Conversational Feature: Discussion with Eric Ahn during the seasonal series
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In an insightful interview, Engineering Correspondent Shannon Yeow sat down with Eric Ahn '21 to discuss his senior thesis titled "Trading Options Around Earnings Uncertainty Risks." The interview offers valuable insights for students considering writing a senior thesis, particularly those with an interest in finance.
Ahn's thesis focuses on trading options, such as calls and puts, around earnings events. He aimed to meld the two types of finance: regular fundamentals and quantitative analysis. The objective was to predict the uncertainty found in options and use it as a tool for trade during earnings events.
Ahn's decision to pursue this topic was inspired by his passion for financial mathematics and a summer internship trading options. He emphasizes the importance of understanding one's skill set, the available data, and reading current research when narrowing down a thesis topic.
The development process for Ahn's thesis was extensive. He set deadlines in the forms of drafts, a midterm, and a final to ensure he stayed on track. He conducted a literature review on earnings announcement effects, options pricing models, implied volatility, and empirical studies on trading around earnings.
For the empirical approach, Ahn collected historical options price data, underlying stock prices, and earnings announcement dates from data sources such as Bloomberg and WRDS. He then employed statistical and econometric tools like event study methodology, regression analysis, and volatility modelling for pattern detection in option prices before and after earnings.
Ahn also identified risks related to earnings announcement uncertainty, such as jump risk, volatility spikes, and potentially asymmetric information. He analysed how these risks affect option prices and trading strategies.
Throughout the interview, Ahn advises senior thesis writers to be mindful of the feasibility of their project given the time constraints. He suggests setting deadlines for oneself, treating it like a real deadline, even if none are provided.
Ahn's senior thesis is a testament to the blend of solid theoretical understanding of options and earnings risk, strong quantitative skills for empirical analysis, and adherence to academic and institutional procedures related to thesis completion.
As Shannon Yeow prepares for her junior year's independent work and potentially writing a senior thesis, she feels more excited than ever. The interview with Eric Ahn has provided her with direction and insight for her future academic pursuits.
This article is part of the Seasonal Series.
[1] Institutional guidelines for thesis structure, faculty advisor selection, and administrative requirements may vary. [2] Proficiency in quantitative tools such as Excel, programming languages (R, Python, Stata), and data analysis software is crucial for a senior thesis in finance.
- Eric Ahn's senior thesis titled "Trading Options Around Earnings Uncertainty Risks" shows the value of undergraduate research in finance, especially for students interested in this field.
- Ahn's thesis on options trading involved independent work, utilizing skills in finance, entrepreneurship, and investing, with a focus on combining regular fundamentals and quantitative analysis.
- For education-and-self-development, Ahn recommends understanding one's skill set, researching current studies, and setting deadlines when choosing a thesis topic.
- The process of writing his senior thesis required extensive effort, including conducting a literature review, collecting data from sources like Bloomberg and WRDS, and employing statistical and econometric tools for analysis.
- Students considering career-development in finance should consider proficiency in quantitative tools like Excel, R, Python, Stata, and data analysis software essential for a successful senior thesis project.
- Shannon Yeow's interview with Eric Ahn has inspired her for her future independent work and senior thesis, offering direction and valuable insights into the world of education-and-self-development, career-development, and personal-growth.
