U. Washington Computational Finance program

[Scott K. Olle]

I wanted to add my experience with the program along with Erik and Ian. I am a distance student as well, I have 3 more classes and will graduate in December 2012.
I had high expectations for the UW Computational Finance and Risk management graduate program, and now that I am nearing completion my expectations have been exceeded. I came into the program with more than 20 years of practical trading and risk management experience, or so I thought. This program was able to take my basic understanding much deeper, and cover many newer developments in financial mathematics and robust statistics I was not even aware of. The program is certainly challenging and the expectations from the instructors is high. The program has been designed with the right blend of lectures, reading, TA lab sessions, and weekly problem sets (homework). This reinforces your understanding of the financial mathematics and “applies” the theoretical mathematics to larger scale real-world problems using R. The class discussion forums were also particularly useful, and the course TAs are outstanding and helpful. There are so many very smart experienced students in this program with a variety of backgrounds with a great deal to contribute. In my research of the UW program and my experience in the program, I believe UW has one of the finest distance learning platform at a major university today. I would have never been able to attend such an outstanding program, without the online component, and for that I am very grateful.

I am even more excited about the field of computational finance than when I started. Unlike many fields in mathematics and science, financial mathematics, statistics for finance and econometrics are very dynamic, with new research and breakthroughs made every year. The professors in the UW program are some of the key contributors in the field. During every quarter, I was able to take the course work, especially the completed R problem sets, and weave them directly to my work as a Risk Manager/Portfolio manager. To name a few of the practical methods I have learned from the program that I use on a daily basis: 1) a more robust daily P&L reporting system with visualization, 2) factor model analysis and decomposition, 3) complex portfolio optimization using quadratic programming, 5) risk budgeting and decomposition, and 4) conditional volatility forecasting leading to 6) more accurate VAR and CVaR forecasting. I would highly recommend the UW program to anyone looking to have a career in advanced finance and risk management. For anyone in the field with an MBA or an engineering degree you will add invaluable knowledge that you cannot not obtain in a MBA or advanced engineering program . You will be very pleased with how much you will learn from this program; I was.



Scott K. Olle, CPA

Risk Manager/Portfolio Manager

Alta Cima Advisors, LLC

 

[Frank Dooley]

I was in a number of courses with Erik, Ian and Scott. I am a "distance student" from New York state who began in the computational finance program and am now a candidate for the M.S. degree in Computational Finance and Risk Management. Thus the certificate program was a "stepping stone" that enabled me to gain admission to UW as a degree candidate. I concur entirely with Erik, Ian and Scott as to the excellence of UW's Computatonal Finance and Risk Management curriculum.

As an actuarial student and an employee of a global banking and financial firm, I was looking for a quantitative finance program with intensive training in R programming. That is what led me to enter the Computational Finance Certificate Program at UW. As my fellow students mentioned, the professors and teaching assistants are oustanding, really dedicated to education. The culture of teachers and students is tremendously supportive, giving needed help to students to pass through "mind stretching" exercises of both a theoretical and practical nature. It was this culture that empowered me to succeed in my first four courses.

In addition to the very clear and outstanding benefits of this UW education already and very ably addressed by my fellow students, I would like to add some "intangibles" that really add value to an already great UW education. There is a pervasive environment of ethics and integrity that helps one focus on the importance of good values in addition to technical proficiency. There is a sense of teachers and students really reaching out to help one another. My UW experience has been simply the best educational experience I have ever had.

Although the outstanding nature of the professors has been mentioned, I would like to share one anecdote regarding that topic. Many years ago, when I was in high school or early in college I became discouraged at my seemingly slow progress in mathematics. Somewhere I read a quote that the great statistician John Tukey sometimes took an hour to read a page of mathematics and it inspired me to continue. It turns out that Professor Doug Martin was a student and colleague of John Tukey's. It seemed as if John Tukey was still there inspiring me to continue through the encouraging help of the professors at UW. It has been wonderful.

Frank Dooley

 

[Alfred]

Hi Erik,

Thank you for your informative post. It really helps me a lot and now I really think this is a good program for me. I have a question that does this program put some emphasis on equity market ?

