commerce and science

[Super Pig]

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Hey Seraphim I just saw your signature on the Usyd financial maths program. I did the Advanced Option Pricing course as a third year undergrad, a fairly intense but very interesting course. I was allowed to do so because I did the third year financial maths unit during my second year. Peter Buchen is the one to contact if you are interested. He usually goes through the necessary backgrounds in the first few weeks of the course. As far as I know the entry requirement is quite flexible. The Interest Rate Modelling course will not be offered next year unless a new lecturer is found (the original lecturer moved into the hedge fund industry).

[§eraphim]

Originally Posted by xiao1985

hey seraphim: u doing financial math or sth related?! cuz ur signiture sure sounds that way =p

again there are adv and dis adv for both unsw and usyd... a decade old debte i think already

usyd has horrible timetables... usually it's at daytime, so there's no chance to go to usyd and have a full time job, regarldess if u go part time uni or wut eva
usyd's postgrad level (apparently) is not as good as unsw

unsw has horrible degree flexiblity (ie if u want to overload, u have to talk to dean, have ur grades assessed etc etc), normally u are only allowed 2 majors in a combine, one for each degree...
unsw has horrible timetable system (as i heard, at least for commerce faculty), u don't get ur actual tt until the first wk of uni

sigh, how envy u pplz can do major research in holi... T.T wish i was good enough to do that...

yes, im majoring in finance, applied math & stats.

i initially wanted to take some postgrad subjects in mathematical finance at UNSW but it wont fit. the structure at unsw is definitely better but its just a little too theoretical for me. the subjects are ordered as follows:

- Stochastic Processes
- Probability & Measure Theory (analysis and measure theory are yucky)
- Intro to Stochastic Analysis
- discrete time financial modelling (binomial model + other stuff)
- continuos time financial modelling (black-scholes etc)
- term structure modelling
- stochastic differential eqns

unsw also have maret rutkowski who is a world leader in credit risk so all in all unsw is better. but usyd's fin math subjects better suit me as an undegrad.

anywayz, many of these issues are academic. from next yr, there will be joint unsw-usyd math subjects (postgrad level).

i dont mind daytime classes. its even better for me =) as i will have a lot of gaps. are these postgrad classes negotiated or arranged in advance by the central timetabling authorities? (at unsw, small classes are negotiated with the lecturers)

actually, unsw is very flexible as long u go straight to the top guy. as long as u have permission from the lecturer and ur grades are good enough, u can do any math subject u like with minimal fuss (the maths dept take care of it). the issue of majors is usually considered on a case-by-case basis for combined degrees. for instance, i plan to get a math and stats major. also, the usyd degree is a yr longer which means another 8 electives which can easily convert all those wasted 1st yr core subjects into majors. so you're not really comparing apples with apples.

the commerce & Economics tas system (tutorial allocation system) is actually a very fair and equitable system. there is no need to rush into putting in ur preferences as they are allocated by the computer. however, this is being phased out as of this yr in favour of a more centralised timetabling system which imo has its pros and cons.

xiao, arent u on TSP? so u did all ur research stuff over the yr (instead of us doing it in the holidays)

[§eraphim]

Originally Posted by Super Pig

Hey Seraphim I just saw your signature on the Usyd financial maths program. I did the Advanced Option Pricing course as a third year undergrad, a fairly intense but very interesting course. I was allowed to do so because I did the third year financial maths unit during my second year. Peter Buchen is the one to contact if you are interested. He usually goes through the necessary backgrounds in the first few weeks of the course. As far as I know the entry requirement is quite flexible. The Interest Rate Modelling course will not be offered next year unless a new lecturer is found (the original lecturer moved into the hedge fund industry).

i plan to do these in 2007 and am looking at good courses which would best prepare me for math4331 and 4333.

im thinking of doing stochastic processes (which may possibly include some stochastic calculus up to 1st order SDEs), a PDEs course (more applied. eg fourier transforms, etc) and a subject in continuous optimisation methods (i dont plan to do anything related to discrete optimisation, ie, linear programming). do u think these will be sufficient?

[xiao1985]

hehe seraphim... yeh i was in tsp in 2nd year... but 2nd year was hectic for me... overloading in both sem, also have a part time job + all tutoring, drained me big time... didn't have time for anything else...

and my grades were slippin as well... sadly i have to overload in my 3rd year if i am to go ahead with my 2 major in sci degree...

financial maths is alot fun... but the sem exam i got killed majorly... didn't expect them to pull such hardcore stuff at the end...
(well also cuz i was slackin off alot... cuz i started playing *cough* s th*cough*)

the tutorial allocation from commerce faculty, well from the other friend of mine who work at the same place as me, is rather unhappy, cause he's working part time and he won't be able to fix a date for his working days until 2nd wk into semester...

but then again, point taken... unsw has good lecturers... but still that didn't sway my love of usyd =p


btw peter bunchun imo is a good lecturer... he was tutor for my financial maths...

[§eraphim]

Originally Posted by xiao1985

btw peter bunchun is good ...

i concur. i read one of his papers called the "quientessential option pricing formula". man, that was a really nifty way of valuing any exotic option (in discrete time anywayz =D).

btw are all TSP guys receiving some kind of scholarship?

