2007 was quite a year. It started with two weeks vacation and a friend’s wedding in Rarotonga in the Cook Islands. That was an amazing experience. Two weeks with nothing to do except hang out with friends, soak in the sun, swim with all the tropical fish in the light blue waters of the lagoon, relax and think. I need a vacation like that every winter to de-stress and clear my mind.
Upon returning to Switzerland it was all on. First up, personal life issues that continued on for another 8 months… but I’m not getting into that here. Then there was the whole PhD to deal with. Research to finish, papers to write, and of course the thesis to write. I ended up putting more effort into this last bit of research than I had planned. It paid off with getting a publication into one of the top conferences in the world, followed by a 50 page journal publication. In all, a total of 5 publications for the year, which is a pretty good haul.
After finishing this work I then started on my thesis full time, however about a month into that my PhD position ended, and so I switched to a post doc in finance at the university. Moving into a new field is not easy — before doing any research you need to catch up on what everybody else has been learning in their studies for the last few years. So that kept me pretty busy during the week. Some of the math was familiar, however I’d never studied stochastic calculus before and it turns out that this is the lingua franca of finance. It’s not an easy subject. With finance taking most of my week, evenings and weekends became thesis time. This slowed down my thesis writing a lot, and it also meant that I was working 7 days a week. I went months without having a day off. Becoming single near the start of all this was probably a blessing as I could never have finished everything otherwise.
It’s now the end of the year. I’m finally starting to get some financial simulations working that should grow into my research into asset pricing models. I’m playing around with the last few pages of the last chapter of my thesis, and my PhD supervisor is currently reading the rest. Hopefully I can clean up the remaining issues in the coming weeks and then send it off to my committee. With such a good publishing record I don’t expect the defense to be any problem.
Phew… what a year. But in the end, everything I had to do I got done, moreover, I did it well.
1 response so far ↓
1 Falafulu Fisi // Jan 9, 2008 at 9:29 pm
I’d never studied stochastic calculus before and it turns out that this is the lingua franca of finance
That’s true. I am developing a Java software library or API (application programming interface) in this area to be used in a web application. I love doing numerical modeling in Finance (Stochastic Differential Calculus), since it captured all the methods used in other scientific disciplines. For example, topics that are applicable in numerical Finance comes from Differential Calculus, Statistics, Physics (well known one is the Black-Scholes model which is solved using the heat equation of thermo-dynamics), Signal Processing , Feedback Control Theory & Systems Dynamics, and more. Interesting field.
PS : I never formally studied finance, just being self-taught, since I am familiar with the maths already (which I specialize in scientific computing) my transition to learning computational finance was no hassle.
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