonApp/Docs/DownloadForms/2012/2012EarlyDecision_download.pdf "Early Decision (ED) is the application process in which students make a commitment to a first-choice...

The issue here is that all of these particular students applied to Vassar under an "Early Decision" program, whereby at the time of application, such candidates have each signed a binding commitment to attend that school if admitted. In other words, "If you admit us, we shall come." (Students...

The two Chief Risk Officers for MF Global (Michael Roseman and Michael Stockman) will testify before a committee of the US Congress on Thursday, February 2nd starting from 10am EST. http://dealbook.nytimes.com/2012/01/31/mf-global-risk-chief-once-saw-euro-bets-as-acceptable/ Mr. Stockman's...

The material covered in the "Advanced Engineering Math (mostly PDE)" course is going to form a major part of your studies in any MFE program. You might want to consider taking some refresher course, or enrolling NOW in a course at a local college on a non-matriculated/post baccalaureate basis...

There is available space on Roosevelt Island, which the city is providing. I see an issue regarding transportation, if many students and faculty will be traveling to and from the campus on a daily basis (i.e., if they are not residing on the island, in either the existing apartments or in...

In general most Masters programs are rather expensive. If Martinn is having difficulty financing his bachelor's degree in his home country, then it would be logical that a MFE in a different country would be prohibitively expensive, given his and his family's financial resources. The logical...

The fall Matlab programming contest is underway! http://www.mathworks.com/matlabcentral/contest/contests http://www.mathworks.com/matlabcentral/contest/contests/34/rules The competition ends at noon (EST) on November 9th.

Logically, this sentence doesn't make sense: "The Admissions Committee reviewed over 1100 applications for the Fall 2011 incoming class, offering admission to about one applicant for every 10 places in the class."...

http://www.amctv.com/shows/mad-men http://en.wikipedia.org/wiki/Mad_Men

From the GRE Guide (emphasis added by me): Effective November 1, 2011, score reports for individuals who tested prior to August 1, 2011, will contain estimated Verbal Reasoning and Quantitative Reasoning scores on the new 130–170 score scale in addition to the Verbal Reasoning and Quantitative...

"Concordance" mapping old scores to new scores is here: www.ets.org/gre/concordance http://www.ets.org/s/gre/pdf/concordance_information.pdf

If you can get into a top school, you should plan on spending your first year focusing on mastering the material in the 3 courses (micro, macro, econometrics.) These courses will easily consume all of your waking hours and then some. They are much much much much much harder than whatever you...

The curriculum for the first year of a Ph.D. program in economics is quite standard across universities (at least, within the US): two semesters of microeconomic theory, two semesters of macroeconomic theory, and two semesters of econometric theory. The level of mathematics you would need would...

My understanding is that Columbia's MAFN program is more selective -- after admitting the top applicants, those who were still strong candidates but did not make the MAFN cut are often asked "Sorry, we can't admit you to MAFN. Would you like to do the MA in Statistics instead?" Thus, their...

Well, I guess I attended way-way-way back. Around 2005, the companies I mentioned above were certainly present at the event.

Yes, for an individual option, when the delta is zero, everything will be zero -- including the option price. It will be deep out-of-the-money. This is a trivial case. The OP comment refers to a "delta-neutral portfolio." You have multiple positions, which individually have non-zero deltas...

Bring up the individual bond on your Bloomberg terminal, then use command "HP <go>" to obtain a list of Historic Prices. You may need to adjust the dates in order to obtain the prices that you want. The prices given will be the clean prices.

Curious to see Ernst & Young listed twice (obviously a typo.) Also noteworthy: the omission of companies which used to recruit there in the past: e.g., Barclays, Blackrock, and others. And annoying: the proliferation of headhunters on this list.

There are several separate admissions offices at Baruch -- the Zicklin School of Business, which has one office which handles their regular MBA & MS admissions and a separate office which handles their executive MBA & MS admissions; the School of Public Affairs, which offers degrees in public...

I don't believe that Columbia would allow you to count an individual course toward both degrees -- if you really want to get two MA degrees from Columbia, you would need to take 20 courses and pay tuition for 4 "residence units," which is the unusual way in which Columbia GSAS assesses tuition...

