Ryan Peng ’14, Hanweck Associates

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.

 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

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

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

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

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

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.