Thursday, 6 August 2009


I'm heading to Kyoto tomorrow straight after work for the weekend so there will be no more posts probably until Monday night.

I've been embracing my inner (and outer...) nerd over the past few days working with the quants. Today I finished my two pricing models! They both price a call option - one analytically, using the Black-Scholes model and the other using Monte Carlo simulations. I designed and programmed wee interfaces as well that you type the parameters into (stock price, strike, risk free rate, time to maturity, etc), then press a big button that says "RUN" and it spits out the result. Everybody was very impressed and I'm very proud that I managed to go from having no programming knowledge to designing pricing models in C# in the space of three days! God, I'm a geek... Next thing you know I'll start wearing a pocket protector.

This week has been very different from the last few as the quants have very British work ethics. As in they rock up at 9am, take three coffee breaks a day (that involve leaving the building and walking to insanely posh coffee shops), have a two-hour lunch break (in very posh restaurants) and then head home at about 6.30. I think I've managed to fit in quite well :)

Today's lunch was very tasty - spicy tuna donburi:

Went out for dinner and drinks with Stephen and Zach after work. Ate things on sticks while stading up and then went to a bar where all the drinks were £2. Definitely a good night.

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