SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by frenchX
January 17th, 2014, 1:57 pm
Forum: Book And Research Paper Forum
Topic: Paper about the global macroeconomic impact of financial innovations
Replies: 1
Views: 5992

Paper about the global macroeconomic impact of financial innovations

What are the main papers on this topic ? Actually is there any empirical research about it ? (especially the impact of derivatives on macro output such as rates, inflation, growth, employment and so on).
by frenchX
January 17th, 2014, 1:50 pm
Forum: General Forum
Topic: Quant Working Hours
Replies: 13
Views: 7396

Quant Working Hours

<t>Optimum working hour is an interesting topic and it depends on :-knowledge intensive/physical intensive work-delivery driven/discovery driven work-social interaction among workers-work life balance cultural choice-expected career objective-experience in the task to be accomplishedetc... and so on...
by frenchX
January 17th, 2014, 1:44 pm
Forum: General Forum
Topic: CDOs are back?
Replies: 42
Views: 13645

CDOs are back?

<t>then we can only hope that compared to 2003:-risk management and internal control increased-pricing and hedging model are more precise and more realistic (gaussian copula was not a good idea afterward)-banks books are more diversified and have enough capital to support another big shot-ethics and...
by frenchX
January 13th, 2014, 1:20 pm
Forum: Off Topic
Topic: RIP Marc Yor
Replies: 3
Views: 5056

RIP Marc Yor

Here a short post to express my sadness about the premature loss of Marc Yor.he was the best probabilist in France in my opinion and did a lot of contribution to the quant finance field.
by frenchX
January 8th, 2014, 12:35 pm
Forum: Careers Forum
Topic: Would you recommend Quant work as a career ?
Replies: 14
Views: 8243

Would you recommend Quant work as a career ?

In 2007, "quant" was the best career ever for guys from my school. Now it is "consulting". People prefer to go to McKinsey rather than Goldman.
by frenchX
January 8th, 2014, 6:28 am
Forum: Off Topic
Topic: The Best of Europe
Replies: 818
Views: 45777

The Best of Europe

<t>QuoteOriginally posted by: edouardEADS plans to cut up to 6,000 jobs and sell its Paris HQ: paperHopefully, our cheesy laserman will not be impacted by that job cut.Hopefully yes. The job cut would mostly impact the Defense division in Germany and the IT service in Cassidian France as far as I kn...
by frenchX
October 22nd, 2013, 10:37 am
Forum: Off Topic
Topic: First Annual Wilmott Quiz Team Brownian Bridge Event (May 16-17, 2013)
Replies: 767
Views: 21773

First Annual Wilmott Quiz Team Brownian Bridge Event (May 16-17, 2013)

Even if I'm very away at the moment I'd like to meet those fellow wilmotters !!!
by frenchX
October 21st, 2013, 9:03 am
Forum: Brainteaser Forum
Topic: Hypothetic strange contracts
Replies: 33
Views: 43157

Hypothetic strange contracts

<t>Nice job you two !! (as usual might I say).I have several questions:1) I suspect your box contract price to be linked to the area of the box but what is the cheaper between those three contracts (S1,S2)*(T1,T2) vs (2S1,2S2)*(T1/2,T2/2) vs (S1/2,S2/2)*(2*T1,2*T2) ?2) I think there is closed form f...
by frenchX
September 5th, 2013, 11:37 am
Forum: General Forum
Topic: Quants will never be CEO
Replies: 34
Views: 10554

Quants will never be CEO

<t>"There is no need to predict future if you are part of a tribe that can create it"It's funny because this sentence is the motto of the Kelloggs business school The shifts from functionnal manager to enterprise leader :-from tactician to strategist-from specialist to generalist -from analyst to in...
by frenchX
September 5th, 2013, 8:07 am
Forum: Technical Forum
Topic: Derivative pricing with cumulative prospect model
Replies: 2
Views: 6874

Derivative pricing with cumulative prospect model

<r>I agree that there may be some aggregation problem. This paper says :"Cumulative Prospect Theory (CPT) has been used as a possible explanation of aggregate pricing anomalies like the equity premium puzzle. This paper shows that, unlike in expected-utility models, a complete market is not sufficie...
by frenchX
September 5th, 2013, 7:47 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 9703

Risk measure when you have very few historical data

<t>Well in my opinion in the case I have mentionned the risks are :-very high (even unrealistic) customer expectations (I gave you plenty of money and of time so I want my cancer vaccine !!!)-not so motivated team because there is no dead line pressure (oh come on don't be hurry we have 10 years lef...
by frenchX
September 5th, 2013, 7:40 am
Forum: Technical Forum
Topic: Derivative pricing with cumulative prospect model
Replies: 2
Views: 6874

Derivative pricing with cumulative prospect model

<t>We all know the standart derivative pricing method by replicating a portfolio as a perfect hedge in a complete market. In incomplete markets, one of the method is to use utility theory to price a derivative. It is well know that utility theory as a lot of flaws so why not trying to apply the idea...
by frenchX
September 4th, 2013, 12:52 pm
Forum: General Forum
Topic: Quants will never be CEO
Replies: 34
Views: 10554

Quants will never be CEO

<t>QuoteOriginally posted by: CuchulainnQuoteImagine a CEO whose vision would be "We will cure the cancer in 5 years" would you believe him ? Maybe, maybe not. What team has he?Your question is probably the most important one. In his book Kahneman said that he made very unpopular study. He studied t...
by frenchX
September 4th, 2013, 12:34 pm
Forum: General Forum
Topic: Quants will never be CEO
Replies: 34
Views: 10554

Quants will never be CEO

<t>AMAZON the guy created the firmAIG benmosche has a Bachelor degree in math ...AAPL bachelor degree in engineering before his MBAIMHO bachelor degree is not a sign of quantitative nor scientific expertiseBut I agree that there are real scientist in the panel of big firm CEO (I suspect them in phar...
by frenchX
September 4th, 2013, 10:43 am
Forum: General Forum
Topic: Quants will never be CEO
Replies: 34
Views: 10554

Quants will never be CEO

<t>While I agree with you that "without a degree you can succeed", I think that it's mainly in the computer science sector in which low initial investment is needed. For example I expect very few start ups in high capex sector such as space, aeronautics, oil and gas and so on.But this not the questi...
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