Category Archives: Finance

Ryan Peng ’14, Hanweck Associates

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Mon­day, March 19, 2012

I arrived at Han­weck Asso­ciates a cou­ple of min­utes before 9 am. Dr. Han­weck intro­duced us to every­one in the office and explained a bit about what his firm does on a day to day basis, although each day is dif­fer­ent and can be unpre­dictable! Shortly after­wards, the big news of Apple announc­ing a div­i­dend pay­out to its share­hold­ers reached the office, so most peo­ple were work­ing on updat­ing the data­bases of option pric­ing infor­ma­tion. After every­one set­tled down into nor­mal work, Wes­ley, the other Princetern, and I talked with Dr. Han­weck and started to ana­lyze his­tor­i­cal data on div­i­dend pay­out dates and amounts. Using Excel, we com­pared the actual dates and amounts to pre­dicted dates and amounts pro­vided by two ven­dors in order to see if the ven­dors were doing a good job. This is impor­tant because Han­weck Asso­ciates buys this div­i­dend pre­dic­tion data from the ven­dors and uses it in their cal­cu­la­tions and mod­els. We worked on this for the rest of the day and decided to switch from Excel to C++ in order to parse the data more effi­ciently. Through­out the after­noon, we got to talk with the asso­ciates in the office and learn more about what projects they were work­ing on – lots of cool stuff all going on at once! At the end of the day, we sum­ma­rized what we found and talked with Dr. Han­weck and Andy before leav­ing the build­ing at 6.

Tues­day, March 20, 2012

On the sec­ond day, we started off by fin­ish­ing up details on the div­i­dend pay­out com­par­isons. We found some inter­est­ing pat­terns and results in the data, so we noted those and passed them on to next per­son who would be using them. After lunch, we started on our sec­ond project with the help of Jeff and Dr. Han­weck. The goal of this project was to build a com­puter pro­gram that approx­i­mates the Hes­ton model option pric­ing equa­tions, using the results of an ear­lier aca­d­e­mic that derived first and sec­ond order approx­i­ma­tion with sto­chas­tic cal­cu­lus. We decided to imple­ment this in Java, and we worked on this till the end of the day. It was def­i­nitely a tough project for us since the equa­tions were pretty com­plex, and the paper was hard to fol­low since we had to grasp some hard math­e­mat­i­cal ideas in order to under­stand the first and sec­ond order approx­i­ma­tions. By the end of the day, we had a func­tion­ing pro­gram that com­plied but gave the wrong numer­i­cal results. We chat­ted with Dr. Han­weck about what his com­pany does and about dif­fer­ent option pric­ing meth­ods before we left the work­place at 6:30.

Wednes­day, March 21, 2012

Ryan, fel­low Princetern Wes­ley, and Dr. Jerry Hanweck

Today, we con­tin­ued to work on the Hes­ton model approx­i­ma­tion. We started off by going through the entire pro­gram to trace what hap­pens at each step and to make sure that we put in all the approx­i­ma­tion for­mula com­po­nents cor­rectly. With some help from Dr. Han­weck and a few oth­ers, we located some bugs in our code and fixed them. Now, our code was get­ting closer to the right num­bers but was still off by about one per­cent. We decided to go for lunch and brain­storm ideas on how to per­form addi­tional test­ing. Since we did not know for sure whether this was caused by bugs in our code or whether this error is inher­ent in the approx­i­ma­tion itself, we decided to look in aca­d­e­mic jour­nals for numer­i­cal data and results done by oth­ers. After lunch, we found some data and com­pared it to our results and saw that we matched their results fairly closely. We fin­ished up the pro­gram by clean­ing up the vari­ables and adding some extra com­ments so that the next per­son who works with this code can bet­ter under­stand what we were doing. It was get­ting close to the end of the day, and I couldn’t believe how fast this Princetern­ship went by! We looked around the work­place and talked with oth­ers to see what they were cur­rently work­ing on. After­wards, we fin­ished the day by chat­ting with Dr. Han­weck about what we had done with the Hes­ton model approx­i­ma­tion project. Over­all, I greatly enjoyed this Princetern­ship and learned a lot through hands-on expe­ri­ence. I was able to apply some of the mate­r­ial I had learned in ORF 335: Finan­cial Math­e­mat­ics, so the prac­ti­cal expe­ri­ence nicely com­ple­mented the the­ory I had learned in the class­room. I would like to thank Dr. Han­weck, Andy, Jeff, and every­one else at Han­weck Asso­ciates who shared their knowl­edge and sto­ries with us. It was a won­der­ful expe­ri­ence, and I am look­ing for­ward to work­ing at a finan­cial firm again.

