Exponential Learning Part 1 - What One Can Learn in Two Weeks

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Exponential Learning Part 1 What One Can

Learn in Two Weeks

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By Joy Pathak - Updated August 11th, 2010

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So it has been quite some time now since my last blog post. But, it seems like there have been enough
blog posts and articles to keep you all busy. I would like to welcome all my new fellow bloggers to
Quantnet. I have been quite busy last few weeks with daily quizzes/homeworks and readings that I have
found almost no time to devote to blogging. Tonight, I finished up my Linear Algebra refresher quiz and
my daily readings so I decided to make a post over what has been going on the past few weeks. For
those who are curious about the heading, Exponential Learning, you will see soon enough the
reasoning behind it.
I recently finished my Advanced Calculus refresher course at Baruch taught by Dr. Dan Stefanica. He is
also the Program Director of Baruch MFE program. The great part of this course was the book. This is
the same book that I reviewed previously.The advantage to having an assigned book which was going
to be followed rigorously, was that if one had gone through the book in advance, the level of knowledge
gained from the course would increase drastically. It is almost mind blowing the amount of knowledge
and exponential increase in human capital I had over the 2 week course. I had previously gone through
the book, but the detail with which the material was presented was quite good and helpful. The learning
curve was definitely steep. I felt a bit of an advantage considering I had coded majority of the pseudocodes associated with the book. There were quizzes everyday, of varying difficulties, and a major
homework on each of the two weekends. The homework included putting in a significant amount of time
and were quite rigorous at times. The course ended with a final exam that included a written part and a
programming part.
So what can I say I learnt in the span of 2 weeks? I can proudly say that myself and I am sure majority
of my classmates can:
1. Price instruments in C++ using Black Scholes equation
2. Delta and Gamma Hedge financial instruments using C++
3. Conduct Numerical integration using Simpsons, Trapezoidal and Midpoint methods.
4. Conduct numerical analysis in C++ using Newtons method.
5. Price Bonds, interest rate swaps using C++ and Excel. Conduct bond portfolio immunization.
Calculate Bond Yield using Bootstrapping.
6. Compute implied volatility using C++.
7. Derive the Black Scholes equation using 3 different methods.
8. Find ALL the Greeks associated with options using C++
9. And so on.
The amount of knowledge that I have gained over the two weeks was truly amazing. This was one of
the main reasons behind my post heading, Exponential Learning. As can be seen above, C++ is the
main language of use here which is truly great as it seems like C++ is the main language of the industry

https://www.quantnet.com/exponential-learning-part-1/[6/12/2012 11:49:46 AM]

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Exponential Learning Part 1 - What One Can Learn in Two Weeks

too.
It would have been nice to span the course over maybe 3 weeks, but then again, we have to do two
more courses after the Calculus course namely; Algebra and Probability which are equally as important.
I am one week into the Algebra class which is also being taught Dr. Dan Stefnica, and I could make
another long list as I did above regarding what I have learnt in the week but I will not bother you with it.
The most fun I had out of all the homeworks in the on-going Algebra class was the pricing of financial
instruments using Binomial trees. I also enjoyed the construction of Pay-Off matrices of several assets
and various states and then searching for arbitrage opportunities within these set-ups. Some of the
arbitrage questions assigned were almost like a scavenger hunt. One had to look for the clues
associated with the question to find the arbitrage opportunities, whereas in some, you just had to follow
the instructions on the map to look for what you want.
Have I mentioned I have not even started my semester yet? For those who are interested in the
refresher courses it seems like some courses might be made available to the public in the near future.
Our Algebra class currently has some outside students and there might be a Calculus refresher that
might be offered next semester for outside students too. Be on the look-out on Quantnet forums for
updates. I will have to say that the requirements to get into the refresher seminars for outside students
is quite high as I have noticed from our current students. PhDs and Masters seems to be almost a norm
whether youre a student of the program or an outsider taking the refresher courses.
Overall, I have been learning a lot. It truly showed me how much I did not know. In addition, I have been
learning and assistant Dr. Jim Liew (CEO of AQC) with his assignments to full-fill my requirements of a
Quant Strategist/Analyst at his firm. They are currently building some of the products which will go in
production soon enough. Be on the look-out at www.alphaquantclub.com, as many new and interesting
entities will be out there soon.
I also will have the great opportunity to assist the organisers with the Advanced Risk and Portfolio
Management Seminar at Baruch. The great advantage to me will be the fact that I will be able to sit in
the lectures hopefully and that is almost priceless. Well not exactly priceless ($850 for Student or
$1200 if you use QuantNet discount. $1550 for everyone else). You can get more information here.
More than 200 people have already registered from over 30 countries. This is a huge program and is
one of a kind. If you are interested, I will highly recommend it. If 200 people are travelling down to New
York from 30 different countries, I am sure it is implied that is is a very important seminar and should
not be missed if you have the opportunity of being able to be a part of it. The benefits are limitless in
addition to what is mentioned on the website in terms of immediate gain.
I will make more frequent posts from now on, as it seems some people were quite upset (wink wink)
with my short little 3 week hiatus from the blogosphere. I will make several Exponential Learning blog
posts. These will primarily include my experiences within the courses and what all I have learnt. They
are in short, going to be class reviews but in a very casual form.
I wanted to make another small statement for people reading. I have been getting a lot, and I mean A
LOT of emails on LinkedIN and my Gmail from people looking for career and education advice. I try to
answer all your emails, but you have to understand I am quite busy as well. You are better of posting
on QuantNet forums for your advice, and a wide array of frequent posters will be able to assist you
better than I will be able to at this time. Sorry about the inconvenience, but I do appreciate all the
messages.
Until next time
Tags: advanced calculus, Baruch MFE, Joy Pathak, preparation, primer financial engineering, quantnet
Related posts:
1. How to Prepare for Financial Engineering Programs Part 2
2. To Oil or Not to Oil: Part One
3. How to prepare for Financial Engineering programs Part 1

1 Comment
Interesting. I would love such a crash course in C++.
stat arb, 10.30.2010 [04:21 am]

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https://www.quantnet.com/exponential-learning-part-1/[6/12/2012 11:49:46 AM]

Exponential Learning Part 1 - What One Can Learn in Two Weeks

https://www.quantnet.com/exponential-learning-part-1/[6/12/2012 11:49:46 AM]