 

[Erik Lehr]

Hey, it's a UW Comp. Finance party in here!!

 

[Erik Lehr]

Hi Erik,

Thank you for your informative post. It really helps me a lot and now I really think this is a good program for me. I have a question that does this program put some emphasis on equity market ?

I'm not really sure what you're asking here. There is a huge focus on equities, mostly in the form of assets in a portfolio. Are you asking if there is anything about the actual mechanics of stock markets (i.e. how they function in reality, as opposed to in a theoretical construct). If this is your question, then the answer is yes, we have a class called "Trading Systems" that spends a good deal of time breaking down the market mechanism and how trading is implemented.

If I'm completely missing the point, let me know.

 

[alain]

Thanks for the good description. I was looking at the curriculum and I found this page:

http://depts.washington.edu/amath/courses/500I-spring-2011/

It mentions couple of items that I've been unable to find. Under Textbooks " Scherer and Martin (2011). Modern Portfolio Optimization, 2nd edition". Is that book already published? I'm familiar with the the original book but this is new to me. I couldn't find it on Amazon.

The second item is R-NuOpt. Where can I download that package?

 

[Cynthia Kosasih]

Hello,

I'm one of the students in the UW CompFin program, along with Erik, Ian and Scott. I live in Seattle area and I'm also an international student, so I am an on-campus student. I definitely enjoy this program, and the professors and teaching assistants have been extremely helpful and they do not hesitate to help you with anything.

I was actually worried that it might be very hard for me to get a job here in the US, considering that I'm an international student and I do not have much experience. But, thanks to this program and the teaching staff, I was able to get a full time Asset Allocation Analyst position at Russell Investments this summer! Awesome, no?

In terms of the syllabus of the program, it's definitely very R-intensive. But, really, if you already survived through C++, I don't see how you guys won't be able to survive R because R is much easier (wayyyyy easierrrrrr). In fact, I'm so used to R that I find myself having troubles now in understanding some of the concepts of C++ (even after I learned JAVA before). The program also focuses on the statistical analysis of finance, along with quantitative modeling and forecasting. So, for the basics, we learn about equities, derivatives and how their pricing formulas can be derived. Then we move on to learning about the distribution of price returns time series, volatility modeling and forecasting, portfolio optimization, risk decomposition, and many more. If you are interested in this side of finance, this program is definitely for you.

Well, since I'm working full-time, I may not be able to keep track of this thread, but I'll come here once in a while to help provide more feedbacks and answer more questions any of you may have, along with Erik, Ian and Scott. For Alain, I'm not sure where you can exactly download the R-NuOpt package, I got to download this from a link that our professor sent us when we started one of his courses. It requires activation codes too which I didn't have the chance to save, so, I'll try asking and see if I can get you anything.

Cheers!

 

[Erik Lehr]

Thanks for the good description. I was looking at the curriculum and I found this page:

http://depts.washington.edu/amath/courses/500I-spring-2011/

It mentions couple of items that I've been unable to find. Under Textbooks "Scherer and Martin (2011). Modern Portfolio Optimization, 2nd edition". Is that book already published? I'm familiar with the the original book but this is new to me. I couldn't find it on Amazon.

The second item is R-NuOpt. Where can I download that package?

The textbook you mention (which now also is being co-authored by Guy Yollin) is still in progress. I really don't know whether or not it will be ready by the time that class is next taught, but Professor Martin will provide you with the relevant sections.

R-NuOpt is a different story. As of right now, the package is not commercially available in the US. When you take the Portfolio Optimization class, you will be provided with a copy of R NuOpt and a temporary activation code. Professor Martin is doing his best to convince the owner of the package to release and support it globally, but until then it isn't really accessible outside of that particular class. Hopefully that changes soon, as it is an extremely powerful tool.

