The Baruch MFE students won the 2012 Rotman International Trading Competition.

The Baruch MFE teams ranked first and fourth place out of 50 teams in the ninth annual Rotman International Trading Competition that took place in February 2012 at University of Toronto.

Top Five:

1. Baruch College
2. University of Rome – LUISS Guido Carli
3. University of Chicago
4. Baruch College
5. University of Waterloo

The final results can be found here.

Detailed performances per case:

Quantitative Event Driven Trading: 2nd and 4th place
Commodities Trading: 4th and 5th place
High Frequency Algorithmic Trading: 4th and 7th place
Sales and Trader: 5th and 5th place
Options Trading: 10th and 13th place
Quantitative Outcry: 12th and 22nd place

Our students placed particularly high in the quantitative and algorithmic cases.

The team was trained by Mr. Eugene Krel (Baruch MFE’09 and Quantitative Brokers; member of the first Baruch MFE team at RITC 2009) and was advised during the competition by Eugene and Professor Rados Radoicic.

Our success is a tribute to the great consistency and self-discipline of our team members, their intensive preparation for the competition, and their trading and analytical skills. Last but not least, our students demonstrated outstanding teamwork.

Congratulations to our Baruch MFE winners, Andrew Chang, Jing Chen, Alex Hawat, Gama Le Bouder, Tom Maloney, Yike Lu, Alexei Smirnov and Zhechao Zhou!

The Baruch MFE Team:

Mr. Andrew Chang graduated in three years, Summa Cum Laude, with a double major in actuarial science and economics and a minor in statistics and quantitative modeling from Baruch College. While a fixed income intern at Goldstein Capital, Andrew worked on the valuation and hedging of mortgage backed securities. Andrew has experience using Monte Carlo simulations in C++ for the valuation of both derivative securities and insurance products using copula models. In addition to C++, Andrew is proficient in C, VBA and R as well as implementing these languages for numerical pricing techniques. Andrew is working as a research assistant with Jim Gatheral.

Mr. Jing Chen has a bachelor’s degree in economics from Shanghai University of Finance and Economics (SHUFE). He has experience developing a financial software platform in the Financial Laboratory at SHUFE, and interned in the mortgage department at Citibank China. Jing is a quick learner and has strong mathematical knowledge and programming skills. His programming abilities encompass C++, C, VBA and Matlab. Jing already demonstrated very good problem solving ability and teamwork spirit, having his colleagues gravitate to him for help understanding the material.

Mr. Alexandre El Hawat has over eight years of experience in finance and software development. His experience in finance spans from financial advisory, investment consulting and private equity in the Middle-East to investment banking advisory at Lehman Brothers’ Communications and Media group. Alex was an application engineer at Schlumberger where he developed security applications for Schlumberger’s smart card division and its major energy industry clients. Before that, he was a software engineer at Tradanet where he managed the development of a retail-banks Supply chain Management software. He is proficient in programming languages (C/C++, Python, R, Matlab among others) and major financial systems (Bloomberg, Thomson One, Capital IQ and Reuters). Alex has over 10 years of experience in trading equity and options. His unique background and experience allowed him to understand the concepts of quantitative analysis and to efficiently employ his mathematical, financial and computer modeling skills to make pricing, hedging, trading and portfolio management decisions. He holds a Bachelor in Electrical Engineering from the American University of Beirut and an MBA with a Concentration in Finance from the McCombs School of Business at the University of Texas in Austin.

Mr. Gama Le Bouder holds a Bachelors of Science in Economics from the Massachusetts Institute of Technology. While an undergraduate at MIT, he worked in the Financial Engineering Lab as a member of the Traders’ Task Force, conducting monthly electronic trading simulations focused around fixed income securities, equities and futures. Gama is a two-time winner of the Rotman International Trading Competition as a member of the MIT team (ranked first out of 50 teams), and also placed third in the online DC Energy DegreeTrade competition. Gama has been exposed to working in emerging markets and has a broad perspective on global markets. He is very professional and couples an easy-going personality with razor sharp focus.