Thomas Senecal ’14, Citigroup Inc.

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 On the first day of Read­ing Period after win­ter vaca­tion, instead of relax­ing back on cam­pus, I woke up early for my Princetern­ship at the New York City office of Mr. Tim­o­thy Dou­glas ’86, the Man­ag­ing Direc­tor and Global Head of Secu­ri­ties Finance within the Global Trans­ac­tion Ser­vices divi­sion at Citi. I arrived at 8 AM to find Mr. Dou­glas already at work on con­fer­ence calls. Hav­ing never been inside a large bank like Citi before, I quickly real­ized while lis­ten­ing in on the con­ver­sa­tion that I had much to learn!

After a call with another bank of which Mr. Dou­glas’ divi­sion is a client (a rela­tion­ship he described as “co-opetition,” since Citi and this bank coop­er­ated in this rela­tion­ship, but com­peted in oth­ers), I joined Mr. Dou­glas in a review meet­ing of the division’s Decem­ber 2011 per­for­mance in the Amer­i­cas, EMEA (one of the many acronyms used dur­ing the day– EMEA stands for Europe, the Mid­dle East, and Africa), and Asia. As Global Head of Secu­ri­ties Finance, Mr. Dou­glas must man­age his division’s per­for­mance and oper­a­tions around the world, so he had sev­eral ques­tions for the rep­re­sen­ta­tives from each regional divi­sion on the call. Imme­di­ately fol­low­ing, I lis­tened in on another inter­na­tional call con­cern­ing Citi’s secu­ri­ties lend­ing ser­vices, which allows large insti­tu­tional clients like pen­sion funds to lend their stocks and bonds to other Citi clients like bro­kers and banks to cover short sales.

Mr. Dou­glas kindly let me sit in on his entire busy day, and sub­se­quent meet­ings and calls dis­cussed every­thing from staffing to how Citi man­ages some of its ser­vices. In the few min­utes between these meet­ings, Mr. Dou­glas answered my ques­tions about pre­vi­ous meet­ings, the struc­ture of Citi as an entire orga­ni­za­tion, as well as about the finance indus­try in gen­eral. As some­one who is seri­ously con­sid­er­ing a career in finance after grad­u­a­tion, I was very grate­ful to receive advice from some­one as expe­ri­enced as Mr. Dou­glas, who has worked in the indus­try since 1986, on every­thing from Busi­ness School to the cur­rent eco­nomic cli­mate. Beyond this valu­able advice, sit­ting in on these meet­ings and calls gave me a great sense of the day-to-day work of the Secu­ri­ties Finance divi­sion, as well as the impor­tance of a strong work ethic to main­tain such busy sched­ules (while I left Citi at 5:30, Mr. Dou­glas’ work­day did not end until after a 7:00 con­fer­ence call), and with the many inter­ac­tions between co-workers across the globe, of the high impor­tance of great inter­per­sonal skills!

I felt very priv­i­leged to have such an inside view of Mr. Dou­glas’ divi­sion, and I greatly appre­ci­ate the kind­ness of Mr. Dou­glas and his very gra­cious col­leagues in includ­ing me in every aspect of their day. This great Princetern­ship only fur­thered my inter­est in work­ing in finance after Prince­ton, and I would like to give a big thank-you to Mr. Dou­glas for his con­tin­ued sup­port of this incred­i­ble opportunity!