An important consideration is the length of each program. At Harvard, the AM in Statistics requires that you take 8 courses, 4 each semester. That means that you start the program in late August and you receive your degree in late May. The problem with this is the absence of any internship...

Died on Monday at his home in Stanford, Calif. He was 84. Credited with coining the term "Artificial Intelligence" while at Dartmouth. Co-founder of the Artificial Intelligence Laboratory at MIT. Inventor of LISP and "Garbage Collection". Founder of the Stanford Artificial Intelligence...

Penn State has a highly regarded Statistics Department -- that's where C.R. Rao has been since 1988 (currently emeritus, though) http://science.psu.edu/news-and-events/2011-news/Rao1-2011 http://en.wikipedia.org/wiki/Calyampudi_Radhakrishna_Rao...

Beware that headhunters who work on a contingency basis will claim to "own" you with respect to a referral to a firm for a specific period of time -- it could be 3 months; it could be longer. Depending on the specifics of the agreement between the headhunter and the employer, this could mean...

He earned all his degrees at Harvard in the 1960s. Here's his obituary in the Harvard Crimson newspaper: http://www.thecrimson.com/article/2011/10/17/dennis-ritchie-c-programming/ Sadly, the writer misspelled both "Turing" and "Kernighan"...

No, if you take a course in Complex Variables, you won't be covering PDEs, and you may or may not even get to Fourier transforms -- you have to look closely at the syllabus. Here's a popular text for a course in Complex Variables...

Say you were to pursue a Ph.D. in Operations Research (or, what you folks in England seem to call "Operational Research.") That's a much broader field than Financial Engineering, which many consider to be a subfield of O.R. If the market for quants in finance remains sour, with an O.R. degree...

It's non-financial. The department is "Applied Physics and Applied Math", and the focus is on Applied Physics. They also have a recent program in "Medical Physics." They run a big Plasma Physics lab at Columbia. I know several very bright people who came through that program and eventually...

Sic transit gloria mundi

One year ago Michael Lewis visited Greece and wrote an interesting article in Vanity Fair about their debt problems. It was discussed on Quantnet at that time: http://www.quantnet.com/forum/threads/beware-of-greeks-bearing-bonds.4597/ The article still makes for an entertaining read...

The items ending with _VG indicate implied volatility with respect to the Variance Gamma model. The items referring to "DELTA" indicate an option with a strike chosen so that its delta matches the specified value. For example, "25DELTA" means, Find the strike which, under current market...

Note that there aren't many Ph.D programs which specifically designate their degree as "Financial Engineering." To find broader Ph.D. programs in which you could choose to specialize in this field, you might want to look at programs in Operations Research, for example.

When I posted this item, the registration system showed 40 "available places" for students at the $100 rate. Now that number has been reduced to 32. Ergo, 8 students have signed up since Friday evening.

FYI: This event was just announced. http://www.cfe.columbia.edu/announcements/CFEWorkshop2011/index.html 18th Annual Workshop on Financial Engineering: High Frequency Trading and Market Microstructure 10/21/2011 18th Annual Workshop on Financial Engineering: High Frequency Trading and...

Sorry, but the data seems to disagree with you -- the GPAs at Ivy league (and other private) universities tend to be significantly higher than at public schools. http://www.gradeinflation.com/ http://www.csmonitor.com/Commentary/Opinion/2009/0324/p09s02-coop.html...

Perhaps the schools that did not want to participate were those that would have earned low rankings if they had chosen to participate, so they made their decision accordingly...

It's extremely competitive. A top school may receive over 300 applications and may select about 5 people. http://www4.gsb.columbia.edu/phd/learnmore/statistics Good luck!

If you have studied Latin and Greek, then the etymology (how's that for a GRE word?) of many English words becomes clearer. http://www.amazon.com/Greek-Latin-Roots-English/dp/0742547809

Learning lots of English words may seem to be a "waste of time" for those pursuing quantitative fields as are we, but remember that the same test is also taken by English majors and other humanities types who are seeking to do Ph.D.s in their respective fields. Those people may have similar...