Mr. Yike Lu (Baruch MFE’12, B.S. Physics Caltech’09) designed the strategy for Baruch College’s first place algorithm for RITC2011 and works at QuantBot Technologies.

Mr. Thomas Maloney holds a bachelor’s degree in physics and mathematics from Cornell University. He was a consultant with Morgan Stanley Prime Brokerage, and has gained research experience while working at The Rockefeller University in the Laboratory of Neurobiology and Behavior. He has extensive experience analyzing EEG signals in Matlab using signal processing techniques. At Baruch Thomas has expanded his knowledge of C++, VBA, Python, and bash scripting; he has written Monte Carlo and Finite Difference programs to price various options and to estimate the Greeks. Thomas is a team-player and eager to contribute his skills in quantitative finance.

Mr. Alexei Smirnov has a computer science and biology dual degree from Binghamton University – SUNY. As a member of the Baruch MFE team at the Rotman International Competition (3rd place out of 50 teams), he co-designed the trading algorithm that gave the team first place, by a wide margin, in algorithmic trading, and created the team’s news-based Natural Gas Futures trading model. Alexei also created the team’s practice environment, which was essential to the success of the team. Alexei is currently working on novel portfolio optimization techniques at Winged Foot Capital. He is experienced in conducting statistical analysis for financial applications in C++, VBA and R, and is interested in fundamental and quantitative trading techniques. Alexei is highly capable and focused on delivering the highest quality results.

Ms. Zhechao Zhou has a master degree in applied mathematics from University of Michigan and a bachelor in physics and mathematics from Bard College. She built jump-diffusion forecast models of the VIX index for trading strategies at a New York hedge fund. She also developed models analyzing the relationship of high frequency trading and equity pricing in research. Zhechao has an unusually vast experience in implementing numerical pricing techniques in C++, VBA and Matlab, and has strong motivation for personal achievement and team success.

Photo credit Mr. William Chiu

Dr. Jim Gatheral spent 17 years at Merrill Lynch in equity derivatives trading before joining the Baruch MFE program faculty full-time in 2010. He is the best-selling author of “The Volatility Surface: A Practitioner’s Guide“. As someone who hired quants at Merrill Lynch and has been teaching in the NYU Math Finance program since its inception, Gatheral talks to quantnet.com about his career, the challenges facing aspiring quant students and the fast changing landscape of global financial market.

Can you give us a recap on your education background and career?

My undergraduate degree was in Mathematics and Natural Philosophy at the University of Glasgow.  My PhD was in Theoretical Physics at Cambridge University and my thesis title “Infrared Divergences in Perturbative QCD”.  I joined Bank of America in London as a trainee loan officer in 1983 with the title of Assistant Cashier, receiving my first bonus of £400 in 1985.  I started trading currency options at BofA in 1984 and subsequently joined Bankers Trust to trade interest rate derivatives in 1986.  I ended up running currency options and then ran Capital Markets (effectively derivatives trading) in Tokyo in the early 1990s.  I joined Merrill Lynch in 1993 as global head of equity derivatives trading and set up the quant team in 1996, retiring from the firm earlier this year.

How did you end up in finance?

Some investment bank whose name I cannot recall approached me when I was still an undergraduate and so I got the idea that banking might appeal to me even before i embarked on my PhD.  When it was time to look for a post-doc position, for many reasons, I decided that i would have more fun in finance than in theoretical physics.  And even from my current vantage point, it seems to me that my decision was correct.

What do you consider as your accomplishments up to this point?

I think it’s hard to talk in terms of accomplishments in business.  If I hadn’t done this or that deal first, somebody else would have.  In other words, one doesn’t usually build anything of lasting value.  If I were forced, I would say that at Bankers Trust, I was involved in many firsts including the first lookback option deal and the first Asian option deal (well if not the first then at least one of the first).  And at Merrill Lynch   I put together a good quant team which played a major role in our leadership in various market segments such as convertible bonds and the variance swap business when it started booming in the late nineties.  In terms of academic accomplishments, I am happy to have been part of the NYU masters program since its inception and even happier with the recognition that my lectures on the volatility surface and my subsequent book received.  The biggest compliment I got was when a student told me “you helped me sound smart at my interview”.