Ryan McNellis ’15, Hanweck Associates, LLC

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DAY 1

Wall Street was just com­ing to life on the first day of my Princetern­ship as I headed into the heart of the New York City finan­cial dis­trict. The stock traders were already in the secu­rity line wait­ing to start their day at the New York Stock Exchange as I passed on my way to find Han­weck Asso­ciates. I was very excited to begin my first day. Mr. Han­weck had rec­om­mended a book for me to read on futures and deriv­a­tives over the hol­i­day break, and I had all sorts of new terms like “options” and “short sales” bounc­ing around in my head. I made my way to his offices on Broad St. on the 42nd floor. Mr. Han­weck and his staff were very wel­com­ing to me as I arrived. I toured around the offices (which have a great view of the Statue of Lib­erty) and received a gen­eral overview of the busi­ness. I was extremely inter­ested in this Princetern­ship oppor­tu­nity because Mr. Han­weck had been a math­e­mat­ics major at Prince­ton who put his degree to use cre­at­ing a busi­ness which pre­dicts risk and ben­e­fits based on dif­fer­ent mar­ket vari­ables. I was thrilled to get some “hands on” expe­ri­ence my first day edit­ing some finan­cial tables for dif­fer­ent vari­ables such as num­bers for memos detail­ing com­pa­nies that had merged and com­pa­nies that had bought out other com­pa­nies. I was able to spend a large part of the after­noon talk­ing and work­ing with one of the staff who writes the com­puter algo­rithms that the com­pany uses to make their pre­dic­tions. My pro­fes­sional inter­ests lie in the area of applied math­e­mat­ics, and this was exactly the kind of expe­ri­ence I was look­ing for: to be able to see real world appli­ca­tions of sta­tis­tics and quan­ti­ta­tive mea­sures. I also loved the office atmos­phere; every­one seemed to love their work, and the vibe was not as high pres­sured and intense as I feared an office near Wall Street might be. I had a great first day, and I am very grate­ful to Mr. Han­weck for pro­vid­ing me with the oppor­tu­nity to learn about his business.

DAY 2

Dr. Jerry Han­weck and Ryan

Now that I knew more about the peo­ple and work at Han­weck Asso­ciates, I was not anx­ious and just very excited to begin Day 2 of my Princetern­ship. I was look­ing for­ward to con­tin­u­ing with my data entry project. I arrived at the office, greeted every­one I met yes­ter­day, and started to work with the goal of try­ing to com­plete the project by the end of the day. As I worked, I could get a good sense of the flow of work in the office with var­i­ous meet­ings and tele­con­fer­ences. I took a brief break at lunch time to walk around Wall St. I found the “rag­ing bull” statue and took a pic­ture. Com­ing back from lunch, I set­tled back to my com­puter for more data entry. I kept work­ing steadily and fin­ished the project by the end of the day, only paus­ing to take a few breaks to look out at Staten Island and the Statue of Lib­erty. I would have to think that it would be inspir­ing to be able to have that view from your office every day. As I left for the day, Mr. Han­weck told me that he had a new, excit­ing project for me tomor­row. I can’t wait!

DAY 3

Today was my third and final day of my Princetern­ship at Han­weck Asso­ciates. I was joined today by Prince­ton sopho­more Lucia Wang, who was just begin­ning her Princetern­ship. Mr. Han­weck had not one, but two, excit­ing sta­tis­tics tasks for us today. First, we com­piled sta­tis­tics on the com­pa­nies in the S & P 500 as to the amount of debt the com­pa­nies had taken on in 2011. When we fin­ished this task, we looked at com­pa­nies who had cre­ated “spin off” com­pa­nies in 2011 and cal­cu­lated the ratio of stock value between the par­ent com­pany and the spin off com­pany. I really enjoyed work­ing on these sta­tis­tics tasks as related to the finan­cial mar­kets. The Princetern­ship was an incred­i­ble expe­ri­ence for me in that I was able to see how math­e­mat­ics and com­puter sci­ence are used in the finan­cial world. All the data I was work­ing with over the past three days is of value in mak­ing finan­cial pre­dic­tions, and I under­stand how the com­bi­na­tion of the right sta­tis­tics and right prob­a­bil­i­ties com­bined could trans­late into a robust pre­dic­tive model. I was also able to see what it is like to be the owner of a busi­ness where the owner gets to set the pace and atmos­phere for the office. I am so grate­ful to have had the oppor­tu­nity to par­tic­i­pate in some actual applied math­e­mat­ics tasks and talk with pro­fes­sion­als about their work and career expe­ri­ences. After this Princetern­ship, I have a much bet­ter idea of what a career in finan­cial engi­neer­ing might entail. Mr. Han­weck was able to use his inter­ests and skills in math­e­mat­ics, com­puter sci­ence, and eco­nom­ics to cre­ate his own very suc­cess­ful busi­ness spe­cial­iz­ing in risk man­age­ment for top-tier hedge funds, banks, broker/dealers and other finan­cial insti­tu­tions, and he still makes time for Prince­ton stu­dents who would like to learn from his expe­ri­ences. I send my sin­cere thanks to Mr. Han­weck for pro­vid­ing me with this incred­i­ble opportunity!

