- August 5th, 2018, 6:21 pm
- Forum: Careers Forum
- Topic: Netherlands or Switzerland for a prospective Quant/Trader?
- Replies:
**9** - Views:
**4862**

Yes, the unconditional probability of landing a graduate position at either of these companies is quite low. However, working for one of the ones mentioned in my initial post, I want to debunk the claim that there is any advantage in being "connected" or " circuiting the system". The vast majority...

- July 10th, 2018, 9:34 am
- Forum: Careers Forum
- Topic: Netherlands or Switzerland for a prospective Quant/Trader?
- Replies:
**9** - Views:
**4862**

A quick Google search on the names that I listed above would have revealed that they are all in Amsterdam.

- July 10th, 2018, 7:09 am
- Forum: Careers Forum
- Topic: Netherlands or Switzerland for a prospective Quant/Trader?
- Replies:
**9** - Views:
**4862**

1. There are a few hedge funds and proprietary non-market makers in the Netherlands as well. The globally significant players tend to be in the market making space however. 2. I can only speak for Amsterdam. There is no need to speak any Dutch in daily life, though it is certainly an advantage to pi...

- July 9th, 2018, 9:58 am
- Forum: Careers Forum
- Topic: Netherlands or Switzerland for a prospective Quant/Trader?
- Replies:
**9** - Views:
**4862**

Your question is quite broad / open-ended. I am not as familiar with Switzerland but in the Netherlands there are number of big electronic trading firms/market makers, e.g. Flow Traders, IMC, Optiver and Tower Research, as well as a few smaller shops, e.g. 323 Trading, All Options. There is also a s...

- October 9th, 2017, 9:53 am
- Forum: Trading Forum
- Topic: how is HFT possible
- Replies:
**14** - Views:
**3418**

Have a look at Carl Cook's recent talk at CppCon.

- June 11th, 2017, 2:06 am
- Forum: Technical Forum
- Topic: Local Vol: Jim Gatheral formula
- Replies:
**21** - Views:
**2684**

A few years back I worked through the details of the derivation on pages 11 - 13 in Gatheral's book. I was able to replicate his result. Attached are the notes that I took back then. Hope this helps...

- September 2nd, 2016, 7:48 am
- Forum: Student Forum
- Topic: Levy measure for Heston (1993) and Bates(1996)?
- Replies:
**6** - Views:
**989**

Sorry - I must have made a typo initially when I entered the parameters. I started from scratch and now get:

call = 8.07652

put = 6.58771

which seems fairly close to the values in the paper you referenced.

call = 8.07652

put = 6.58771

which seems fairly close to the values in the paper you referenced.

- September 1st, 2016, 10:30 pm
- Forum: Student Forum
- Topic: Levy measure for Heston (1993) and Bates(1996)?
- Replies:
**6** - Views:
**989**

Sorry, I cannot replicate your results. I get using my COS pricer: call price = 7.15155061, put price = 5.66274457. Are you sure you meant to use a mean jump size of -50% and a jump standard deviation of 4%? Sure you can use any values for testing but these seem unrealistic at least. Also have a l...

- August 29th, 2016, 10:26 am
- Forum: Student Forum
- Topic: Heynen Ron, Harry Kat 'Partial Barrier Options'
- Replies:
**2** - Views:
**23086**

Hi DrissBadiane, please check your private messages - I just forwarded you a scan of this paper that I once made. One more suggestion - if you are looking to price partial time barrier options within the Black and Scholes framework, then have a look at the method of images in combination with higher...

- July 7th, 2016, 4:52 pm
- Forum: Technical Forum
- Topic: Looking for a simpler proof -- Moment explosions
- Replies:
**7** - Views:
**1479**

See attached for some old notes that I once took while studying for a term structure modelling class. They deal with the bank account case you mentioned.(Please note that this is not my own work but reproduced from some other source that unfortunately I do not have anymore.)

- April 9th, 2016, 11:30 am
- Forum: Student Forum
- Topic: Doe dC/dS (delta) = dC/dX ?
- Replies:
**5** - Views:
**1475**

<t>The time dependence is in the derivatives, I just didn't make that explicit. As you noted before in the Black Scholes setting you have[$]\frac{\partial C}{\partial S} = \mathcal{N} \left( d_1 \right)[$],where [$]d_1[$] depends on time.This relationship is quite useful to directly infer the delta ...

- April 8th, 2016, 6:20 pm
- Forum: Student Forum
- Topic: Doe dC/dS (delta) = dC/dX ?
- Replies:
**5** - Views:
**1475**

<t>They are in general not equal. Merton (1973), Theorem 9, showed however that if the underlying asset exhibits constant returns to scale, then the European call price is homogeneous of degree one in the underlying asset price and the strike price, i.e.[$]C = S \frac{\partial C}{\partial S} + K \fr...

- April 4th, 2016, 3:18 pm
- Forum: Technical Forum
- Topic: Variance Gamma formula of Madan-Carr-Chang
- Replies:
**4** - Views:
**1784**

I think omega = np.log(1 - theta * nu - nu/2 * theta**2 ) /nu; # martingale correctionshould be omega = np.log(1 - theta * nu - nu/2 * sigma**2 ) /nu; # martingale correction

- March 13th, 2016, 1:37 pm
- Forum: General Forum
- Topic: Compound Poisson Process for Modeling Stock Jumps
- Replies:
**18** - Views:
**2814**

<t>My suggestion was to to estimate your model and some alternative models based on the historical returns using maximum likelihood estimation, i.e. fitting the physical return distribution. Then you can make inferences about which model fits your data better and potentially conclude that your jump ...

- March 12th, 2016, 10:14 am
- Forum: General Forum
- Topic: Compound Poisson Process for Modeling Stock Jumps
- Replies:
**18** - Views:
**2814**

If you want to show why a compound Poisson process with log-normally distributed jumps is a better model for your data than some other process(es) you could estimate them via maximum likelihood and then run selection tests like likelihood ratio, AIC, BIC, ...

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