If you have a chance to start your career anew, what would you like to do differently knowing what you know now? Would it still be in finance or some other field?

If I had a chance to start over, I would listen better and concentrate more.  As for whether my career would be in finance or some other field, I think that the answer to this question is a function of circumstances; In 2010, as in 1983, we have just witnessed a major crisis of capitalism, one of the many crises that capitalism has survived.  I just read a piece by an economist who said that the recent performance of economics was so bad because all the smart economists had gone into finance.  In the future, i hope that we will see some kind of reallocation of resources so that smart people can find the same kind of financial and intellectual rewards in other fields as are currently on offer in the world of finance.  However, if I were graduating now, I would want to be in finance because that’s still where the money and brains are.

You recently joined Baruch College as a tenured professor in their Math Dept after seventeen years as MD at Merrill Lynch. Tell us the main reasons for you to leave Wall Street?

Who says I left Wall Street?  I still have many friends there and I expect to continue to be involved in some fashion.  As for why I became an academic, it’s primarily a question of personal and intellectual freedom.  I can decide how to spend my time and be more or less my own boss.  If I decide to travel somewhere or spend a day at the museum, nobody cares.  And I can write and speak free of commercial considerations.  That said, I still have to turn up to teach and my lectures better be good.

What do you miss most about your time on Wall Street?

If there is one thing that I do miss, it’s the fun of running a trading book and the energy of the trading room.  But I am looking forward to concentrating on teaching and research – you can’t really do these and trade at the same time!

What would you say contributed to your successful career as a quantitative finance professional?

Luck was of course a huge element in my success but as they say, luck favors the prepared.  I think in my case, my willingness to act with less than perfect information along with a willingness to communicate openly with others were significant contributors to my success.  And I do think that I have a certain skill in communicating complex ideas.

Why did you choose to join the faculty of Baruch MFE program instead of other big name programs?

They wanted me!  Kidding apart, the department is small and friendly, the students are good and it’s a mathematics department as opposed to a business school.  So there will be more opportunity for me to teach and study the kinds of things I like.  And of course the department has good mathematicians from whom I can learn.  I guess I should mention the purpose-built trading floor that we can use for trading simulations and last but not least, Dan Stefanica is very persuasive to say the least!

Besides teaching and doing research, what other projects/initiatives you’d like to spearhead in the next few years for the Baruch MFE program?

I think that teaching and research are enough don’t you?  However, as part of that, I think we may see participation in some wider initiatives such as the new Initiative for the Theoretical Sciences at the CUNY Graduate Center and the existing monthly New York Quantitative Finance Seminar.

If you have a chance to rewrite/update your book “The Volatility Surface: A Practitioner’s Guide“after the last credit crisis, what would you change?

I don’t think that the credit crisis as such would have caused me to change anything; equity derivatives models did fine during the crisis.  I wish the book were better written but then as my friend Bruno Dupire famously wrote in the blurb, I couldn’t have written a better book.  There is a lot missing in the book: hedging, model calibration and multiple timescale modeling to name just a few topics that are not really covered at all.

Your research has recently moved into Market Microstructure. Tell us what is significant about this area that captures your interest?

What is really interesting about this area is that nothing is yet well understood, and the timing is perfect because we now have access to huge amounts of high frequency data.  Obviously, with my physics background, I am particularly interested in the recent developments in econophysics.  From the theoretical point of view, I think we are closer than ever to a good understanding of the process of price formation and from the practical point of view, simple physics-style models have already led to the development of more efficient algorithms that minimize transaction costs.

How do you connect Market Microstructure to Algo trading?