Hugely different: Greece could devalue the Drachma, but they can't devalue the Euro. By devaluing , it would become less expensive for them to repay Drachma-denominated debt (because they would be paying in a currency that has suddenly become cheaper.) But, if you are a foreign (non-Drachma...

While there is a weekly index of leading indicators, assembled by the Economic Cycle Research Institute: http://www.businesscycle.com/reports_indexes/allindexes#index_WLIW_f...

Remember that Anheuser-Busch (makers of Budweiser) is now owned by the Belgians... http://en.wikipedia.org/wiki/Anheuser-Busch and Coors long ago sold out to the Canadians... http://en.wikipedia.org/wiki/Coors_Brewing_Company while Miller is now owned by the British...

University of Michigan Consumer Sentiment Index http://en.wikipedia.org/wiki/University_of_Michigan_Consumer_Sentiment_Index http://www.sca.isr.umich.edu/main.php http://thomsonreuters.com/products_services/financial/financial_products/a-z/umichigan_surveys_of_consumers/

Competition for admission to PhD programs in Economics is quite keen, where there are many people with strong backgrounds in Economics and as well as Mathematics seeking admission. Someone with no such background would face formidable odds. If you do seek to go this route, perhaps your best...

Here's an example of a top economic consulting firm: http://www.brattle.com/ As you can see from their website, typical engagements include expert testimony for lawsuits and other matters where they are often asked to formulate a measure of economic damages on behalf of their client, and...

...and occasionally there are those demented few who are 40+

Get a Ph.D.

Yes, Univ. of Michigan is one of the top public universities in the country, and carries a high profile. If you get your degree from there, no one will care that you transferred in. Although the tuition at U of M is about 50% higher than your current school...

No problem, Jason, I was looking back to both your comment, as well as the earlier post of Hector and my earlier remark and I wanted to ensure that readers who do not yet know what these things are, do not confuse them with each other. It would indeed be very helpful, though not required...

I think that an admissions committee would want to see not merely that a student has taken a course, but would prefer some evaluation of the student's performance, relative to other students in the course (i.e., a grade.) If you take a course from Mathworks, it is going to be training over a...

Please don't confuse stochastic processes with stochastic calculus. You can learn a lot about stochastic processes without ever touching measure theory, real analysis, etc. By stochastic calculus, we are referring specifically to those techniques which were invented in the 1940s by the late...

You get out of it, what you put in to it. There's a difference between learning about something, and learning something. If you find yourself spending 3-4 hours each week watching the Stanford lectures, that's time that you could have otherwise spent on your probability/stochastic calculus...

You would learn Stochastic Calculus on your MFE program; you are not expected to have already seen it. It would be very helpful if you have already studied Real Analysis, but most MFE students have not studied it before entering their program. However, it is absolutely essential for you to...

It's helpful to post the link so that people can find the course in question. https://www.ai-class.com/registration/ And, if you're a full-time MFE student, I doubt that you'll have enough spare time to do the Stanford course on top of your regular courseload... Oh, by the way, it's FREE.

http://cvn.columbia.edu/review.php?course=COMS W3101-6&sem=A11 COMS W3101-6 Programming Languages: Matlab View a video preview of this course Course Description: Introduction to the programming language: MATLAB. Intended only for those who are already fluent in at least one programming...

Try "Numerical Linear Algebra" by Trefethen & Bau, and "Applied Numerical Linear Algebra" by Demmel.

Find a job with an employer which offers an employee tuition reimbursement benefit, thereby getting them to pay you and to pay for your part-time MFE.

Well, perhaps the waiter has a math Ph.D. (or, an MFE?) and could not find a "real" job because of the unfavorable market conditions. Thus, he is waiting tables... :D But, I still think it's a typo. Here's the same joke, using "x squared" instead of the items you have above (scroll down a...

I think that the joke as written contains a typo; perhaps the joke writer actually meant the following: I am going to ask you what the integral of "1/x dx" is, and you are to respond "ln x".

For our purposes, one could say that this would be applicable to the Exponential and Geometric distributions...

The actual quote is "Those who cannot remember the past are condemned to repeat it." -- George Santayana, The Life of Reason (1905), vol.1, ch.12, pg.284 Santayana's full paragraph is: Progress, far from consisting in change, depends on retentiveness. When change is absolute there remains no...

