SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by FV
July 27th, 2009, 9:31 am
Forum: Technical Forum
Topic: Turnbull and Wakeman
Replies: 1
Views: 38956

Turnbull and Wakeman

Anybody have a copy of Turnball and Wakeman (1991) "A Quick Algorithm for Pricing European Average Options"or know a link to the correct formulae?
by FV
May 15th, 2009, 7:22 am
Forum: Technical Forum
Topic: SABR with spot jumps
Replies: 0
Views: 38957

SABR with spot jumps

Has anybody come accross a paper extended the SABR model to include jumps in the spot process?
by FV
November 20th, 2008, 4:58 pm
Forum: Technical Forum
Topic: Convertible bonds with credit risk paper
Replies: 1
Views: 46634

Convertible bonds with credit risk paper

Hi,Does anyone have a copy of Tsiveriotis and Fernandes "Valuing convertible bonds with credit risk"Thanks
by FV
May 16th, 2008, 2:55 pm
Forum: Careers Forum
Topic: Hedge Funds/Investment Banks
Replies: 1
Views: 54289

Hedge Funds/Investment Banks

I know quants move from investment banks to hedge funds. How about the other way round.Is it common?
by FV
May 5th, 2008, 11:06 am
Forum: Careers Forum
Topic: tiny bonus
Replies: 28
Views: 59884

tiny bonus

<t>QuoteOriginally posted by: PlasticSaberIn UK, you need to hand the P45 form generated by your old employer to the new employer. It documents how much you have already earned for the current tax year....yes, but if you move in the next tax year i.e. after April 6th all you can work out from the p4...
by FV
May 3rd, 2008, 7:37 pm
Forum: Careers Forum
Topic: tiny bonus
Replies: 28
Views: 59884

tiny bonus

if you decide to move are you obliged to tell your future employer your previous compensation level? Is there any way they can confirm it?
by FV
February 21st, 2008, 7:10 pm
Forum: Careers Forum
Topic: what exactly is a desk quant?
Replies: 6
Views: 59617

what exactly is a desk quant?

What's the difference between a normal quant and a desk quant? Is the title desk quant a euphemism for spreadsheet monkey?
by FV
June 6th, 2007, 8:36 am
Forum: Careers Forum
Topic: equity derivatives at commerzbank
Replies: 1
Views: 71293

equity derivatives at commerzbank

any takers?
by FV
May 30th, 2007, 6:43 pm
Forum: Careers Forum
Topic: equity derivatives at commerzbank
Replies: 1
Views: 71293

equity derivatives at commerzbank

Hi,Does anybody know anything about the reputation of the equity quant team at commerzbank?thanks
by FV
January 24th, 2006, 1:30 pm
Forum: Numerical Methods Forum
Topic: Optimization Package in C
Replies: 7
Views: 123847

Optimization Package in C

Try cfsqp. It works like a charm and can deal with linear and non-linear constraintsFV
by FV
September 6th, 2005, 3:21 pm
Forum: Careers Forum
Topic: Bath Vs Birkbeck
Replies: 12
Views: 137244

Bath Vs Birkbeck

<t>QuoteOriginally posted by: BBertieOffers from both Uni's, Bath for Finance and Accounting, Birkbeck for Financial Engineering. Question which university has the better reputation in the city? If so, why so?Thanks in advanceBath is very good for mathematical finance (in the mathematics dept), but ...
by FV
September 5th, 2005, 7:50 pm
Forum: Careers Forum
Topic: Derivatives IT
Replies: 2
Views: 136650

Derivatives IT

<t>QuoteOriginally posted by: Anth0nyHi Guys,I've recently finished a second internship at CSFB, working within client valuations (Ops). Towards the end, I went for a few meetings, one of which was with an MD, who was head of Global Derivatives IT. After our meeting, he was keen to get me involved a...
by FV
September 3rd, 2005, 8:16 pm
Forum: Off Topic
Topic: New Orleans: Holy Crap
Replies: 259
Views: 149002

New Orleans: Holy Crap

<r>QuoteOriginally posted by: AlphaNumericusQuoteOriginally posted by: TraderJoeQuoteOriginally posted by: AlphaNumericusQuoteOriginally posted by: TraderJoeQuoteOriginally posted by: AlphaNumericusHow 'bout sending the refugees to Africa?How 'bout sending you to Africa?Why do you feel the need to s...
by FV
April 14th, 2005, 1:49 pm
Forum: Careers Forum
Topic: Improving admit chances into top programs..actuary exams?
Replies: 7
Views: 153344

Improving admit chances into top programs..actuary exams?

<t>QuoteOriginally posted by: hit464hi everybody,I am new to this forum and I read all the discussions related to admit in top schools of US for math fin programs. I want to get into these too. I have a decent background in chemical engineering and I have published 2 research papers in mathematical ...
by FV
March 19th, 2005, 3:56 pm
Forum: Careers Forum
Topic: no sign-on bonus???
Replies: 13
Views: 158089

no sign-on bonus???

QuoteOriginally posted by: randomaxIn the USAssociate: $30kAnalyst: $10KDoesnt the sign on in UK depend on the position they're offering you? Or is there a standard position for Ph.D.s?PhD's join as associates on graduate programs.
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