The way I like to define things, market microstructure is the theory underlying algorithm construction.  That said, most algorithms are even now constructed without any theory – there is still a huge opportunity for quants to get involved.

What would be the area in quant finance that will experience most innovative research idea and product growth in the next few years?

If you will forgive me for talking my own book on this one, I think that the answers are market microstructure and volatility surface dyanamics.  More specifically, there is likely to be less emphasis on exotic derivatives in my view and more trading will take place on exchanges.  This means in particular that we won’t need models to compute the prices of financial derivatives because pricing will be transparent.   And if there is less inventory on dealer books, that means that options dealers will need to better understand and model the shapes and dynamics of volatility surfaces, just as option market makers attempt to do today.  Up to now, models have been largely normative: We come up with some plausible process, derive some pricing formula, and fit the resulting model to market prices.  In the future,  models will have to have realistic dynamics, consistent with observation.  Control of execution costs will also be critical and for that, a good understanding of market microstructure will be essential.

What would you advise people who want a career as a financial engineer?

My advice to such people is the same as my advice to anyone embarking on any career:  Keep studying and learning, keep up with the latest research and find people to work with who will teach you something.

Where do you see a growth for people with quantitative background?

Obviously, my background is finance and I do think that there will be continued and increasing demand for people with quantitative backgrounds.  I can foresee a time when it will be more or less impossible to get a trading job without a graduate qualification such as Baruch’s Masters in Financial Engineering.

Many have an unrealistic expectation or idealism of what a quant do, mostly from movies and books like “Wall Street”, “My Life as a Quant”, “Liar’s Poker”. What would you tell them?

I agree that, to me at least, “Wall Street” was not very realistic but both  “My Life as a Quant” and “Liar’s Poker” were pretty realistic I thought.  I take the attitude that most disappointments of this sort are not related to actual differences between expectation and reality but more to the individual’s view of reality.  I always insisted to the quants that they ran the business and I meant it: Changing a model changes the way traders behave – something that is very hard to achieve as a trading manager.  An alternative view might have been that these same quants were just producing models on trader request.  There is some truth in both views but the first point of view is life-affirming, reinforcing the quant’s view of his own responsibility to the firm.  The second point of view, taken to an extreme,  absolves the quant of any such responsibility.  One can easily see how two quants faced with the same reality can have very different levels of career satisfaction.

You have been involved with teaching and hiring many graduates of MFE programs, first at NYU and now at Baruch MFE, and in your role at Merrill Lynch. What do you think about the curriculum of these programs, the quality of the graduates and what would you like to change about it?

Different programs have developed different personalities and there are many good programs.  I would like to see more graduates develop more intuition for models and markets before they join companies.

Many students have viewed MFE programs as a quick pathway to a “get rich quick” job on Wall Street. In fact, the number of universities opening up this type of programs has increased the past decade. This leads to a wide quality disparity among people coming out of these programs. What would you advise aspiring students who plan to join these MFE programs?

I would advise students to pay careful attention to the content of a masters program.  The prestige that comes from being admitted to one of the top schools will get you through the first year or two but not necessarily further.  A masters program offers the student a golden opportunity to build a solid basis for his future career; course content and quality of teaching are crucial.

What would be the essential skill/knowledge every financial engineer should have?

Every financial engineer, in addition to what is taught in a typical masters course, should be able to communicate effectively with non-specialists and should have a basic understanding of business and financial accounting.

What other job options should one look at outside of Wall Street where quantitative skills are appreciated?

I’m no expert.  But based on the people I have seen hired as quants, bio-engineering and computational genomics are two areas in which highly quantitative graduates can find rewarding employment outside the financial industry.

SEC has charged Goldman Sachs with defrauding their investors in one of the CDO deals. What would be your comments?

It’s not at all clear that the SEC will be successful in their case against Goldman Sachs.  After all, which sophisticated investor thinks that the security that is being recommended to them is not being shorted by somebody else.  Moreover, Goldman’s case seems to be that the client was told that this particular CDO was being shorted by Paulson.  Nevertheless, Goldman Sachs is already guilty in the court of public opinion and this helps to prepare the ground for much tougher regulation of investment banking.