Precisely -- this is a rather well known example of a palindrome. The first pair of palindromes ever uttered could have been: --> "Madam, I'm Adam." --> "Eve."

A man, a plan, a canal -- Panama.

Behavioral economics / behavioral finance is becoming a hot area. It doesn't require much calculus. Look for papers written by the following: Daniel Kahneman Amos Tversky Vernon Smith Richard Thaler Matthew Rabin Colin Camerer Dan Ariely Here is a bigger list of names...

Well, you could trade the hurricane contracts at the CME: http://www.cmegroup.com/trading/weather/files/Hurricane_fact_card.pdf http://www.cmegroup.com/trading/weather/files/WT-106_HurricaneFC-040610.pdf http://www.cmegroup.com/trading/weather/files/WT123_FC_NEWHurricaneBinary.pdf...

I did both an MFE and an MS Stats degree. Simultaneously. The two programs were totally different, as the Stats program was totally non-financial in focus (the Stats faculty likely could not have distinguished an option from a futures contract.) Case studies in the Stats program often covered...

If a company requires you to agree to a non-compete agreement at the time that you are hired, that is one thing. On the other hand, if you are already working for a company and they subsequently realize that you are very important to them and so they ask you to sign a non-compete agreement, they...

But, the catch is that instead of taking 4 courses for each of 4 semesters, the students now have to take 5 courses for each of 3 semesters in order to graduate in 1.5 years and receive the tuition benefit, as Rutgers only charges tuition for the first 12 credits taken by a student each...

Have you considered asking your current boss whether, instead of increasing your salary, would they cover the MFE tuition for you? You could offer to structure an agreement which says that if you were to quit, you would agree to repay them a specified amount of the tuition. This way they could...

All CUNY campuses are closed on Saturday and Sunday due to the hurricane. http://www1.cuny.edu/mu/forum/2011/08/26/campus-condition-updates/ http://www.baruch.cuny.edu/ : Day and evening classes are canceled for Saturday, Aug. 27 and Sunday, Aug. 28, 2011. Please check back for updates as...

OK, so we are agreed then, that this would be a populous colony.

Get an MFE. http://www.mfe.ntu.edu.sg/Pages/Home.aspx http://www.rmi.nus.edu.sg/mfe/

The Math GRE Subject exam is mainly of interest to Math PhD programs, who need it to distinguish among their applicants, who should have all gotten 800Q on the (now retired) GRE general exam, which doesn't differentiate sufficiently among those on the far right tail of the curve.

Perhaps we could ship to Mars all those miscreants who caused the financial crisis, akin to how the British originally populated Australia... http://www.janesoceania.com/australia_colonization/index.htm Any wagers on how long it would take them to develop subprime loans, a securitization...

Sorry, BBW, but am I misreading you, or have you perhaps made some typos in the above?

http://www.amazon.com/Battle-Hymn-Tiger-Mother-Chua/dp/1594202842 http://www.nytimes.com/2011/01/20/books/20book.html http://en.wikipedia.org/wiki/Battle_Hymn_of_the_Tiger_Mother http://online.wsj.com/article/SB10001424052748704111504576059713528698754.html...

Not exactly. CMU offers their MSCF program both in Pittsburgh and at their center in downtown Manhattan, where classes meet simultaneously (late afternoon/evening) and are connected by video link. You could pursue their program part-time in either place...

http://netmath.illinois.edu/ Linear Algebra: http://netmath.illinois.edu/courses#415 Probability: http://netmath.illinois.edu/courses#461 Tuition: http://netmath.illinois.edu/tuition

You are not understanding my response. My original suggestion was that you register only for those courses which do not indicate "Pre-Taped" on the CVN course listing, because it is only those courses which you would be able to visit in person and to interact directly with the current...

I think that the best thing to do is to sign up for a course which is currently being taught and videotaped. This means that in the "days" column on the far right of the listing of courses, something other than "Pre-Taped" is shown. http://www.cvn.columbia.edu/crs.php That means that the...

