SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by madmax
May 22nd, 2013, 7:33 am
Forum: Careers Forum
Topic: JPMorgan Quantitative Research Core analytics
Replies: 12
Views: 12482

JPMorgan Quantitative Research Core analytics

<t>JPM has moved/been moving to a setup where quant work is more split between Quant Strategy and Quant Analytics:- Strategy are desk quants whose role is more oriented into supporting the trading desks. - Analytics is more development.Usually Strategy would not write much C++. Most of the code is P...
by madmax
August 6th, 2012, 8:06 am
Forum: Careers Forum
Topic: The art of interviewing during the working day... or how to disappear for a few hrs
Replies: 36
Views: 14622

The art of interviewing during the working day... or how to disappear for a few hrs

About the suit issue, I have a better way: never wear a suit.
by madmax
November 22nd, 2011, 6:29 am
Forum: Careers Forum
Topic: Quantitative Research Associate at JPM
Replies: 24
Views: 21719

Quantitative Research Associate at JPM

Quite a few groups in GS routinely interview people with no open posisitions.
by madmax
November 11th, 2011, 8:28 am
Forum: Trading Forum
Topic: CVA & Swaps
Replies: 11
Views: 20115

CVA & Swaps

CVA is a complex option-like payoff. The portfolio is the underlying. When underlying moves, CVA moves. At least more than 60% of credit exposure is driven by swaps.
by madmax
October 11th, 2011, 7:34 am
Forum: Numerical Methods Forum
Topic: sum of lognormals
Replies: 11
Views: 25784

sum of lognormals

Try to be smarter with your MC to get the percentiles or try 4 moments approx a la Milevsky and Posner.
by madmax
October 6th, 2011, 7:15 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 37745

The ultimate Monte Carlo framework

I stand corrected, it seems they introduced Windows instances with GPU in middle of last month.I will check it out over the week-end and report back.
by madmax
October 6th, 2011, 7:05 am
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 37745

The ultimate Monte Carlo framework

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: madmaxQuoteOriginally posted by: AlanI think there are some nice commercial possibilities with the Monte Carlo that should be considered.For example, say the library painlessly supports a remote connection to a GPU server, and some company...
by madmax
October 5th, 2011, 6:42 pm
Forum: The Quantitative Finance Code Library Project
Topic: The ultimate Monte Carlo framework
Replies: 266
Views: 37745

The ultimate Monte Carlo framework

<t>QuoteOriginally posted by: AlanI think there are some nice commercial possibilities with the Monte Carlo that should be considered.For example, say the library painlessly supports a remote connection to a GPU server, and some company provides the serverat some reasonable hourly rate. Something li...
by madmax
September 30th, 2011, 7:15 am
Forum: The Quantitative Finance Code Library Project
Topic: open-source collab project?
Replies: 176
Views: 28614

open-source collab project?

<t>As Luigi pointed out, there are other attractive hosted repository solutions:- github- bitbucket- AssemblaMy understanding is that they all give free plans for open source projects. You need to think about svn versus distributed SCM, i.e. git or mercurial. Next, you want to consider the dev proce...
by madmax
September 22nd, 2011, 5:07 am
Forum: Programming and Software Forum
Topic: General Question on Speed
Replies: 21
Views: 22031

General Question on Speed

<t>I personnally don't think you are significantly more productive in C# for quant stuff. If you know F# well enough, then I admit you might get some significant productivity gains.Learning C++ well will definitively take longer, that's for sure.I coded in C++, F#, C#, Java, C and Python. I like all...
by madmax
September 22nd, 2011, 4:56 am
Forum: Programming and Software Forum
Topic: General Question on Speed
Replies: 21
Views: 22031

General Question on Speed

QuoteExcel/VBA is a must, whether you like it or not.That is not necessarily true. I haven't used Excel at all for the last 2 years. I have used it in one previous job where the coding was in F#/C#. I have never used VBA.
by madmax
September 22nd, 2011, 4:45 am
Forum: Book And Research Paper Forum
Topic: "Lean Architecture" by Coplien
Replies: 22
Views: 23856

"Lean Architecture" by Coplien

The core ideas are good but I personally find it a bit too "artistic" for my taste. Probably half to 2/3 you just skip/skim over quickly. While the 1/3 where the real material is, you will need more than 1 careful reading plus extra thinking/coding.
by madmax
September 15th, 2011, 7:32 pm
Forum: General Forum
Topic: UBS Rogue Trader Again
Replies: 70
Views: 23831

UBS Rogue Trader Again

What I don't get is how you are all schocked that someone could do it in a bank, allegedly with all the "controls", "risk management" and "systems". Come on guys, have you never worked in a big bank or what?
by madmax
July 25th, 2011, 6:27 am
Forum: Careers Forum
Topic: quant working hours in London
Replies: 16
Views: 24312

quant working hours in London

<t>There is no problem having work-life balance. 40hr/week is not that uncommon. People who do long hours spend a lot of time pretending to work to fit in "the culture". A lot of times, as soon as the boss leaves, they all disappear. It is all childish if you ask me. When the boss is on holidays, th...
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