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This is a series of short submissions by students in various MFE programs who share what their day is like. Each day is written by a different student. If you like to write an article about your day as a quant master student or professional, you can send it to us. Click HERE
9:30am – I usually got up late.
10:00-11:30am – MFE study involves finance, math and programming. In the morning, I spent time to learn programming if there’s no urgent homework. Recently I was reading two books “Effective C++” by Scoot Meyers and “Inside the C++ Object Model” by Stanley Lippman. The second book is worth reading. Author illustrates C++ features from C++ compiler implementation.
11:30am – Our director helped us set up a Bloomberg onsite training at 12:30pm. Took train to Bloomberg Tower building at 731 Lexington Ave. BTW, other than training, the more often activities are campus presentation. Every week a few financial industry practioners are invited to campus. They introduce their own research topics or quant career. It’s pretty good chance for students to network with senior quants in Wall Street.
12:30pm – Our classmates were gathering at the hallway of Bloomberg building when I arrived there. We’re allowed to enter building after waiting for a while.
1:00- 3:00pm – The training took 2 hours. In the first hour, the instructor made a general introduction, such as how to find economic statistics and price, how to find help document. He demonstrated really fast. I can’t keep with his space. I feel comfortable in the next hour when another instructor focused on details. We learned how to export data from Bloomberg terminal to Excel or directly retrieve data from Bloomberg add-ins in Excel. Bloomberg terminal is definitely powerful. It provides option pricing of different models and hedging strategy.
3:00-4:30pm – Went back to Baruch campus. Some classmates like study at Newman Library where it is more quiet. I prefer to stay in QuantLab, a room exclusively designed for the MFE students. My reason is QuantLab has a mini library containing hundreds of quantitative finance books. It’s convenient to find the book I want to read. In additions, recently three Bloomberg terminals were installed on QuantLab for the MFE students to use. Today’s training will help us take advantage of these expensive terminals.
4:30 – 5:45pm – Discussed Numerical Methods for Finance I (MTH 9821) homework with my teamates. All homework are assigned into groups. Each group consists of 3-4 students with different backgrounds. Homework 11 was to price European/American options using finite different methods to solve PDE. We requires to implement different solvers including forward Euler, backward Euler with Cholesky, backward Euler with SOR, Crank-Nicolson with SOR and Crank-Nicolson with projected SOR, then apply them to different finite schemes to compute option values, greeks, approximate errors. We not only considered algorithm implementation itself but also considered how to efficiently output data to .csv file and into specified spreadsheet. Programming homework is mainly written by C++ and part of homework employs VBA. Homework always killed a lot of my time.
5:45pm – Dinner.
6 – 9:30pm – Classes are offered in the evening beginning at 6pm. Tonight class was Numerical Methods for Finance I. Firstly we took one hour to do a quiz to verify our homework program. Then, professor taught us how to price Barrier, double Barrier, Bermuda options using finite difference methods. Professor always teaches very quickly. I need to keep focused. Usually professor gives weekly assignment in class or post on website after class. Fortunately, our life will be easy this week. We don’t have assignment because of Thanksgiving.
10:30pm – Got home from campus. I read notes and reference books to figure out stuff that I couldn’t understand in class, then started homework. Since there’s no homework, I decided to focus on Capstone project tutored by the C++ class’ professor who is an experienced practitioner. It’s a good chance to learn more practical stuff. Our project just started and will analyze CDS market using PCA. Yesterday I took the whole night to setup development environment, Linux, Eclipse, Python, R, MySQL. Tonight I read carefully two 30-pages papers from the professor. CDS market looks complicated.
2:00am – Went to bed.
9:30am – I usually got up late.
10:00-11:30am – MFE study involves finance, math and programming. In the morning, I spent time to learn programming if there’s no urgent homework. Recently I was reading two books “Effective C++” by Scoot Meyers and “Inside the C++ Object Model” by Stanley Lippman. The second book is worth reading. Author illustrates C++ features from C++ compiler implementation.
11:30am – Our director helped us set up a Bloomberg onsite training at 12:30pm. Took train to Bloomberg Tower building at 731 Lexington Ave. BTW, other than training, the more often activities are campus presentation. Every week a few financial industry practioners are invited to campus. They introduce their own research topics or quant career. It’s pretty good chance for students to network with senior quants in Wall Street.
12:30pm – Our classmates were gathering at the hallway of Bloomberg building when I arrived there. We’re allowed to enter building after waiting for a while.
1:00- 3:00pm – The training took 2 hours. In the first hour, the instructor made a general introduction, such as how to find economic statistics and price, how to find help document. He demonstrated really fast. I can’t keep with his space. I feel comfortable in the next hour when another instructor focused on details. We learned how to export data from Bloomberg terminal to Excel or directly retrieve data from Bloomberg add-ins in Excel. Bloomberg terminal is definitely powerful. It provides option pricing of different models and hedging strategy.
3:00-4:30pm – Went back to Baruch campus. Some classmates like study at Newman Library where it is more quiet. I prefer to stay in QuantLab, a room exclusively designed for the MFE students. My reason is QuantLab has a mini library containing hundreds of quantitative finance books. It’s convenient to find the book I want to read. In additions, recently three Bloomberg terminals were installed on QuantLab for the MFE students to use. Today’s training will help us take advantage of these expensive terminals.
4:30 – 5:45pm – Discussed Numerical Methods for Finance I (MTH 9821) homework with my teamates. All homework are assigned into groups. Each group consists of 3-4 students with different backgrounds. Homework 11 was to price European/American options using finite different methods to solve PDE. We requires to implement different solvers including forward Euler, backward Euler with Cholesky, backward Euler with SOR, Crank-Nicolson with SOR and Crank-Nicolson with projected SOR, then apply them to different finite schemes to compute option values, greeks, approximate errors. We not only considered algorithm implementation itself but also considered how to efficiently output data to .csv file and into specified spreadsheet. Programming homework is mainly written by C++ and part of homework employs VBA. Homework always killed a lot of my time.
5:45pm – Dinner.
6 – 9:30pm – Classes are offered in the evening beginning at 6pm. Tonight class was Numerical Methods for Finance I. Firstly we took one hour to do a quiz to verify our homework program. Then, professor taught us how to price Barrier, double Barrier, Bermuda options using finite difference methods. Professor always teaches very quickly. I need to keep focused. Usually professor gives weekly assignment in class or post on website after class. Fortunately, our life will be easy this week. We don’t have assignment because of Thanksgiving.
10:30pm – Got home from campus. I read notes and reference books to figure out stuff that I couldn’t understand in class, then started homework. Since there’s no homework, I decided to focus on Capstone project tutored by the C++ class’ professor who is an experienced practitioner. It’s a good chance to learn more practical stuff. Our project just started and will analyze CDS market using PCA. Yesterday I took the whole night to setup development environment, Linux, Eclipse, Python, R, MySQL. Tonight I read carefully two 30-pages papers from the professor. CDS market looks complicated.
2:00am – Went to bed.
