SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 21 matches

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by hateeque
July 16th, 2018, 9:05 pm
Forum: Programming and Software Forum
Topic: commercial quant analytics library
Replies: 2
Views: 1361

Re: commercial quant analytics library

since when did fixed-income become linear? Isn't a bond's price a convex function of its yield?
by hateeque
November 29th, 2007, 9:08 am
Forum: Student Forum
Topic: Course in C++ ?
Replies: 4
Views: 62690

Course in C++ ?

<r>this maybe worth having a look at for someone in full-time employment:<URL url="http://www.city.ac.uk/ell/cfa/computing/computing_programming/financialengineering.html"><LINK_TEXT text="http://www.city.ac.uk/ell/cfa/computing ... ering.html">http://www.city.ac.uk/ell/cfa/computing/computing_progr...
by hateeque
September 10th, 2007, 8:55 pm
Forum: Careers Forum
Topic: Desk Developer or Market Risk?
Replies: 9
Views: 66648

Desk Developer or Market Risk?

<t>Thanks!The role in risk is at a very junior level and thus involves reporting VaR numbers and stress-testing as the primary responsibilities for the initial 12-18 month period. Long-term wise it promises to hold a steep career path as it offers a broad expsoure to the product spectrum.Whereas the...
by hateeque
September 10th, 2007, 12:37 pm
Forum: Careers Forum
Topic: Desk Developer or Market Risk?
Replies: 9
Views: 66648

Desk Developer or Market Risk?

apologies for not specifying the product/asset class....its credit derivatives for desk development and IR derivatives for market risk...any comments will b much appreciated!
by hateeque
September 10th, 2007, 12:17 pm
Forum: Careers Forum
Topic: Desk Developer or Market Risk?
Replies: 9
Views: 66648

Desk Developer or Market Risk?

Hi ... which one of the above is more likely to have you end up in a front office role in the future? what kind of progression is there for desk developers (excel / vba)? assuming you're starting from scratch in either, which is more fun in terms of analytical challenge?
by hateeque
July 19th, 2007, 11:01 am
Forum: Student Forum
Topic: Credit/Rates Hybrids
Replies: 0
Views: 67992

Credit/Rates Hybrids

Hi , has anyone got any reading material on credit/rates hybrids that they can post please?
by hateeque
July 5th, 2007, 8:53 pm
Forum: Student Forum
Topic: How to get default intensity structure from CDS prices?
Replies: 7
Views: 155748

How to get default intensity structure from CDS prices?

Can you show us the recursive (bootstrapping algorithm) for computing probability of default at longer tenors?
by hateeque
July 3rd, 2007, 3:04 pm
Forum: Careers Forum
Topic: research phD vs CQF (Imperial)
Replies: 28
Views: 72759

research phD vs CQF (Imperial)

<t>Thank you all for the helpful suggestions. I do appreciate some of the points. However, I would like to clarify a couple of points :Firstly, by CQF , I meant the phD program at Tanaka's Center of Quantitative Finance where you do your thesis/project in the industry and attend 1 day's lectures at ...
by hateeque
June 27th, 2007, 7:07 am
Forum: Careers Forum
Topic: research phD vs CQF (Imperial)
Replies: 28
Views: 72759

research phD vs CQF (Imperial)

<t>Hi I come from a financial mathematics Masters (KCL). I basically have three questions :1) Whether I should go for CQF or a research phD (both at Imperial)?2) What are your thoughts on a phD in statistical finance?3) I had gone straight from an undergrad to a masters and am now thinking to get in...
by hateeque
September 10th, 2006, 3:02 pm
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202580

Tsioveriotis & Fernandes Convertible bond model....help!

Sorry, Here is the file attached.
by hateeque
September 10th, 2006, 1:38 pm
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202580

Tsioveriotis & Fernandes Convertible bond model....help!

I wonder if anyone can help me with my implementation of Tsiveriotis and Fernandes (98) model in VBA. I have used Crank Nicolson timestepping and SOR scheme to solve backward induction. Your feedback will be much appreciated.
by hateeque
September 7th, 2006, 4:45 pm
Forum: General Forum
Topic: Equity to Credit Model for CBs
Replies: 1
Views: 93173

Equity to Credit Model for CBs

Hi Does anyone know about the Equity to Credit model for CBs? I'll appreciate if you could paste a reference.Thanks!
by hateeque
September 5th, 2006, 6:19 pm
Forum: Numerical Methods Forum
Topic: Anyone got a routine for SOR in VBA?
Replies: 5
Views: 95090

Anyone got a routine for SOR in VBA?

Thanks for the quick response. Its single factor and the matrix is tridiagonal. Specifically, it is solving the Tsiveriotis and Fernandes (98) model for CBs.
by hateeque
September 5th, 2006, 5:05 pm
Forum: Numerical Methods Forum
Topic: Anyone got a routine for SOR in VBA?
Replies: 5
Views: 95090

Anyone got a routine for SOR in VBA?

Thanks R. Although, it seems to have alot of the matrix manipulation routines (LU etc.) , I dont see SOR implemented there. Could you point me to the right module please?
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