Dress warm... "Due to its location in the northern and central portion of the U.S., the Twin Cities has the coldest average temperature of any major metropolitan areas in the nation. Winters can be very cold..." "With no natural barriers to block cold air from pouring south from Canada, the...

Mayor Bloomberg rides the subway to work. However, rather than cramming sardine-style into the No.6 local train at the 77th street station nearest his home, he is instead driven a mile to the express station at 59th street (which, incidentally, happens to be beneath the office tower of his...

The IE-Instituto de Empresa (Enterprise Institute) Business School, located in Madrid, Spain, is ranked among the top business schools in the world. (Surprising that until a week ago I had never heard of it...) http://www.ie.edu/business/index_en.php...

The IE-Instituto de Empresa (Enterprise Institute) Business School, located in Madrid, Spain, is ranked among the top business schools in the world. (Surprising that until a week ago I had never heard of it...) http://www.ie.edu/business/index_en.php...

The Harvard Alumni Directory shows that earlier this year one "Ilana Melissa Greene" received a "Masters of Liberal Arts in Extension Studies" with a concentration in Management from the Harvard Extension School...

According to Columbia's website, "Master of Science in Financial Economics students are indistinguishable from finance or economics PhD candidates in their intellectual ability and academic credentials." However, the students are clearly distinguishable in one key characteristic: Money...

Yes, if the quantity of "regular decision" students who submitted GMAT scores is equal to zero, then the numbers behind the figures in the "Total" column would be equal to the numbers behind the "Early Decision" column. Of course, they don't specify whether the displayed test scores reflect the...

Get an MFE...

Also it would be very helpful to have had a course on Real Analysis, where you would learn about continuity, convergence, limits, and measure theory.

You can also get schedules of courses actually being offered in the current or upcoming terms at most CUNY schools here: http://student.cuny.edu/cgi-bin/SectionMeeting/SectMeetColleges.pl?COLLEGECODE=02&TERM=201109 (The course schedules for the CUNY campuses in Queens have recently been...

Note that the "Stochastic Calculus" course at NYU/Courant (G63.2902) is extremely challenging. Before taking that course you might want to gear up by first taking the course which they call "Basic Probability" (G63.2901) -- where "basic" does not mean "simple". Rather, it should provide you...

Baruch doesn't have "Computer Science" ("CS"). It has "Computer Information Systems" ("CIS"). Not the same thing. http://cisnet.baruch.cuny.edu/minor.htm

Well, after July 31st you'll no longer be able to score an 800. Get everything right on the revised test and the best you'll score is 170...

You can see the schedule of courses that are being offered at the various CUNY colleges here: http://student.cuny.edu/cgi-bin/SectionMeeting/SectMeetColleges.pl Select the campus, the semester, and then choose "Mathematics" or "Statistics" as the department of interest. Note that in some CUNY...

Believe it or not, she discusses oil futures prices and the CFTC between 02:30 and 03:00 on this tape

I am told that in France the best universities for Mathematics are Paris VI (Pierre & Marie Curie) and Paris XI (Paris-Sud)

Upcoming repeat HBO screenings (all times New York/EDT): Tonight (5/25) at 11pm (on HBO2) Saturday (5/28) at 9:45 pm Sunday (5/29) at 2pm Tuesday (5/31) at 5:15pm Wednesday (6/1) at midnight (i.e., 12:00:01 a.m.) Wednesday (6/1) at 10:15 p.m. (on HBO-Signature)

Immanence asked about securitized products, not about structured products. Quite different creatures. Here are some excellent books on securitized products: http://www.amazon.com/Analysis-Structured-Securities-Measurement-Allocation/dp/0195152735...

You mention "MFE PHD", which is a bit confusing, because it is not clear whether you are seeking to enter a Masters degree program or a Doctoral program. These really are quite different, as the former is a professional degree designed to get you a good job in industry, while the latter is a...

Sorry, but this isn't correct either. By your argument, you would exercise a swaption to pay fixed / receive floating only when the floating (i.e., short-term) rate exceeds the fixed (i.e., longer-term) rate. Perhaps what you wrote differs from what you meant, but it is not correct. At the...

Nope; call swaption is receiving fixed ; put swaption is paying fixed.

Sorry, I disagree.

I'm sorry, but those websites have it backwards, too.