With the government stepping up effort to regulate Wall Street, are the days of “innovative financial products” over or will we see Wall Street remake itself to adapt to a stricter environment?

I think we will continue to see innovation in financial markets but pricing will be much more transparent than in the past with more trading taking place on exchanges and certainly much improved reporting of transactions.

Much has been said about “quant” in the media the past two years. Where do you think these financial engineers play a role in the credit crisis? What lessons can we learn going forward?

I don’t think that quants are to blame for the crisis but nor are they blameless.  Many quants knew that credit models were seriously flawed yet how many of them spoke out clearly?  Chuck Prince of Citigroup has been pilloried for saying “as long as the music is playing, you’ve got to get up and dance” yet all he was doing was to elegantly (and perhaps unwisely) articulate what everyone including quants knew, which is that to be in the game, you have to play the game.  Some quant lessons to be learned are that model risk needs to be estimated and that it is crucial to model the underlying dynamics as faithfully as possible.

What do you think about the financial reform bill in its current form? Will the Volcker’s rule hurt or help Wall Street business and ultimately the economic recovery?

As far as I understand it, nobody knows what reform will precisely entail except that we now know who will be responsible for regulating various aspects of the financial markets. The Volcker rule will obviously not help Wall Street business nor can it help financial recovery; the aim of the rule (whose execution is yet to be defined) is to lessen the probability that taxpayers will have to once more bail out a financial firm in the future. Everyone understands I think that in order to reduce systemic risk in this way, we have to pay a price; the price will be reduced efficiency and reduced profits. That said, efficiency and profits are not ends in themselves – society has a right and a duty to regulate financial markets in my view. And increased regulation will definitely come – but who knows what good regulation should look like?

Quantnet recently reported that Robert Merton has rejoined MIT to teach in their MFin program. What do you think about the current collaboration between academia and industry when it comes to research on financial engineering? How can this relationship be improved to benefit both sides?

In my view, collaboration between academia and industry in financial mathematics and engineering has always been good and over time, this collaboration has only got better. One can even identify a number of practitioners who are really more like academics and a number of academics who are really more like practitioners. Industry obviously directly benefits from academic research through implementation of the latest ideas and techniques. Academics benefit from this relationship by getting constant inspiration for new (and relevant) research. The short answer to your question is that I don’t think that the relationship between industry and academia needs to be improved.

What are your favorite books? Movies? TV shows? Music?

I like reading history, I love the Almodóvar movies, I like watching Anthony Bourdain on TV and I enjoy playing piano and listening to classical music.

What is something about you that most people don’t know?

I sincerely hope that most things about me people don’t know.

What other projects are you involved in?

Teaching and research are my only projects – other activities are just hobbies.

What would you imagine yourself doing 10 years from now.

Teaching, research, looking after students…

Thank you for your time, Dr. Gatheral.

Source: http://www.quantnet.com/interview-with-jim-gatheral

The Baruch MFE team ranked 3rd out of 50 teams representing 46 academic institutions from four continents in the eighth annual Rotman International Trading Competition (RITC) that took place in February 2011 at University of Toronto. Top Five:

1. M.I.T.
2. University of Chicago
3. Baruch College/ Baruch MFE
4. Northwestern University / Kellogg School of Management
5. University of Toronto / Rotman School of Business

The Baruch MFE team won the High Frequency Algorithmic Trading section of the competition in a decisive fashion (finishing first twice and second once in the three final heats), and placed among the top 5 teams in three other trading contests (of a total of six):

1st place: High Frequency Algorithmic Trading
3rd place: Sales and Trader
3rd place: Quantitative and Event Driven Trading
5th place: Interest Rates Trading

Our students performed at a remarkable level of consistency, never ranking below 16th out of 50 teams in any of the six trading contests, and formed a real TEAM.

