SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by mtsm
September 28th, 2016, 4:32 pm
Forum: Programming and Software Forum
Topic: Programming in R (on Mac)
Replies: 23
Views: 2754

Re: Programming in R (on Mac)

I have a preference for Python over R when both have similar handy tools available -in general that's the case. Python has become very mature w.r.t packages, you can much better organise the code, the language is nicer, it's much better at handling large dataset  *but*  R is much better for quick s...
by mtsm
September 28th, 2016, 1:25 pm
Forum: Programming and Software Forum
Topic: Programming in R (on Mac)
Replies: 23
Views: 2754

Re: Programming in R (on Mac)

R has it's place, Python has it's place. Your post reads like this: "HEY DON'T DO IT ANY OTHER WAY THAN ME, I MUST VALIDATE MY OWN OPINIONS AND CHOICES BY MAKING SURE NO ONE DOES ANYTHING DIFFERENTLY". Hah, yes it sounds just like what you say, though I'd mitigate your thought on validating my own ...
by mtsm
September 27th, 2016, 9:23 pm
Forum: Programming and Software Forum
Topic: Programming in R (on Mac)
Replies: 23
Views: 2754

Re: Programming in R (on Mac)

Feel free to ignore R and the previous poster - both irrelevant - and go straight to python. 
by mtsm
September 15th, 2016, 1:29 pm
Forum: Careers Forum
Topic: machine learning and big data
Replies: 24
Views: 5152

Re: machine learning and big data

It's a bit tricky. ML isn't a discipline per se, it's a clever repackaging of a mix of subtopics coming out fields such as CS, statistics, optimization, signal processing, AI, and a couple of other fields... It's kind of engineered. US universities are quite smart about creating such hype and it wor...
by mtsm
September 6th, 2016, 4:40 pm
Forum: Student Forum
Topic: Convexity adjustment with HJM - volatility
Replies: 8
Views: 688

Re: Convexity adjustment with HJM - volatility

Hi, using eurodollar option volatilities is preferable, obviously, for consistency reasons. But in practice cap/floor vols are fine, as it is often the case that these vols are marked off of eurodollar vols anyway. The vol surface is often a hodge podge in that area, but if you are careful about thi...
by mtsm
September 1st, 2016, 1:57 pm
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1051

Re: curvebuilding EUR with eonia/euribor basis swaps

At least approximately you don't.

Interpolants: Suffice it to say, that you may need to get into serious computer graphics to go cutting edge. Most published interpolants in quant finance are per se insufficient, although with appropriate regularization procedure it can be made to work.
by mtsm
August 31st, 2016, 9:52 pm
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1051

Re: curvebuilding EUR with eonia/euribor basis swaps

I am just saying that in the absence of a multiple curves solver, you can do something like BBG does, create long dated synthetic OIS swaps from swaps and FF basisswaps. A mutliple curve solver is not always available, nor is it always desirable (think of risk reepresentations or or after-curve-buil...
by mtsm
August 31st, 2016, 9:43 pm
Forum: General Forum
Topic: Antti Ilmanen's "Yield Curve" Series
Replies: 2
Views: 403

Re: Antti Ilmanen's "Yield Curve" Series

My understanding is that "A Term Structure Model and the Pricing of Fixed-Income Securities" is generally considered paper #8. And that is it afaik. 
by mtsm
August 29th, 2016, 5:16 pm
Forum: Technical Forum
Topic: curvebuilding EUR with eonia/euribor basis swaps
Replies: 10
Views: 1051

Re: curvebuilding EUR with eonia/euribor basis swaps

It's all not that clear cut actually. First and foremost it's important to know who the curve is for. It's one thing to use a curve as a swaps/front end/basis market maker, another thing to use it as a derivatives market maker (in which case you would almost always rely on your swaps dealer to quote...
by mtsm
August 15th, 2016, 2:20 pm
Forum: General Forum
Topic: Using equity index futures to hedge a globally diversified equity portfolio
Replies: 3
Views: 400

Re: Using equity index futures to hedge a globally diversified equity portfolio

I am not sure why you would want to use futures to do this. You could use ETFs. Can you explain why?

You need to build a risk model to do what you want to do, or buy one. Some kind of factor model probably.
by mtsm
July 27th, 2016, 2:55 pm
Forum: Technical Forum
Topic: Book recommendation(s) for yield curve modelling/implementation?
Replies: 6
Views: 796

Re: Book recommendation(s) for yield curve modelling/implementation?

There are many many resources on the web and elsewhere, but the right way to look at this is that you have to create expertise while building your curves. It's a bit like a recipe book by a chef, doesn't make you a chef. You actually have to be able to cook and cooking can be very technical. More of...
by mtsm
July 19th, 2016, 11:46 pm
Forum: Student Forum
Topic: PhD Topics
Replies: 13
Views: 1191

Re: PhD Topics

In general I would mind research topics related to derivatives in general. On this forum you will find a lot of very smart people at the forefront of derivatives research, so you will mostly get recommendations that going into that directions. It is an unfortunate mistake that many people still asso...
by mtsm
July 18th, 2016, 12:40 pm
Forum: General Forum
Topic: same value date for consecutive fixingdays?
Replies: 4
Views: 288

Re: same value date for consecutive fixingdays?

I have never seen this being useful for an actual deal.
by mtsm
July 18th, 2016, 1:19 am
Forum: General Forum
Topic: same value date for consecutive fixingdays?
Replies: 4
Views: 288

Re: same value date for consecutive fixingdays?

Yes happens, and a lot of sell-side libraries implement a function called 'value_date_to_last_valid_fixing_date_taking_you_forward _to_the_value_date_you_specified' or something like this.
by mtsm
June 2nd, 2016, 11:29 am
Forum: Careers Forum
Topic: How Do Headhunters Work?
Replies: 5
Views: 1780

How Do Headhunters Work?

<t>There is no doubt a lot of interest, but it is a very private matter, so why discuss it and what is there to discuss anyway?I have, unfortunately I should say, a lot of experience with recruiters in the US and UK. I'd say that the most frustrating aspect is that as a job seeker you are invariably...
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