 

[Andy Nguyen]

I find this development interesting. It's mentioned that one course of the UW CF&RM program is already in Coursera and there is plan for more.
http://seattletimes.nwsource.com/html/localnews/2018714077_coursera19m.html

 

[Andy Nguyen]

Bill Anderson of UW just told me that the UW AMATH 540/ECON 424 Introduction to Computational Finance & Financial Econometrics was just posted today on Coursera website and is being offered this autumn quarter, starting September 2nd. Information on this course offering can be found at http://www.coursera.org/course/compfinance

 

[IlyaKEightSix]

Bill Anderson of UW just told me that the UW AMATH 540/ECON 424 Introduction to Computational Finance & Financial Econometrics was just posted today on Coursera website and is being offered this autumn quarter, starting September 2nd. Information on this course offering can be found at http://www.coursera.org/course/compfinance

Oh really?! This should be interesting, though the class is pretty much trivial for anyone with grounding in statistics and finance. But I suppose for the sake of formality, I just might burn through it for laughs.

Would be nice if a course that focused more on quantStrat got posted instead. Considering that I've literally worked ten yards away from the author of that package and personally seen how it could be used to write a model a thousand lines long (and longer), IMO UWash could really go far in this area, as well as doing more courses in formulating quantitative strategies. But I suppose that'd be giving away the goose that lays the golden eggs.

Regardless, the knowledge to formulate strategies shall be mine one way or another.

 

[IlyaKEightSix]

Oh, one other thing...if comp. finance master's courses are already getting put on Coursera, how about Baruch follows suit ?=]

 

[SilverBracelet]

Hi, I am very interested in the program, set aside the fact that I miss Seattle, the first city I have ever been in the US.
Because I am working full time next year, while trying to save money, I wonder can I take part of the program as PT online, and finish the other half at UW site? I am waiting for reply email from the school, but wondering if anybody has done this before.

 

[Erik Lehr]

Hi, I am very interested in the program, set aside the fact that I miss Seattle, the first city I have ever been in the US.
Because I am working full time next year, while trying to save money, I wonder can I take part of the program as PT online, and finish the other half at UW site? I am waiting for reply email from the school, but wondering if anybody has done this before.

I doubt anyone has done this before, but I see no reason why you couldn't.

 

[Erik Lehr]

Oh really?! This should be interesting, though the class is pretty much trivial for anyone with grounding in statistics and finance. But I suppose for the sake of formality, I just might burn through it for laughs.

Would be nice if a course that focused more on quantStrat got posted instead. Considering that I've literally worked ten yards away from the author of that package and personally seen how it could be used to write a model a thousand lines long (and longer), IMO UWash could really go far in this area, as well as doing more courses in formulating quantitative strategies. But I suppose that'd be giving away the goose that lays the golden eggs.

Regardless, the knowledge to formulate strategies shall be mine one way or another.

Guy Yollin teaches a class (Foundations of Trading Systems or something like that) which uses a bit of quantStrat. I agree that it is a powerful tool in an important field, maybe they will expand on that topic in the future.

 

[IlyaKEightSix]

Guy Yollin teaches a class (Foundations of Trading Systems or something like that) which uses a bit of quantStrat. I agree that it is a powerful tool in an important field, maybe they will expand on that topic in the future.

I realize this. Trust me when I say that I know for a fact he barely scratched the surface compared to what I've seen done at work by the man that wrote the package.

 

[Sekhar]

Hi all,

Thanks for your inputs about the program. What is the employment rate for the students graduated from this course?

 

[Andy Nguyen]

Hi all,

Thanks for your inputs about the program. What is the employment rate for the students graduated from this course?

They do have online chat/information session which is a great way to get instant feedback on these questions.

 

[IlyaKEightSix]

Also, for those hoping to get the program for free, bad news...I emailed the instructor of the Coursera course and he said that for now, only 3 courses are planned to go on Coursera so that the program can make money.

 

[Bill Anderson]

The bulk of the first cohort of UW CFRM students will be graduating in December, 2012. Based on the solid internship placements this summer, we are very optimistic about career advancement and job prospects for upcoming graduates. We will have better statistics on career advancement and employment for program graduates in 1st calendar quarter of 2013.