John McNamara ’14, Hanweck Associates

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My Princ­tern­ship with Han­weck Asso­ciates gave me an inter­est­ing look at the inter­sec­tion between tech­nol­ogy and finance. I arrived at the office in lower Man­hat­tan with my fel­low Princetern, Eric, at about 8:15 am. Richard, one of the firm’s quan­ti­ta­tive ana­lysts, greeted us and gave us an intro­duc­tion to the firm’s busi­ness and explained the tech­no­log­i­cal focus of the firm as well as his own back­ground and work at Han­weck. Soon after, we met our host Dr. Han­weck ’87. He then intro­duced us to Mike who gave us our first project. The project involved spin-offs, which, as Mike explained, involve a larger com­pany split­ting off a part of its busi­ness into a smaller, stand-alone com­pany. We were tasked with research­ing spin-offs in the last decade and find­ing out how many shares of the new com­pany some­one received per share of the larger com­pany they owned. After work­ing on this for a few hours, we took a quick break for lunch. After lunch Dr. Han­weck invited us into his office to talk about his career, finan­cial deriv­a­tives, high-speed trad­ing tech­nol­ogy, and his per­spec­tive on the future of his busi­ness and the indus­try as a whole. It was the first time I heard all the eco­nom­ics terms I have learned in class like price dis­crim­i­na­tion, con­sumer sur­plus, and com­par­a­tive advan­tage used in a real life sit­u­a­tion so it was an intrigu­ing link between my stud­ies and the busi­ness world. Aside from that, it was incred­i­ble to hear the per­spec­tive of an alum­nus and learn about his career path and how he believes a busi­ness can be suc­cess­ful. After this con­ver­sa­tion, I returned to work on the spin-offs project until Mike pro­vided us with another project. He gave us a quick les­son on using queries in Excel and set us up for a project to make a user-friendly for­mat to look up his­toric equity prices and make graphs from data­base infor­ma­tion. After exper­i­ment­ing with Excel for a while and get­ting a feel for the data­base, it was 6:00 pm and time to head home. I took a sub­way and a train and was home by 8:00, and I was ready to see what the next day had in store for me.

Jan­u­ary 31, 2012 

I began my sec­ond day at Han­weck Asso­ciates by work­ing some more on the spin-offs project from the pre­vi­ous day. After­wards, I returned to Excel and Microsoft Query and was able to set up a sys­tem in Excel where a user could plug in a stock ticker and imme­di­ately get data on the stock’s equity id num­ber, valid dates, and other infor­ma­tion from the company’s data­bases. Once Eric and I were com­fort­able with this, Mike pro­vided us with objec­tives for some larger projects. He brought us into a con­fer­ence room and gave us a les­son on options and their prop­er­ties. Then he defined three projects for us to work on. One was to make an inter­face whereby a user could spec­ify a stock ticker and a start and end date and see the stock infor­ma­tion, the day-to-day clos­ing price of the stock, and a graph plot­ting the equity price against time. The next was an option-contract table. It would allow the user to spec­ify a cer­tain equity-id num­ber (asso­ci­ated with a stock) and a valid date and see all of the options asso­ci­ated with that equity id and valid date. The final project was to make a heat map based on the volatil­ity indices of dif­fer­ent options based on their “deltas” and time to expi­ra­tion. I worked on the first two projects and learned a lot about how to man­age data­bases. I also dis­cov­ered trends in equity prices and option con­tracts as I tested the inter­faces that I had cre­ated. After lunch, Eric and I spoke with Richard and learned about his cur­rent projects and the chal­lenges of col­lect­ing, ana­lyz­ing, and stor­ing the incred­i­ble amounts of data that the firm col­lects in real time. I then returned to the projects I was work­ing on and at the end of the day I had work­ing sys­tems in place for each. The projects taught me about the tech­no­log­i­cal chal­lenges in stor­ing and retriev­ing large amounts of data. Before we left for the day, Dr. Han­weck spoke to us about a project for the next day that would allow us to com­pare div­i­dend fore­casts from two dif­fer­ent com­pa­nies the firm uses against the actual data to deter­mine how close the pre­dic­tions are. The day gave me some great hands on expe­ri­ence while learn­ing more about finan­cial deriv­a­tives and the mar­kets in general.