Yes, tsotne, we know what a swaption is. Yanyan's question is regarding the confusing naming of "call" vs. "put" and such relationship with the more straightforward designation of swaptions as "payer" and "receiver." So, I'll make it very clear: A payer swaption is a put A receiver swaption...

Perhaps because of this potential for confusion, within the industry swaptions are referred to as neither "puts" nor "calls". Rather, they are named "payer" or "receiver" swaptions, where the designation refers to the fixed leg. http://en.wikipedia.org/wiki/Swaption As yanyan has it above, a...

For those not familiar with the NYC area, the train to which Aditya is referring above is known as PATH (acronym for "Port Authority Trans-Hudson".) http://www.panynj.gov/path/maps-schedules.html It is operated by the "Port Authority of New York and New Jersey", which is the same governmental...

Where there's a will, there's a way. Read the story of Robert Frey, http://www.ams.sunysb.edu/~frey/ who obtained nearly all of his education as a part-time student at Stony Brook (a state university located about 60 miles east of New York City, on Long Island) and is now the head of the...

Well, you're in luck -- the Nasdaq OMX just introduced a new product (barely 2 weeks ago) which is an option on the relative performance of an individual stock (e.g., AAPL) vs. a broad market ETF (e.g., SPY, which tracks the SPX index.) It trades on the PHLX, the former Philadelphia Stock...

Just because a school gives you a "Master of Science" degree doesn't mean that it qualifies for the 29-month OPT program. Looking more closely at the US Government's degree classification scheme: http://nces.ed.gov/ipeds/cipcode/Files/Introduction_CIP2010.pdf...

I am no immigration expert, but I believe there is one important difference that you might want to be aware of, as you have indicated that you would like to work in the US following your degree but cannot do so on your current visa. You probably already know that students can work in the US for...

I wouldn't recommend starting with Ross's "Stochastic Processes" unless you are already comfortable with the material in his other books. Depending upon your background, you would be much better off starting with either Ross's "First Course in Probability" (weak background) or "Introduction to...

Achilles, Shreve's books are specific to financial mathematics. You would likely study these books once you are on an MFE program. While he does address many of the mathematical and statistical topics that you would need as background for stochastic calculus, some of this material is quite...

FYI: In the USA, we "make" a decision. In some other English-speaking countries, people "take" a decision. Best of luck, whichever decision you make or take!

Sheldon Ross's book "Stochastic Processes" http://www.amazon.com/Stochastic-Processes-Sheldon-M-Ross/dp/0471120626 is not stochastic calculus. It is an intermediate-level book on stochastic processes, without any of the measure theory that you would need to understand Stochastic calculus, which...

http://www.cvn.columbia.edu/deg/ieor/mfms.php

I see very little overlap; the Houston MSF and the Columbia MSOR degrees are not at all similar. http://www.bauer.uh.edu/graduate/ms-finance/curriculum.asp http://www.ieor.columbia.edu/pages/graduate/ms_operations_research/index.html

Well, perhaps the most successful female quant is Leda Braga, who has a Ph.D. in engineering from Imperial College London and is president of multi-billion dollar hedge fund BlueCrest. http://www.michaelcovel.com/2009/10/30/top-female-trend-follower-leda-braga-of-bluecrest/...

http://www.cfainstitute.org/about/membership/process/Pages/work_experience.aspx

If you are in France, then this is the best Math Finance course : Paris VI (UPMC - "Pierre and Marie Curie"), with Nicole el Karoui and Marc Yor http://www.master-finance.proba.jussieu.fr/index2.php http://deafinance.proba.jussieu.fr/index2.php According to this site...

If you purchase any leveraged ETF -- whether leveraged long, or leveraged inverse -- you become massively short volatility. http://en.wikipedia.org/wiki/Exchange-traded_fund#Leveraged_ETFs http://en.wikipedia.org/wiki/Inverse_exchange-traded_fund#Volatility_loss These instruments are designed...

The value of having the CFA qualification depends on what you plan to do with it. If you join a buy-side money management firm in an investment capacity then they will, most likely, require you to complete the CFA. The reason that they require their staff to do this is so they can tell their...

