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Just wondering, has anyone looked or done this course, ive just come across it, and it seems like everything i like in one course.. too gud to be true

Maths-Operational Research-Statistics-Economics (MORSE), currently being taught at only Warwick!! 4 Year Course

I just wanted to know if it is "commendable" or known in the real world, i want to persue a career along the lines of an actuarist, charterd accountant or in investment banking

Let me know if you have done the course, or know something about it

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< ...> I have a friend completing his maths degree at Cambridge. He has done a summer internship at Lehman on their trading desk. His wish is to do a PhD then look for a DR role:

(1) Do you know whether the bulge bracket banks offer summer internships within derivatives research groups? I can imagine that there may be an intellectual property issue, however there must also be a benefit for the bank in getting to know the individuals.

(2) If the answer to (1) is 'no', is there any point in him doing a second summer 'trading desk' role, or would an interviewer see no benefit having been gained? < ...>

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< ...> To answer your question, yes, most investment banks offer summer internships. It is both an opportunity for the banks to work on long-term projects, things we never have time to do, and to gauge candidates on the job for future hiring. To give you an idea we took 7 interns this summer, 3 of them in London and would be very happy to consider your friend next year. < ...>

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The way I know how to derive Black Scholes is to consider with a portfolio $\Pi =V-V_{S}S$,

and so $d\Pi =(V_t+\frac{1}{2}{\sigma }^2{S}^2{V}_{\mathrm{SS}})\mathrm{dt}$. And then $d\Pi =r\Pi \mathrm{dt}$ by the growth rate of the portfolio (and no arbitrage).

If I understand you properly in your 2nd question, we want to find a Wiener process (call it $W$ this time) under a measure such that $\mathrm{dS}/S=\mathrm{rdt}+\sigma \mathrm{dW}$.

Then, applying Ito, we get

$\mathrm{dV}=(V_t+\frac{1}{2}{\sigma }^2{S}^2{V}_{\mathrm{SS}}+{\mathrm{rSV}}_S)\mathrm{dt}+\sigma {\mathrm{SV}}_S\mathrm{dW}$

I took expectations under the new measure so that

$E(\mathrm{dV})=(V_t+\frac{1}{2}{\sigma }^2{S}^2{V}_{\mathrm{SS}}+{\mathrm{rSV}}_S)\mathrm{dt}$

But obviously, this is equal to $\mathrm{rVdt}$ since all assets grow at the average rate $r$ in the risk-adjusted measure. Rearranging a little, I got Black-Scholes.

That leaves the beginning bit, I guess something simple like $\mathrm{dS}/S=\mathrm{rdt}+\sigma (\mathrm{dX}+(\mu -r)\mathrm{dt}/\sigma )$ should work.

Very interesting...
If you remind me what you mean by the contingent claims equation, I can get cracking on the rest

Andre