SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 273 matches

by ashkar
October 26th, 2011, 7:01 am
Forum: Technical Forum
Topic: FX and Rates Modeling
Replies: 4
Views: 17983

FX and Rates Modeling

<t>From what i've seen traders using on their desk:For short dated products its generally local vol/local stochastic vol with IR assumed constant.For long dated, its generally 3 factor model with IR-FX correlations . It may/may not have local/stoch vol for fx and sabr for IR. For pricing 3-factor ca...
by ashkar
October 25th, 2011, 4:07 pm
Forum: Careers Forum
Topic: Expectations: Musings of a science PhD in search of new quant career.
Replies: 61
Views: 22480

Expectations: Musings of a science PhD in search of new quant career.

<t>You said you had an interview but were rusty. You should focus on revising math and programming (c++, datastructures, algorithms etc) instead of derivative pricing. If I were in your position, I would study macro-economics and general financial markets topics just to show my interest in finance (...
by ashkar
October 18th, 2011, 8:08 pm
Forum: Careers Forum
Topic: Career move to quant research
Replies: 1
Views: 17586

Career move to quant research

<t>HiI would be grateful for your advice.I have a CS background (msc) and been working in FO IT for last 5 years since graduation. i work on ir/fx risk and pricing library in c++. I have done self-study in fin-maths for last few years and some univ. modules. I like working on analytical/research pro...
GZIP: On