Modeling the World of High Finance
Cathy Willis’ career is a good example of the variety of options that a degree in mathematics makes possible. After receiving her PhD in mathematics from the University of California at Berkeley, Cathy went to the U.S. Geological Survey, where she worked on mathematical models for the motion of pollutants in ground water.
While at New York University on a postdoctoral fellowship, Cathy decided to interview with Kidder-Peabody, a large investment banking firm on Wall Street. “I walked into the place and immediately it looked like fun,” she said. “It was so different [from the USGS]—there were people running around everywhere, lots of chaos.” A year later she was working at Kidder-Peabody in the mortgage research department. “I made predictive models on how prepayments on mortgages would change when various economic factors changed,” she explains. She then used that information to determine the value of financial securities based on mortgages.
Cathy now works for Renaissance Software, which produces software packages for financial modeling. The atmosphere in the Renaissance office in Palo Alto, California is pleasant and casual—Cathy can wear jeans
to work if she wants, and her hours are fairly flexible. Renaissance’s main product concerns “interest rate swaps”: for example, if IBM needs German marks and Mercedes-Benz needs U.S. dollars, the two companies might take out loans in their home countries, and then swap the loans. Because the two loans may vary in size, interest rate, terms of repayment, and so on, one company may make a cash payment to the other to equalize the deal; however, it is not a simple problem to take all these factors into account to decide how much should be paid.
Cathy works on mathematical models for structuring and valuing interest rate swaps. She designs the analytical aspects of the models to insure that they give correct results and are flexible enough to work in a variety of settings. In addition, she is working on new software products that will eventually provide complete portfolio management and bookkeeping.
Cathy grew up in West Virginia and Arizona, where she went to Coconino High School in Flagstaff. She attended the University of California at Santa Barbara and in her junior year decided to leave college for a while and find a job. “I did the most motivating thing I could possibly have done: I worked in a factory on an assembly line,” she recalls. The experience convinced her that she wanted to work with her head, not her hands. “I had to look through a microscope and glue these tiny little magnets onto these tiny little magnetic tape heads.” She worked the 4pm to midnight shift, and many of her coworkers ended up with motion sickness because of having to look through the microscopes for so many hours. “I remember my boss at one point said, ‘You know, you’re the best gluer we ever had. If you stay here for another year or two, you could make $5 an hour.’ I went back to school!” Cathy is now comfortably settled in Palo Alto with her husband and their baby boy..
This brochure was published in 1991, so some information may be out-of-date.