Feb­ru­ary 1, 2012 

My final day at Han­weck Asso­ciates was cen­tered on the div­i­dends project that Dr. Han­weck had described to us the pre­vi­ous day. I arrived at the office early and after read­ing the finan­cial news of the day, Eric and I met with Andy, a quan­ti­ta­tive ana­lyst at the firm. He explained the specifics of the project and the chal­lenges of “unclean data.” It is often easy to assume that the data that we receive is well orga­nized and accu­rate, but he explained that that is actu­ally sel­dom the case. We were charged with look­ing at thou­sands of div­i­dend pay­ments and their respec­tive pay­ment dates along with the pre­dic­tions for those div­i­dend pay­ments from two com­pa­nies that the firm pur­chases fore­cast infor­ma­tion from. Had the data been nice and clean, it would have been straight­for­ward to write a sim­ple pro­gram to cal­cu­late the fore­cast errors for each div­i­dend for both of the com­pa­nies’ pre­dic­tions and then deter­mine which one was bet­ter over­all. Unfor­tu­nately, incon­sis­tency in the data made this very dif­fi­cult. Instead, we had to put the data in a con­sis­tent for­mat and account for the gaps so that the data could be bet­ter ana­lyzed. Once this was done, it was pos­si­ble to com­pare the fore­casts for the dif­fer­ent com­pa­nies and see which ones fared bet­ter both over­all and in cer­tain areas. Our day con­cluded with a final recap dis­cus­sion with Dr. Han­weck. We dis­cussed our expe­ri­ence and what we learned as he shared more of his story on how he started his own com­pany and where he hopes the com­pany will be mov­ing for­ward. It was a great con­clu­sion to the Princetern­ship as we had the chance to reflect on our expe­ri­ence and learn more about the firm and its CEO as well as the indus­try as a whole after hav­ing the oppor­tu­nity to work on some projects and lis­ten to con­ver­sa­tions among its employ­ees in the time we were there.

I thank Dr. Han­weck for this oppor­tu­nity as well as all those in the office who helped and guided me in the time I was there. This is an excel­lent Princetern­ship for stu­dents inter­ested in tech­nol­ogy and finance as there is a lot to be learned from a tech­ni­cal stand­point as well as from the expe­ri­ence of work­ing in the finan­cial cap­i­tal of the world along­side a group of ded­i­cated and tal­ented individuals.

Eric (Tiansheng) Guo ’14, Hanweck Associates

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Fel­low Princetern John, Dr. Jerry Han­weck, and Eric

Mon­day morn­ing at 7:30 am, I met the other Princetern in the lobby of Twenty Exchange Place, where I stayed for all three nights of the Princetern­ship.  We grabbed a quick break­fast and arrived at the office at 8 am.  I was very impressed by the accom­mo­da­tions at the office: I was given a desk and two mon­i­tors, and could see the One World Trade Cen­ter and the Statue of Lib­erty from my seat on the 42nd floor.  The employ­ees were happy to meet us, and intro­duced us to the busi­ness of the firm and gave us projects to work on.  The idea behind our project was intrigu­ing.  Around noon, our alum, Jerry Han­weck was nice enough to spend an hour of his time describ­ing his firm, its ser­vices, and how it fits in with the rest of Wall Street.  This con­ver­sa­tion was extremely help­ful in allow­ing us to put into per­spec­tive the projects we were work­ing on within the greater world of finance.

