“You are likely to still be ahead”

Discussion in 'SP6' started by Edwin, Jan 25, 2016.

  1. Edwin

    Edwin Member

    Friends there was a lot of debate in the past regarding the usefulness of this subject with many suggesting that all it can do is get you an interview at an Investment Bank. However, I studied this subject and enjoyed it very much hence I decided to take some of the problems to their logical conclusion by doing a thesis in Quantitative Finance. Surprisingly there is very little I don’t know, the only shortfall in this subject just like other Actuarial ones is that we learn things in theory. Hence the only gap I’m filling now is actually implementing all I learnt e.g implementing different kinds of Monte Carlo Methods in Matlab etc

    My thesis is about modeling credit risk under tail events by adjusting the volatility input with reference to the Implied Volatility of OTM put Options via a Volatility Index (VIX). The implied volatility derived from Options prices is similar to the strike price of a Variance Swap. I compare this approach to local and stochastic volatility models. I have a supervisor who are quiet hands off but I am not struggling at all, just enhancing my programming skills. Also If you really enjoyed this subject and studied hard you are likely to be ahead of most people in Quantitative Finance. I have seen Actuaries take the lead at Accounting Conferences and during Merger and Acquisition projects.

    So I thought I could share with you that yes indeed: Actuaries are going to rule the world, “you are likely to still be ahead.”

    Will share my thesis here when done
     
  2. Imidinho

    Imidinho Member

    At which University are you doing your thesis through? Are you getting sponsorship from your employer?
     
  3. Edwin

    Edwin Member

    I'm in South Africa
     
  4. Mdletshezela

    Mdletshezela Member

    Obviously you'll know who this is.Lol.
    You have taken this exam sitting and made it enjoyable because you never fell for typical traps that most Actuarial students do.
    One question though.
    How important is programming for this route that you've chosen?
    I'm looking to get myself certified in Java or C# in September.
     

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