The team was trained by Mr. Eugene Krel (Baruch MFE’09 and Quantitative Brokers; member of the first Baruch MFE team at RITC 2009).

By Christian J. de Rojas

On Friday, February 25, 2011, alumni, students and guests enjoyed a memorable visit to two of the most prominent institutions in Wall Street – NYSE/EURONEXT and The Federal Reserve Bank of New York.

At the Federal Reserve Bank, we were treated to a guided tour of the special coins collection sponsored by The American Numismatic Society. Greek Drachmas, Spanish Doubloons and American Eagles, just to name a few, were some of the items representing a wide gamut of mints and nearly three thousand years in economic history. A very realistic, three dimensional hologram of a standard gold bar, captivated the audience too. Moreover, the highlight of the visit was our guided tour of the largest gold depository in the world. Resting upon the foundations of Manhattan schist rock, and under sea level, the vault protects approximately 216 million troy ounces of gold. At today’s value of $ 1,427.81 per oz., this represents approximately 339.25 billion USD or about “22 percent of the world’s official monetary gold reserves” (Federal Reserve Bank of New York).

The next stop in our visit to Wall Street was the largest stock exchange in the world – The New York Stock Exchange. Alumni, students and guests were treated to a lecture that covered intra-day operations as well as trading platforms for hybrid trading in the exchange. In addition, we were allowed to pose questions that ranged from volatility control mechanisms to optimal trade executions in hybrid platforms.

The “Big Board” – as NYSE is also known popularly, traces its origins back to the Buttonwood agreement signed by 24 stock brokers on May 17, 1792. According to the World Federation of Exchanges, at 11.84 trillion USD as of Dec 2009, it is the largest exchange in the world by market capitalization. From the visitors’ gallery, our group observed the energy and excitement of a bull market day near closing bell time.

Following a tradition among Baruch MFE students, and to close the journey into the heart of the financial district, we visited a famous European restaurant. This jovial gathering served as an exchange of information about the general state of financial markets and possible career paths within the financial engineering profession. Because of its privileged location in the financial capital of the world, Baruch MFE students compliment the academic experience with first-hand exposure to Wall Street.

The tradition of social activities is alive and well at the Baruch MFE Program, with an array of recreational events organized by the Financial Engineering Society of Baruch College (the Baruch MFE student organization). Over the past few months, our students and alumni attended events ranging from opera at The Metropolitan Opera House to discussions about the markets at our local wine bar.

Carmen by Bizet at the Met
Alumni, faculty, and students were treated to a captivating production of one of the world’s most famous operas at The Metropolitan Opera House. This year’s cast featured rising stars like Elina Garanca (Carmen), and Brandon Jovanovich (Don Jose). More than 30 people from the program attended this year’s concert, making it one of our trademark events and an annual tradition at Baruch. The MFE program at Baruch is a strong community that produces not just ultra competitive professionals, but well-rounded individuals who enjoy both higher mathematics and operatic masterpieces.

Wednesday Weekly Social
Every Wednesday, two of our professors, Jim Gatheral and Bob Spruill, meet informally with student at the local Wine Bar. Current events in the financial and political world are discussed. In addition, it is also a forum to discuss and get guidance on career related issues as both the professors have deep roots as practitioners. These discussions offer a perspective of the industry that cannot be found anywhere else.

Museum of Natural History
More than a visit to one of New York City’s top attractions, this was a journey across a myriad of scientific fields whose richness varies from paleo-biology to astrophysics and cosmology. Baruch MFE alumni and students were treated to a one hour guided tour of some of the museum’s iconic collections, including the Cetacean’s exhibit – featuring a full scale, blue whale – a reproduction of a tropical canopy, and a visit to the Hayden Planetarium. We also enjoyed an IMAX movie about the universe and dinner at a Spanish restaurant afterward.

Date: July 25, 2012
Time: 5:30pm
Location: Room 8-210, Vertical Campus (Lexington Avenue at 24th Street)
RSVP: http://events.embark.com/event/baruch/weissman

Seating is limited to 75 participants. For more information and to register click here.

