SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ZhuLiAn
March 17th, 2016, 7:35 am
Forum: Student Forum
Topic: Calibrating Shifted LogNormal Model
Replies: 1
Views: 1586

Calibrating Shifted LogNormal Model

Pantz might give some insights
by ZhuLiAn
December 8th, 2015, 9:39 am
Forum: Book And Research Paper Forum
Topic: Recomended books on Interest Rate Modelling
Replies: 14
Views: 6360

Recomended books on Interest Rate Modelling

Agree with mtsm. Andersen and Piterbarg covers everything from basics (and not only IR) to advanced techniques (can be ignored first then used as a reference when working on the related models) while Tuckman gives a practical view similar to trader's views. Both are complementary.
by ZhuLiAn
August 14th, 2015, 12:34 am
Forum: General Forum
Topic: Black Scholes contribution
Replies: 6
Views: 3649

Black Scholes contribution

It is well known for a while...
by ZhuLiAn
August 12th, 2015, 5:08 am
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5338

Which banks has the best/most interesting model validation work?

QuoteOriginally posted by: StradleModel validation role enables to learn a lot of models which might be not true at FO. On the other hand, model validation is not FO.And why is that?
by ZhuLiAn
July 30th, 2015, 4:35 am
Forum: Careers Forum
Topic: Reasonable to Apply for Quant / Bank Jobs?
Replies: 8
Views: 5889

Reasonable to Apply for Quant / Bank Jobs?

Just try and you'll find out. Maybe consider also interesting quant areas like machine learning (see e.g. kaggle to learn it). Keep in mind ib quant is not as interesting as it used to be and include a lot of staff for model val.
by ZhuLiAn
July 29th, 2015, 12:59 am
Forum: Careers Forum
Topic: Reasonable to Apply for Quant / Bank Jobs?
Replies: 8
Views: 5889

Reasonable to Apply for Quant / Bank Jobs?

It's too long. Could you sum up please?
by ZhuLiAn
July 8th, 2015, 5:25 am
Forum: Book And Research Paper Forum
Topic: Neftci or MJ
Replies: 5
Views: 4394

Neftci or MJ

Definitely MJ.
by ZhuLiAn
June 26th, 2015, 10:43 am
Forum: Careers Forum
Topic: Quant scene in Hong Kong
Replies: 9
Views: 4946

Quant scene in Hong Kong

Most candidates come from abroad (e.g. London).Financially it's very good.
by ZhuLiAn
June 26th, 2015, 6:21 am
Forum: Careers Forum
Topic: Quant scene in Hong Kong
Replies: 9
Views: 4946

Quant scene in Hong Kong

<t>I think it's growing. On the sell side it's mainly desk quant since models are usually developed by the bigger teams in London and New York but if the team is not too small you can still do some interesting modeling. Also the tax are low. Players are the global ones like GS, JPM, BAML, MS, CITI, ...
by ZhuLiAn
March 31st, 2015, 12:05 pm
Forum: Careers Forum
Topic: Which of these PhD is better for quant industry?
Replies: 40
Views: 8835

Which of these PhD is better for quant industry?

I would say industry experience is more valuable than PhD for quant industry.
by ZhuLiAn
February 26th, 2015, 9:46 am
Forum: Technical Forum
Topic: Shifted SABR / CMS
Replies: 2
Views: 3859

Shifted SABR / CMS

Yes
by ZhuLiAn
February 26th, 2015, 3:09 am
Forum: Careers Forum
Topic: quant salary in Hong Kong
Replies: 1
Views: 3906

quant salary in Hong Kong

similar to London for quant, not sure about MV
by ZhuLiAn
February 26th, 2015, 2:51 am
Forum: Careers Forum
Topic: Leave or Stay
Replies: 35
Views: 10521

Leave or Stay

Agree
by ZhuLiAn
February 24th, 2015, 12:52 am
Forum: Careers Forum
Topic: Leave or Stay
Replies: 35
Views: 10521

Leave or Stay

Pay can be significantly higher in some ibs like 1.5 ratio for VP and almost 2 for Director.
by ZhuLiAn
May 14th, 2014, 11:47 am
Forum: Student Forum
Topic: Short Rate model question
Replies: 5
Views: 5079

Short Rate model question

Calibrate it to P(0,t)
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