There are very few ACADEMIC jobs. So, people with a PhD in a relevant (quant) field will just have to console themselves with joining a hedge fund or other financial institution, while giggling all the way to the bank.

Museum of Mathematics: Call for volunteers: Math Midway at 2011 World Science Festival ______________________________________________________________ Greetings! It is that time of the year again when the Museum of Mathematics (MoMath) is asking for your help with our Math Midway exhibit at the...

Optimal Execution in a General One-Sided Limit-Order Book Date: 04-26-2011 Start Time: 1:00pm End Time: 2:00pm Speaker: Steven Shreve, Carnegie Mellon University Location: Mudd 303 ABSTRACT We construct an optimal execution strategy for the purchase of a large number of shares of a...

These books, edited by leading behavioralist Richard Thaler, are collections of the key papers in the field: http://www.amazon.com/Advances-Behavioral-Finance-Richard-Thaler/dp/0871548445 http://www.amazon.com/Advances-Behavioral-Finance-Roundtable-Economics/dp/0691121753

Hmm. Museum of Math, to open at 11 E. 26th Street. Literally just around the corner from http://www.museumofsex.com/ Interesting juxtaposition...

Actually, for Columbia's Engineering school, doctoral candidates have the option of obtaining either a Ph.D. or an "Eng.Sc.D." (Doctor of Engineering Sciences). http://www.engineering.columbia.edu/phd-and-engscd-degree The degrees are basically identical, but applications for the Ph.D. degree...

Note that while Columbia MSFE is a full-time program, as most of its courses are offered during daytime hours, they do videotape most of their courses and make them available through a scheme called "Columbia Video Network": http://cvn.columbia.edu/ Under this program it is possible to get a...

I've heard that in the past, Columbia SEAS has contacted some applicants to their MSFE program who were not quite as competitive as those applicants to whom they did offer admission, and asked those candidates if they would like to be admitted to the MSOR program instead. Similarly I've heard...

Top Ph.D. programs receive many applications and admit a very small number of students, and admission is extremely competitive. Most applications are from candidates whom the faculty at that school has never met, but there are a few applications from students whom the faculty do know, because...

It should be noted that CVN is a good option if you do happen to live in New York but if you can't regularly attend the lectures at the Columbia campus (say, because you are working in midtown or downtown and can't generally escape from your office to run up to 120th street for a mid-day class.)...

Operations Research is a much broader field than Financial Engineering, which is often considered a subdiscipline of O.R. O.R. is also sometimes referred to as, and overlaps with, "Management Science" and "Decision Science". You can learn more about O.R. from the website of the main...

It's a $100,000 degree, with no financial aid available. http://www4.gsb.columbia.edu/ms/financialeconomics/admissions/tuition They'll probably be successful in achieving their aim of a small class size...

Muriel, Perhaps you might start by studying Prof. Stefanica's book: http://www.fepress.org/primer-second-ed/

Try the many Spread Options, e.g., Calendar Spread Options (CSOs) which are listed on various exchanges like the CME. These exercise into a long position in one futures contract, and a short position in another. You should be able to find the prices for the underlying futures contracts quite...

Also note that many firms have programs under which "Analysts" are hired for a limited term, often two years, following which most are expected to leave to pursue an MBA (although in some cases, individuals are asked to stay on and/or promoted to the "Associate" level.) I think, however, that...

There is a different paper on Mr. Doug Vestal's website which illustrates exactly where d1 and d2 come from: http://www.dougvestal.com/europeancallprice.pdf

Obtain an MFE at a school which only charges $12,000 rather than $60,000 tuition for the degree: that would be your first "great trade." :cool::D Or, if personal/family resources are truly an obstacle, find your way into a funded Ph.D. program and learn the MFE material enroute. Do it at a...

The issue is whether you are accepting and then reneging on an offer from a program where you would be paying all the tuition yourself, vs. a program where the institution is offering you a fellowship, assistantship, and/or tuition waiver. In the former case, where you are paying the tuition...

The GRE Math subject test looks like it is geared toward people who are seeking to do a Ph.D. in Mathematics. http://www.ets.org/gre/subject/about/content/mathematics http://www.ets.org/Media/Tests/GRE/pdf/gre_0809_math_practice_book.pdf If you did an undergraduate degree in pure mathematics...