The Baruch MFE Program won the 2012 Rotman International Trading Competition.

The Baruch MFE teams ranked first and fourth place out of 50 teams from 44 academic institutions in the ninth annual Rotman International Trading Competition that took place in February 2012 at University of Toronto. Click here for more information; complete results.

Baruch MFE Professor Jim Gatheral is in the March 2012 Faculty Spotlight at Baruch College: The Jim Gatheral Effect: How This Top Quant Has Changed Baruch College

The next Baruch MFE Information Session will take place on July 25, 2012 at 5:30pm. RSVP and more information can be found here.

The next Online Chat with the Baruch MFE Program Director and students: Friday, March 3, 8-9am EST (NY time). Sign up, join the chat, and find transcripts of previous chats here.

Employment Update – Baruch MFE December 2011 graduates
Placement Rate: 16 of 17 (as of January 20, 2012)
Starting Salary: High 150K; Low 70K; Median 95K; Average 101K

More details can be found here.

The book “A Primer for the Mathematics of Financial Engineering” by Dan Stefanica is the top QuantNet bestselling book of 2011, with the Solutions Manual being third on the list.

Fall 2012 Application Update: In an effort to simplify the application process to the Baruch MFE Program, we only require the submission of official transcripts once an admission offer is made; click here for more information.

The application deadline for Fall 2012 admission is April 1, 2012. Applications are evaluated on a rolling basis.

The Baruch MFE Program ranked 5th in the 2011 QuantNet Ranking of Financial Engineering Programs.

An online C++ course is offered as part of the Pre-MFE Program at Baruch College. With content created by Dr. Daniel Duffy and offered through Quant Network, the C++ certificate is specially tailored, through financial applications and assignments,  to provide the necessary C++ background for graduate education in financial engineering.

Pre-register for the online C++ course.

The Pre-MFE Program at Baruch College

The Baruch MFE Program offers a Pre-MFE Program for prospective applicants to graduate studies in financial engineering:

Advanced Calculus with Financial Engineering Applications

Dates: November 2 – December 21, 2011. Syllabus

Probability Theory for Financial Applications

Dates: January 31 – March 27, 2012. Syllabus

Instructor: Elena Kosygina

Numerical Linear Algebra for Financial Engineering

Dates: February 1 – March 28, 2012. Syllabus

Instructor: Dan Stefanica

Details can be found here. Enrollment is now closed.

Attilio Meucci’s Advanced Risk and Portfolio Management bootcamp, hosted by the Baruch MFE Program in August 2011,  was attended by 225 participants from 31 countries.

Baruch MFE Curriculum Update

Three new courses will be offered for the first time in the 2011-2012 academic year:

MTH 9882 Fixed Income Risk (Fall 2011)

MTH 9884 Machine Learning (Fall 2011)

MTH 9896 Behavioral Finance (Spring 2012)

Click here for curriculum details.

The 2009-2011 Baruch MFE Employment Report contains full-time and internship numbers aggregated over the last three years, and including details on employers, job functions, job industry.

The Baruch MFE team finished 3rd in the Rotman International Trading Competition in Toronto, out of 50 teams representing 46 academic institutions on four continents. Congratulation to team members Amanda Kotler, David Rapaport, Alexei Smirnov, and Yike Lu!

The Baruch MFE team won the High-Frequency Algo Trading contest, and was in top five in Sales & Trading, Commodities Trading, and Interest Rates Trading. More details can be found here.

Baruch MFE Program Reviews by alumni can be found here.

Have you ever wondered what a typical day in the life of a Baruch MFE student looks like? Four of our students share it here.

Detailed information about the Baruch MFE courses, beginning with the core required courses, will be posted on the Curriculum webpage. This will include detailed syllabi, sample assignments, final exams.

