November 30 05: The Final Exam is available. Click on link to the left. See instructions on exam sheet.
November 27 05: A financial markets experiment will be held Thursday 12/1 starting at 7:15pm. More news about it to come. See also http://clef.caltech.edu/exp/dc.
November 20 05: A financial markets experiment will be held Tuesday evening starting at 7:15pm. See http://clef.caltech.edu/exp/dc.
November 19 05: Homework 5 is available. See link to the left.
November 13 05: Homework 4 is available. See link to the left.
November 8 05: The Financial Times got back to me and offered to provide copies of the Financial Times Guide To Investing, which, as explained in class, is must reading for those who are not familiar with financial markets. The bookstore will get 35 copies soon, for sale at $69.50. I'll keep you posted.
November 5 05: To facilitate planning, here is some information about the remainder of the term. Homework 4 will be handed out next Monday, due on 11/21. Homework 5 will be handed out 11/21, and is due 11/30. The take-home final will be available 12/1 and is due 12/8. I'm working on an experiment for this coming week.
November 3 05: Stephan Meili of Barclays Capital is looking for graduate students interested in a job in (financial) risk management. This job requires, besides BEM 103, a minimum of BEM 105, and very strong statistical/stochastic process background. See announcement. I advise that talented and motivated undergraduates also apply (Stephan Meili has little experience with the quality of Caltech students).
November 2 05: Alejandro Ortega, Caltech alumnus, sent an announcement of an information session on jobs as actuary with Farmer's Insurance.
November 1 05: Solution set to Homework 2 and graded homework 2 are available. See TA web site (link to the left).
October 30 05: Homework 3 is available. Click on the link to the left.
October 27 05: The TA, Noah, has just set up his own web site to facilitate communication. You will find hints, solution sets, grade distribution and announcements for Q&A Sessions. See link to the left.
October 24 05: Job opportunities with the hedge fund Tykhe Capital are here (Aaron Hicks, a former Caltech undergraduate, passed these along): (1), (2), (3).
October 23 05: Solution set for homework 1 is available - see link to the left.
October 22 05: Participants in today's experiment, don't forget to consult the News Page (at http://clef.caltech.edu/exp/dc) to remember how to pick up your earnings.
October 22 05: A second Q&A session for this week will take place on Sunday at 4pm. Go to the TA's office in 6 Baxter.
October 21 05: Hint for last question of Homework 2: the value of the firm (V) equals the sum of the value of its equity (common stock; E) and its debt (B). That is, the firm is really a portfolio of debt and equity. As a result, the beta of the firm (i.e., of the firm value) equals the weighted average of the betas of equity and debt, where the weights are determined by the ratios of E over V and B over V, respectively.
October 21 05: The Q&A session for this week will take place on Saturday at 9am in Baxter 127.
October 20 05: The second financial markets experiment will take place Saturday 10/22. The web site for the experiment is http://clef.caltech.edu/exp/dc. The experiment will last approximately 2 hours. Log in starts at 3:15pm. Markets start at 3:25pm promptly. Only the first 30 participants to log in will be able to play. If you do not wish to participate remotely, you can show up in the SSEL lab (basement of Baxter). Please read the instructions carefully and try the demo before participating.
October 20 05: The Q&A session for this week will take place on Saturday at 9am. Noah is inquiring to find a room. We'll also organize an experimental session for Saturday afternoon. We'll keep you posted.
October 17 05: Homework 2 is available - see link to left.
October 10 05: Clarification of collaboration policy on homeworks: 1) Are we allowed to compare answers? Yes; 2) How would you like us to document hints? Example "My friend Alex suggested that I take into account taxes on profits from re-selling the machine when computing NPV"; 3) How descriptive can hints be? See above.
October 6 05: Participants in yesterday's experiment, don't forget to consult the News Page (at http://clef.caltech.edu/exp/dc) to figure out how to pick up your dollar earnings.
October 6 05: Because Baxter 25 is too small for the class, we're moving to Beckman Institute Auditorium. So, next Monday make sure you go to BI, not Baxter.