The fee to take the GMAT is $250. http://www.mba.com/the-gmat/schedule-a-gmat-appointment/pay-for-the-test.aspx The fee for the GRE is $160 (in the USA), $190 elsewhere. And, if you're among the first "guinea pigs" to try the "new" GRE during August or September 2011, you can take it for...

I would use the word "explains" rather than "justifies"...

Program fee is $59,000 ... http://w4.stern.nyu.edu/academic/global/riskmanagement/admissions.cfm?doc_id=102433#ProgramCosts

As Georgia Tech is a state (public) institution, there is a significant difference in the tuition and fees for residents vs. non-residents of Georgia. From their website, the current tuition for qualified residents in tine Quantitative and Computational Finance program is $465 per credit, capped...

Rotman 2011 results: http://newswire.ascribe.org/cgi-bin/behold.pl?ascribeid=20110222.115825&time=13 54 PST&year=2011&public=0 Overall rankings: 1st place: M.I.T. (second consecutive year) 2nd place: University of Chicago 3rd place: CUNY / Baruch College 4th place: Northwestern University...

This code is used by the Federal Reserve for US Treasury and Agency securities and issues from International Organizations (such as the World Bank) which clear through the Federal Reserve's Fedwire Securities Service. The CUSIP you have given as an example is for a bond which matured earlier...

From the website of the Norbert Wiener Center: Home :: Education :: FIMA

In theory, those students whom the school admits as Ph.D. candidates (and, who have their tuition waived and receive stipends) are expected to go on to academic/research careers. There may be candidates who are every bit as "bright" as those very few students accepted into the Ph.D. program...

Note the strong physical resemblance between Larry Leibowitz, the NY Stock Exchange guy in the 60 Minutes video, and Daily Show comedian Jon Stewart? You should, as they are brothers (Jon Stewart's original name was Jonathan Stuart Leibowitz). Jon Stewarts Cramer Battle - Deal Journal - WSJ...

No, it only says that one of the buildings will be named for Kravis -- not the whole school.

Actually, the Harvard Business School is not available for renaming. Its official name is the Harvard Graduate School of Business Administration: George F. Baker Foundation. This is based on a 1924 gift from the founder of the firm which later became Citibank...

You could do the CMU program in New York (they have a floor at 55 Broad Street in downtown Manhattan, as do Cornell and NYU-Polytechnic) where they have a video relay from Pittsburgh, so you don't necessarily need to move to Pittsburgh for the duration of the program. The classes are in the...

What you have described is really a "bond with detachable warrants." While not common in the US, such structures are often issued in certain foreign markets. Here is an (old) paper by a friend of ours on the above topic: http://www.math.nyu.edu/research/carrp/papers/pdf/bdw.pdf For...

There is a London-based consultancy which offers periodic training courses in Q and KDB. Their next set of New York training courses are May 10-20. Details here: First Derivatives

DHonch, Compared with the other schools you have listed, I'm not sure you'll find much of a focus on Finance at Harvard; indeed that institution doesn't formally offer a Ph.D. in "Finance." The closest you would get at Harvard is a Ph.D. in "Business Economics," which is a joint program...

Further details, from Bloomberg: Harvard Swaps Are So Toxic Even Summers Wont Explain

Further details regarding Harvard's financial faux pas: Harvard Suffers Billions More in Losses | Harvard Magazine

The Bloomberg story focuses on the payments to exit the interest rate swaps. The article in the Boston Globe stresses a different angle: Harvard loses $1.8b in cash placed in high-risk investments - The Boston Globe

Arcane math, IMO, has two purposes on Wall Street 1) Putting a price tag on something that nobody else can possibly know how to do so for... 2) To beat the stuffing out of the markets like nobody's business. It can be done, and to attest to that, we have The Simons Foundation, Math for...

NO You apply directly to City University of New York (CUNY) in which Baruch is one of the senior colleges so all the fees go to CUNY, not to Baruch. Baruch has no say on who/how much you pay to apply to its MFE program. It's set by CUNY. . Proceeds go to CUNY and then go back to each college...