[§eraphim]

Originally Posted by Super Pig

Hey Seraphim I just saw your signature on the Usyd financial maths program. I did the Advanced Option Pricing course as a third year undergrad, a fairly intense but very interesting course. I was allowed to do so because I did the third year financial maths unit during my second year. Peter Buchen is the one to contact if you are interested. He usually goes through the necessary backgrounds in the first few weeks of the course. As far as I know the entry requirement is quite flexible. The Interest Rate Modelling course will not be offered next year unless a new lecturer is found (the original lecturer moved into the hedge fund industry).

do u mind sending me all the stuff u have by email on the option pricing and interest rate modelling courses? i'd like to learn more about these courses before i enrol in them.

also, is there a large computing component? Is MATLAB used in the assignments?

my email is hongjiren2000 AT yahoo DOT com

[xiao1985]

no... tsp get like a luncheon.. but tha'ts it, almost...

oh u get the opporutnity of doing tsp stuff... and being called a tsp student...
and *string of swear words* @ my result...

[stazi]

Originally Posted by xiao1985

no... tsp get like a luncheon.. but tha'ts it, almost...

oh u get the opporutnity of doing tsp stuff... and being called a tsp student...
and *string of swear words* @ my result...

you forgot to mention your result.

[Super Pig]

Originally Posted by §eraphim

do u mind sending me all the stuff u have by email on the option pricing and interest rate modelling courses? i'd like to learn more about these courses before i enrol in them.

also, is there a large computing component? Is MATLAB used in the assignments?

my email is hongjiren2000 AT yahoo DOT com

Hehe I am afraid Peter hands out everything in paper form only, no electronic material at all. Perhaps I can scan the content pages of his lecture notes for you if you want. There is a pretty detailed course description on the usyd maths website if I remember correctly.

The "ideal" preparation for these honours courses is the following:
1. Some knowledge of the binomial model and introductory Black Scholes;
2. A PDE course which hopefully talks a bit about Green's Functions;
3. A course on measure theory would be helpful in understanding martingales;
4. A course on stochastic processes, a touch on stochastic DE's would be great but not essential.

Note that "ideal" is the keyword here. I only did the 1st point above before I took the course, and I seemed to have coped fine. There was no Matlab when I did the course, but Peter tends to update his syllabus quite regularly, putting in new stuff every now and then. So Matlab could well be in there. Due to the 4cp->6cp changes in 2006, he's going to put some of the 4th year stuff into 3rd year, so I suspect the course will be a bit tougher in 2007.

Hehe the fancy all-in-one pricing formula was cooked up by Peter and one of his honours students a few years ago. I once thought they might get a Nobel Prize for that Somehow they couldn't get it published, which is exactly what happened to Black and Scholes's paper. Apparently some of the banks are using it though, it's pretty efficient on computers. It's hell of a mess doing it by hand

[xiao1985]

darn... out of the 4, i know abt .25 in total... =(

no financial maths for me =(

[Super Pig]

Don't worry man, in one year's time you'll be in perfect shape to take those honours courses I think one can manage the course even without any background in financial maths, as long as he/she is a maths major.

[adamsaclown]

Originally Posted by xiao1985

no... tsp get like a luncheon.. but tha'ts it, almost...

oh u get the opporutnity of doing tsp stuff... and being called a tsp student...
and *string of swear words* @ my result...

hey random question, but is there a general tsp meeting telling everyone whats going on at the start of every year? or just first year? because even though I'm in it (and should be next year), I have no idea whats going on, thought that intial start-of-year meeting was helpful. Or is it just up to us to contact our mentors and organise stuff?

[§eraphim]

The major means nothing - it's your choice of subjects which determine your mathematical background. E.g. If you are an algebra/number theory/discrete mathematics kind of guy, I imagine it would be equally as difficult.

Measure theory (from a pure mathematics pt of view) is yucky - I prefer not to touch any hardcore analysis till final yr. I'm pretty sure you don't need abstract measure theory for martingales as they should teach that kind of stuff in a stochastic processes course.

I probably won't be able to do a subject in binomial option pricing but I can fit in the PDEs and stochastic processes course. I hope that's sufficient.

Btw, were the majority of students taking that subject doing Honours or were many of them also doing the Financial Modelling specialisation in the Master of IT?

xiao, surely you must have touched on PDEs?

[Super Pig]

haha actually you are quite right, what I meant was that good applied maths/stats students would have no problem; pure maths students with some training in PDE's and probability would cope fine as well.

I can't find a word more appropriate than "yucky" to describe measure theory you won't need that for advanced option pricing, but for interest rate modelling, there are a few more technicalities to take care of, so some analysis background would be beneficial. There is no harm leaving that last though.

Most of the students taking the courses are applied/stats honours. There were a few postgrad research students as well. There was one MIT student on the first day, but he got scared away. There is a maths foundation course for MIT students before they take these financial courses, but most of them were already in deep trouble handling the foundation course (some of them couldn't even do integration by parts). So the focus would be on the maths rather than computing.

[§eraphim]

What times were MATH4431 and MATH4433 taught? Is there any USyd webpg that tells me that kind of info?