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[Profile Evaluation] MFE/MSMF 2017 for

Quasar Chunawala

Quasar Chunawala

Joined
11/5/14
Messages
294
Points
53
Hi friends,

I am an MFE aspirant and I would like to know, if I stand a decent chance at some good programmes in the US.

Background and work-ex:
  • Working as a credit risk analyst at a big bank. Working knowledge of market and credit risk metrics (EE,EPE,CVA).
  • Passed CFA 2. Part of a training programme held by a leading derivatives trader and consultant. Decent knowledge of financial products.
  • Programming experience (in a procedural language though not OOPS) for 5 yrs.
  • CS Engineer from a Tier II, College. CGPA = 7/10. Have studied probability-stats, linear algebra and differential equations as part of my course.
Pre-MFE Prep
  • Solved and worked through Differential & Integral Calculus, N. Piskunov
  • Solved and worked through Introduction to Real Analysis, Bartle
  • Reading Bartle's elements of integration and Lebesgue Measure
The schools I have in mind - Baruch, NYU, Cornell, UCLA, Boston, University of Washington, Georgia Tech, NYU-Poly and Rutgers.

I would appreciate any feedback. Sorry about the length of the post. :)

Reading habits, self-learning:
  • Ardent reader, my favorite reads are Options volatility and pricing by Sheldon Natenburg,Black Scholes and beyond by Neil Chriss
  • Built an excel VBA based FX options trading and P&L simulator (using GK model), which allows you to enter trades in the portfolio, generates time-bucketed risk reports – delta, gamma, vega, theta, rho and phi. Allows you to simulate various volatility spreads.

  • Built a simple excel tool to enter FX spot, Buy/Sell or Sell/Buy Spot over 6m FX swaps, calculate MTM values, drawing daily P&L, market risk reports.

  • Built a simple mathematica module to accept a list of input securities and generate the MVF, optimal portfolio using Lagrange’s multipliers.
 
Last edited:
You have a decent shot at all the schools though Baruch, NYU, Cornell, UCLA, University of Washington are the only schools worth investing time and money.

Though post qualification job is a whole diff question.
 
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