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SoP for PhD in OR / Financial engineering / Quantitative finance


nchinmay 1 / -  
Nov 28, 2010   #1
Hi.. I have written this SoP for application to the Columbia ORIE department for the PhD in OR program with concentration in FE program. I am going to vary some of the points according for different schools according to my research on them. Can someone help me with this SoP and tell me if its PhD SoP material? and if any thing more is needed? THanks in advance.

SoP ----

Humans are a curious race, always trying to solve the puzzling mysteries behind their ideas and idiosyncrasies and ending up innovating and inventing, expanding the frontiers of sciences and technology. Egyptians uncovered the secrets of geometry and erected monumental pyramids, Sir Isaac Newton discovered 'force' and derived equations that formed the foundation of modern physics, the Japanese conceived the commodity trading market strategies for trading rice and invented the 'candlestick' chart which even today is one of the most important tools used to analyze financial markets. They all used the basic tools and commodities at their disposal to achieve this, but would have been unsuccessful without the one critical tool - knowledge of mathematics. As an electrical engineer, I am not surprised that mathematics has become a language of choice when I am studying a phenomenon, proving a scientific law or explaining some theory.

During my under-graduate education in Electronics and Telecommunications in India, my coursework involved a mix of subjects from many disciplines including computer programming, digital signal processing, digital communication and electronics all involving heavy use of applied engineering mathematics. As I went through a series these applied mathematics courses, I realized the challenge put before me by a mathematical problem and the effortful deliberation required to solve it was what I enjoyed the most. It was all the more satisfying to see how the solution to this mathematical problem manifested itself practically as a new computing algorithm, an efficient signal processing technique or a better communication system design. Somewhere around this point I decided I wanted to make my career in a field supported by the strong backbone of applied mathematics.

After getting accepted into the Electrical and Computer Engineering (ECE) department at Polytechnic Institute of NYU for a Master's program in Fall 2007, I turned to the field of digital communications and networking to realize my interest in applied mathematics and analysis. While specializing in wireless technology, most of my courses involved heavy use of mathematics including probability theory and stochastic processes, statistics and numerical techniques for modeling and analysis of problems in the field. Enrolling into courses like Probability Theory under Prof. David Goodman and Information Theory and Coding under Prof. Elza Erkip and excelling throughout, I graduated as a Master of Science with a GPA of 3.9. During my Master's program I worked as a teaching assistant for the graduate course of Probability theory and the under-graduate course of Signals and Systems and also as a lab instructor for Digital Signal Processing lab where I coached a group of graduate students to program and implement digital communication algorithms and filters on DSP processors. This allowed me to interact with students from a different perspective and gain experience in tutoring.

After graduating, I worked as a research intern in the ECE department on real-time audio synthesis of musical instruments under guidance of Prof. Ivan Selesnick and performed computer aided audio simulation of these instruments. Thereafter, continuing my determined search for employment, I volunteered to write and edit the electrical and electronics sections for a book on audiology being written by Prof. Shlomo Silman of the City University of New York. As I still continue working with him, it has greatly helped me develop my technical writing skills and the ability to put matter in a straight-forward language and sequential manner. I started working at Radiant Communications as an Embedded Software Engineer in December 2009. Although another more experienced candidate was preferred over me for the position, an extra position was created for me after considering my strong and promising interview performance. For an electrical engineer with minimal programming background, I proved myself to be a fast learner and under guidance of my manager Mr. John Beiswinger showed immense progress with my work and programming skills. I worked comfortably in a group of three and, being a part of a small engineering team, performed diverse electrical and computer engineering duties. On one occasion, I single-handedly initiated a project for developing testing software for our product and was associated with all stages of its development life cycle. I wrote over half the code for the software and learnt a completely new programming language, C#, in the process. This goes to show my quick learning aptitude and ability to effectively initiate, manage and implement projects that I undertake which was appreciated by my manager.

I like to work in areas which present me a new challenge in every task, a new opportunity every day to apply my knowledge to a problem, come up with a solution and attain growth in the form of results that teach me something new that will help me towards my next venture . During the course of my Masters education I was exposed to the field of Operations Research with application to finance through some students in this domain. I went through the works of some professors and experts to gain a better understanding of the subject and realized how the very same techniques of mathematical modeling and analysis I studied in wireless technology were being employed to solve problems in the financial domain. I have always been interested in the way the stock, foreign exchange and bullion markets work and how the powerful arsenal of mathematical tools can be applied to these markets to frame optimum strategies for increasing profits and minimizing risk. Even during my under-graduate years I have, out of personal interest, tried to follow and study the movements of currency pairs in the FOREX market and fluctuations in gold and silver prices on the bullion markets. I didn't have the guidance or the environment to consider a career path in Operations Research/Financial Engineering in India but I kept experimenting with trading simulation software, creating my own strategies and back-testing on FOREX data to understand how the mathematical tools and indicators involved were interacting with the data and affecting results. After coming to New York, interacting with people who teach and work in the field of applied mathematics and finance and evaluating myself to be highly capable and genuinely interested in making a career in this field, I have decided to pursue a PhD in Operations Research with concentration in financial engineering.

Columbia University is one of the most reputed universities in the United States located right in the middle of the New York City. The ORIE department is equipped with highly experienced and talented faculty in mathematical and computational finance domains. A lot of research being conducted in areas of financial engineering, stochastic modeling and computational methods in finance and risk management being conducted at the ORIE department and after going through some of the research publications of professors like Prof. Paul Glasserman, Mr. Rama Cont, Prof. Emanuel Derman, I am convinced that Columbia University will be the best place to pursue my research interests. As an electrical engineer I have the advantage of having a strong background and understanding of the mathematical skills I will require to work in the areas of operations research and computational finance. Close to two years of work experience in the industry has given me the confidence and expertise with undertaking projects and executing them efficiently singlehandedly with minimum guidance or as a part of a group. It has also given me experience with programming skills needed to implement my research work in software which is important for testing and demonstration. At Colombia University, I seek the opportunity to study the mathematics and science behind the working of financial markets, its applications to existing trading and risk management strategies and design better techniques and strategies that adapt to the changing market conditions. In the future, I see myself working as an active researcher in field of mathematical and computational finance and sincerely look forward to being offered this opportunity by the Columbia University.

Thank you for taking time out for my application and I eagerly look forward to your positive response.

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EF_Kevin 8 / 13,321 129  
Dec 2, 2010   #2
This allowed enabled me to interact with-----I prefer "enabled" in this sentence... just an idea.

Your math theme is eloquently stated in the intro and well maintained. This is an impressive essay!

On one occasion, I single-handedly initiated designed a project for developing testing software for our product and was associated with all stages of its development life cycle.---To single-handedly initiate something is a strange idea... I wonder if "designed" might be better.

Columbia University is one of the most reputed universities in the United States located right in the middle of the New York City. This sentence is unhelpful. They know its reputation and location. Give this paragraph a better intro! :-)

... and executing them efficiently, singlehandedly with minimum guidance or as a part of a group.

Good luck! I think you deserve the opportunity!


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