On the sec­ond day, I arrived at 8:30 am.  Every­one else in the office seemed very busy so we observed for most of the day.  How­ever, there was enough chat­ter in the office that I could learn through osmo­sis.  I was able to observe how the office car­ried out its tasks, how its peo­ple col­lab­o­rated, and how Mr. Han­weck man­aged his people.

The third day was sim­i­lar to the first two, except at the end of the day, Mr. Han­weck invited us to his office, and spent an hour talk­ing to us about how he came to start­ing this busi­ness, the firm’s cur­rent sit­u­a­tion, and its future prospects.  I felt that this was a nice con­clu­sion to the Princeternship.

One of the most valu­able parts of the Princetern­ship was being able to expe­ri­ence daily life on Wall Street.  Hav­ing stayed overnight with friends who were bankers, I par­took in their day-to-day activ­i­ties and got a bet­ter sense of what my own life would be like if I were to choose this career path.  I think being able to expe­ri­ence the life of a banker out­side of the work­place was just as valu­able as office work, since office work and cul­ture varies from firm to firm. If it weren’t for the Princetern­ship pro­gram and Mr. Han­weck, I wouldn’t have had the oppor­tu­nity to expe­ri­ence either.  Thank you!

Eileen Lee ’14, South Shore Asset Management

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Mon­day, March 19, 2012

Before I started my Princetern­ship, my alum­nus, Eck­hart Richter ‘98, pro­vided me with a few doc­u­ments to read: one was an overview of his fund and the other was an arti­cle about how the finan­cial sys­tem and macro econ­omy fit together. This back­ground was help­ful in get­ting a bet­ter under­stand­ing of his work and allowed me to for­mu­late a few ques­tions that I had about the read­ings and the indus­try in general.

On the first day, I leisurely woke up at 10:00 am because Mr. Richter had a meet­ing in New York City and would not be back to his NJ office until 2:00 pm that after­noon. I appre­ci­ated the few extra hours of sleep, and the 35-minute com­mute from my house to South Shore Asset Man­age­ment was quite pain­less. Upon my arrival, I was hap­pily greeted by Mr. Richter.

We started the day by learn­ing about his firm, par­tic­u­larly the details about the fund he man­ages and the inter­play of the finan­cial mar­kets. Since I didn’t have a detailed under­stand­ing of the indus­try itself, I learned a lot about asset man­age­ment, dif­fer­ences between var­i­ous funds and fund man­agers, and the finan­cial sys­tem as a whole.

Tues­day, March 20, 2012

I arrived in the morn­ing to begin my day with Mr. Richter, spend­ing most of our time in his office where we dis­cussed bal­ance sheets and income state­ments of com­pa­nies and how they were rel­e­vant to ana­lysts on Wall Street. We went over in detail the com­po­nents of these doc­u­ments and the par­tic­u­lar infor­ma­tion that was used to extrap­o­late the invest­ment value of firms.

We then went to lunch at a famous local pizze­ria, where we had the chance to talk about his Prince­ton expe­ri­ence. Inter­est­ingly enough, we both had a com­mon extracur­ric­u­lar activ­ity in which we both had many sto­ries to share.

The rest of the after­noon was spent ask­ing ques­tions and pick­ing Mr. Richter’s brain about his views on the finan­cial indus­try. His insights and guid­ance were extremely valu­able and help­ful as he offered a per­spec­tive that focused on what is impor­tant in the “real world,” rather than the abstract the­o­ries I learned in my finance classes.

Wednes­day, March 21, 2012

The final day of my Princetern­ship was a lit­tle less struc­tured than the first two days, and I had the oppor­tu­nity to con­verse with Mr. Richter about his time at Prince­ton and his deci­sion to start his own firm. We talked about his the­sis, his col­lege life with­out places like Olive’s and Fruity Yogurt on Nas­sau, and his pro­fes­sional jour­ney that led him to where he is today. I also enjoyed the oppor­tu­nity to eat lunch with his wife and their one and a half year old son that afternoon.

