Category: T_UChicago

BS sub-topics to skimp

Posted on by tiger40490

Many people consider the BS-Model a simple and easy model. Well yes when compared to the dozens of other models in use. However, C language is simple, but not simplistic; cooking is simple but it can be a fine art; drawing in pencil is simple but there are great artists in it. There are really too many non-trivial details in/around BS. As an example, I used to feel I must become thorough with PCP, but now I think a thorough understanding of PCP doesn’t help me gain a deeper understanding of BS model. In fact, the increased knowledge doesn’t stick. After a few years I am again slow with PCP.

No thick->thin.

Some of the core concepts I can’t skimp:
* the basic dS / S = m dt + sigma dW equation is a stoch integral equation, so understanding the precise meaning of a stoch integral
* Ito’s formula? Many practice problems, many blog posts, but still unable to relate to the BS equation

Some “foundation” topics to skimp:
– all the confusion about the fwd contract vs fwd price. Wrong focus – I wasted too much time trying to go thick->thin but failed.
– arbitrage construction. Not possible to develop deep intuition and go thick->thin – super-replicate/sub-replicate.
– “complete market”
– how to calc historical vol – another wrong focus
– RN measure vs physical measure – another wrong focus. Just remember RN measure is the only measure relevant to the math

Here are some worthwhile and central topics to postpone to Day 2:
– div
– various interpretations of N(d1), N(d2) — only for European options.
– greeks moving towards maturity
– all the intuitive heuristics about greeks — important to traders, not much to a quant developer

Here are the topics that are supposed to be intuitive, … but not “sticky” for me – call/put “restrictions” in [[Crack]]
– “directionally correct”
– tradeable — why is interest rate not tradable?

UChicago BS study – lacking ROI; poor retention

Posted on by tiger40490

I was serious about stoch calc and op pricing. To a less extent, I was also serious about trading strategy, FID … I focused on the fundamentals, core concepts, and intuitions… Result? no positive feedback loop. Low retention.

I thought my focus on fundamentals would help me go thin->thick->thin, but alas. I wasn’t able to remember much on any topic.

Not integrated into my work. I guess study of chemistry, biology,  … can feel the same way.

Without any tangible return and positive feedback loop to keep me going, I eventually scaled back my “investment”. My time was better spent helping my kids, learning c++, cloud, javascript, …

[15]UChicago study does add2the stress

Posted on by tiger40490

This has been a massive investment in $ and time, typically 20 hours/week for each module, taking up most of the weekends. Once started, I didn’t have the option to quit halfway or take a break. At this moment, I have only 150 units to complete. I can actually use 100 units for pass-fail. And I know there’s no real risk of not passing.

However, for the Jan-Mar period, this still feels like a major stressor along with
* Boy going to P2 (Lucky not yet P6)
* wife going back to work
* rearrange the house ..
* ADE
(* lucky no job instability. No need to prepare for job interviews) (* lucky no strain with in-laws, threatening the marriage.)
(* lucky no personal investment to worry about)
(* lucky no renovation to worry about)

Each requires adjustment, adaptability, observations, many, many small decisions.

As the advice goes, “Spread out the changes” because these stressors add up.