October 6 05: The TA for the class, Noah Myung, will hold a Q&A tomorrow (Friday) 3:30-4:30pm, in Baxter 127. Again, you're welcome to send him email if you cannot make it.
October 5 05: Another recruiting annoucement: Mike Herrera, Mike Fisher & Sven Khatri, Caltech alumni, work in New York for Goldman Sachs, in the Financing Strategies Group. They will be recruiting on Caltech's campus next week. Info session: on Wednesday, October 12, 2005, from 6 to 7pm, in Avery Library. From the job description, I guess they're looking for people who do at least BEM 103 and 105, perhaps also ss/math 214.
October 5 05: The TA for the class, Noah Myung, will hold a Q&A on Friday. Time and place to be announced. You can also email him with questions about the homework: noah@hss.caltech.edu.
October 4 05: Copies of the textbook are available. Go to Patricia Hamad in Baxter 113. The price is lower than originally estimated: $27.
October 4 05: The first financial markets experiment will take place tomorrow, Wednesday 10/5. The web site for the experiment is http://clef.caltech.edu/exp/dc. The experiment will last approximately 2 hours. Log in starts at 7:15pm. Markets start at 7:25pm promptly. Only the first 30 participants to log in will be able to play. Contrary to the announcement in class, you can only participate remotely! (SSEL is taken, unfortunately.) Please read the instructions carefully and try the demo before participating. This experiment will be repeated various times during the term.
October 3 05: World Scientific has allowed me to make available a preliminary version of the second edition of the textbook. Caltech is now printing and binding it. The copies should be available from Thursday at the latest. Please go to Patricia Hamad in Baxter 113. The cost per copy will be approximately $38.
October 1 05: Homework 1 has been made available. See link to the left.
September 30 05: The publisher of the textbook, World Scientific, has contacted me because they are out of books (they did not print more because they have been working on a second edition). They promised to provide us with Print-On-Demands. I'm now inquiring how long that will take (they print in Singapore). If it takes too long, I'll ask permission to allow you access to an electronic version of the book that you can download.
September 29 05: Jonathan Bailly, of Dorchester Capital Advisors, informed Caltech that he is looking for interns. Here is the description. Also, he was looking for a short-term VBA programmer to help streamline/enhance some of their investment research tools (this may be outdated, because he contacted Caltech back in August). Contact him at 310-402-5081 or jonathan@dorchestercapital.com.
September 29 05: The bookstore ran out of copies of the textbook. A new order has been placed. You can also get the book from internet places such as amazon, or directly from the published (World Scientific).
September 29 05: David Krider, a Caltech alumnus, informed me that Analytic Investors, a portfolio management firm in downtown Los Angeles, is hiring Caltech students interested in a "quant" job. Contact him at dkrider@aninvestor.com. He's also asking for help in recruiting from students who run the Student Investment Fund.
September 29 05: Jeewhan Choi, a Caltech alumnus and presently Analyst, informed me that Citigroup Corporate and Investment Bank - Los Angeles is looking for Caltech students who are interested in an investment banking job (mergers and acquisitions, debt and equity issues,...). Contact him at jeehwan.choi@citigroup.com. Formal recruiting actually began about 3 weeks ago at all other schools (besides Caltech) and ends in mid-October, so hurry!
September 26 05: Don't forget to register in the ssel database in order to be able to participate in financial markets experiments. Sign up at ssel.caltech.edu. Also, send an email to exp@hss.caltech.edu; write in the subject line "BEM 103 - 2005" - credit will be received only for experiments that are announced through email from exp@hss.caltech.edu!
September 24 05: Millennium Partners, a "quant" asset management firm in Connecticut, is looking for people to join them. Again, this is advanced finance stuff, so BEM 103 and BEM 105 are a minimal requirement. They may be looking mostly for grad students, but Caltech undergraduates should not hesitate to inquire. Job description is here.
September 22 05: Stanislas Melnikov is looking for mortgage analysist (so, you'll need BEM 103 + BEM 105), to join Countrywide Financial. Job description is here. His coordinates: Stanislav_Melnikov@Countrywide.com; phone (818) 2253077 (message relayed through Jaksa Cvinatic, who teaches BEM 105).