Philip Winsor ’12 Applies Mathematical Tools to Wall Street
May 22, 2012 by Joseph Blumberg
Undergraduate research is a large part of the Dartmouth experience. Students and faculty enthusiastically participate in this interactive enterprise. Dartmouth Now highlights the work of four undergraduate researchers in a week-long series, "Undergraduate Research, Scholarship, and Creativity."
The unregulated trading of credit default swaps led to the recent undoing of major U.S. financial institutions like Bear Stearns and AIG. These once-obscure financial instruments—insurance-like contracts that promise to cover losses on certain securities in the event of a default—captured the interest of Dartmouth undergraduate Philip Winsor ’12. Under the guidance of Professor Daniel Rockmore, Winsor has been pursuing these complex contracts as the subject of a research project.
Under the guidance of Professor Daniel Rockmore, Philip Winsor ’12 has been employing mathematical network analysis to try to understand if the credit swap market pricing structure has changed over time in the context of the domestic financial crisis. (photo by Eli Burak '00)
"Phil's work is an outgrowth of his final project in my Math 76 [Topics in Applied Math] class from winter term 2012," says Rockmore, the William H. Neukom Professor of Computational Science, director of the Neukom Institute for Computational Science, and chair of the Department of Mathematics.
"I wrote a paper that just scratched the surface of the credit default swap market," Winsor recalls. "In the end, the paper asked more questions than it answered, so it seemed natural to try to continue the research to get a more satisfying result." His project probes the credit default swap market pricing structure, employing mathematical network analysis to try to understand if the structure has changed over time in the context of the domestic financial crisis.
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The Atlanta-born Winsor came to Dartmouth because of the flexibility the school provided. "I didn’t know what I wanted to do," he admits, "so I was interested in coming to an institution where I wasn’t locked in [to a curriculum] from the start." This openness allowed him to pursue his primary interest of understanding financial markets, though his scholarly breadth also extends to computational biology. The premium Dartmouth places on undergraduate research has further enabled Winsor's intellectual pursuits.
"In a world where online learning is becoming increasingly prevalent, the opportunities for students to engage in significant face-to-face collaboration with faculty is even more important," Rockmore says. "Those are the kinds of opportunities that Dartmouth readily provides and are aspects of a Dartmouth education that are not easily replicated elsewhere."
Winsor acknowledges the importance of interaction with faculty as his project moved forward. "They helped me to pick the problem and the tools necessary to solve it, get good data, understand exactly what the tools I am using do mathematically, and point me to logical next steps on my research."
He explains that his research in the math department helped him to focus on specific, long-term questions while dealing with complicated systems. "It has also helped me sharpen my computing skills to deal with large sets of data—skills that will be useful after school."
After graduation, Winsor plans to work at a large global investment firm. "As Phil has already chosen to take a job in finance, the specific learning about credit default swaps that he has accomplished will be of use to him in his first job after graduation," adds Rockmore.