Over­all, tak­ing part in this expe­ri­ence was both infor­ma­tive and enjoy­able. I am so appre­cia­tive of the time he spent answer­ing all my ques­tions and mak­ing sure I was clear on all the con­cepts he taught me.  His sage advice has not gone unno­ticed. We def­i­nitely plan to keep in touch.

Wesley Cao ’15, Hanweck Associates, LLC

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Fel­low Princetern Ryan, Wes­ley, and Dr. Jerry Hanweck

Day 1

We had just arrived at the office 9 am sharp. The other employ­ees were trick­ling in, but there was already a buzz around the office. Tele­phones rang left and right and Bloomberg ter­mi­nals were under con­stant sur­veil­lance. Mr. Gerry Han­weck ‘87 was on the phone with sev­eral clients to see if they had more information.

Apple had just announced a div­i­dend. How­ever, it was unclear what date they set for the div­i­dend end. Apple options will depend heav­ily on whether Apple goes ex-dividend before or after the expiry date. Han­weck Asso­ciates, which spe­cial­izes in high-computing solu­tions for option traders, pro­vides an accu­rate, reli­able and most impor­tantly, real-time data stream. Div­i­dends are one of the most impor­tant fac­tors in the pric­ing of options, and undoubt­edly they wanted to get the date of Apple’s div­i­dend cor­rect. It could mean a world of dif­fer­ence to the count­less option traders in the world.

After this hec­tic morn­ing, Gerry started us on our first project. As it turns out, it was related to the inci­dent that morn­ing. Han­weck Asso­ciates buys analy­sis from two large firms regard­ing the ex-dividend dates of var­i­ous com­pa­nies. He wanted us to ana­lyze which firm was bet­ter at pre­dict­ing the ex-dividend rate, the yield, and by how much. They then use this data in their own sys­tem to bet­ter pre­dict the prices of options. It was fas­ci­nat­ing to learn what real projects some of their employ­ees might work on. It was also inter­est­ing to learn all the fac­tors that went into the pric­ing of an option. The com­plex­ity of the com­pu­ta­tion process is what led Gerry to start his own firm—by tak­ing advan­tage of the par­al­lel com­put­ing power of graphic pro­cess­ing units, he is able to cal­cu­late valu­able risk fac­tors and stream them to option traders in real time. We worked on this project for the rest of the day.

Day 2 + 3

We fin­ished up our analy­sis of div­i­dend fore­casts by noon and found some inter­est­ing results that we reported to Gerry. It was noth­ing out of the ordi­nary and rein­forced their exist­ing belief. Then, we promptly started on our sec­ond project. Han­weck Asso­ciates uses a well-known math­e­matic model in their com­puter sys­tems to com­pute the fair price of options. It cur­rently employs a sophis­ti­cated algo­rithm known as the Fast Fourier Analy­sis. Gerry wanted us to code another approx­i­ma­tion algo­rithm based on this model. Our algo­rithm would be sim­pler, and thus would take less com­pu­ta­tion speed. This is cru­cial for Han­weck Asso­ciates because they pride them­selves on stream­ing their data in a mat­ter of mil­lisec­onds. How­ever, our algo­rithm would pro­vide less accu­rate results. Gerry wanted us to inves­ti­gate exactly how much accu­racy is lost through this faster approx­i­ma­tion algorithm.

This project seemed very dif­fi­cult at first; the paper con­tain­ing the work related to the approx­i­ma­tion algo­rithm was nearly inscrutable. How­ever, with the guid­ance of another employee, we were able to quickly pro­ceed in our code. This project also allowed me to uti­lize what I had learned in my classes such as Prob­a­bil­ity The­ory in a prac­ti­cal envi­ron­ment. In the end, we were unable to fin­ish the algo­rithm com­pletely in the short time that we had, but I still learned a lot of from the expe­ri­ence and am extremely grate­ful for this won­der­ful oppor­tu­nity that Gerry pro­vided us.