MTH 9814 A Quantitative Introduction to Financial Instruments

MTH 9821 Numerical Methods for Finance I

MTH 9831 Probability and Stochastic Processes for Finance I

MTH 9848 Elements of Structured Finance

MTH 9862 Probability and Stochastic Processes for Finance II

MTH 9875 The Volatility Surface

MTH 9879 Market Microstructure Models

It is with great pleasure that we are able to announce that Dr. Jim Gatheral will join the Baruch MFE Program in August 2010 as a tenured Professor in the Mathematics Department at Baruch College, City University of New York.

Dr. Jim Gatheral, one of the top quants in the world and author of the best selling book “The Volatility Surface: A Practitioner’s Guide“, has been a Managing Director at Merrill Lynch for 17 years.

Dr. Gatheral’s addition to our faculty will offer our students the rare opportunity to learn first hand from a preeminent practitioner.

We are looking forward to having Jim in our department and program, and to learning from him, for a long time to come.

Transcripts of previous chats can be found following the links on the right.

Join the live chat and sign up for reminders below:

Getting Around NYC

One of the best things about New York is that it’s got the oldest and most elaborate subway system in the country.  Get yourself a subway map and use it!  You can also find subway and bus maps online at the MTA website. If you know where you want to go, but don’t know how to get there, you can visit hopstop.com– just type in an address and a map of the location pops up with nearby subway lines highlighted.

When riding the train, take the time to make sure you are getting on the right train in the right direction. That said, at some point during your stay, you will inevitably end up on the wrong train. Don’t feel bad, it happens to everyone. Look for signs in the station and listen for announcements about track changes due to construction. Some trains don’t run at all (or run on a different track) late nights or on the weekends, so be sure to read the signs carefully.

Manhattan, for the most part, is a nice, neat grid. The avenues run north/south. Most of the avenues (11 of them) are numbered, beginning in the east and getting higher as they go west. Streets run east/west and the numbers get higher as they go north. In order to figure out where to go using a map, you’ll need to know which way is north. If the street numbers are getting higher, you’re heading north. Also, on one-way, even-numbered streets, the traffic runs east and on odd-numbered streets, traffic runs west.

You can also bike in New York City, either for recreation or to get to work. There are several greenways in the city, including the West Side Greenway, which runs along the west side of Manhattan along the Hudson. You can also bike in Central and Prospect Parks.

Eating and Entertainment

There’s no shortage of great food in the city, and you’ll want to try it all, so learn how to do it cheap.  Pick up a guide to cheap eating – a number exist, or visiting websites like ny.com, citysearch.com and timeout.com that feature reviews of the cities most inexpensive spots. You can also pick up a copy of The Cheap Bastard’s Guide to New York City for other ways to save some dough. Make a point of finding the $1 tacos and $2 falafels in your neighborhood. And you can always save a ton of money by bringing your lunch to work!

For entertainment needs, Time Out New York, the Village Voice, and L Magazine are great resources for weekly information on music, film, theatre and museum events. Time Out will cost you about $3 at newsstands, while the Village Voice and L Magazine are available on the street for free! Free! Free!

In New York City you can practically see the whole world: from Russian Brighton Beach to Greek Astoria and from Italian Bensonhurst to Manhattan’s Chinatown. Plan daytrips to visit (and eat in) the neighborhoods of New York.

TKTS is a discount ticket service for Broadway shows operated by the Theatre Development Fund.  There are two booths, one located in the heart of Times Square, the other at Bowling Green Plaza in downtown. Both sell day-of-performance tickets for Broadway and off-Broadway plays at 25%-50% off the usual price (plus a service fee).

Parks! Parks! Parks! Spending the day in one of New York’s many parks can be relaxing or energizing, and always free! In fact, there’s often free wireless in the park. The Murphy Institute is a mere block away from Bryant Park. For those living in Brooklyn, Prospect Park is the Central Park of Brooklyn.

If you’re interested in visiting one of New York’s dozens of museums, don’t be discouraged by the entrance fee.  Most museums have a student price, and in the case where a contribution is requested, student donations can be small. Also, many museums have a free day!