<t>QuoteOriginally posted by: daveangelits a typical problem in finance, interpolate and iterate.Thanks for reply. To interpolate rates for yield curve, we use an equation say Nelson Seigal's one and try to minimize squared errors to find a fit between market price and theoretical price of bonds. On...

<t>Hi All,I am new to CDS and have a doubt. As we need hazard rates(or survival probabilities) to find CDS spread, how do we get hazard rates? As given in a paper by JP Morgan, we use Credit curve to get spread and then can find hazard rate by back substitution which seems to be a chicken egg proble...

<t>I haven't gone through any such article but here are my suggestions:1. As we estimate VaR using different techniques(historical, Monte carlo etc), lets we begin with Monte Carlo simulation of CMO pricing.2. We know that major risks in MBS are interest rate/prepayment/default risk. So we can do MC...

<t>QuoteOriginally posted by: bearishThe point of an OAS model for MBS is to adjust for the prepayment risk, no more no less. It is miserably hard to do at the moment, but that is an entirely separate topic.Thank you for reply. I understand your point regarding role of OAS in MBS. However, I am keen...

<r>Hi All,Regarding OAS and option embedded interest rate derivatives, as per riskglossary(<URL url="http://www.riskglossary.com/link/option_adjusted_spread.htm"><LINK_TEXT text="http://www.riskglossary.com/link/option ... spread.htm">http://www.riskglossary.com/link/option_adjusted_spread.htm</LINK...

164 views and no reply so far !!You might like to post this question on LinkedIn at a relevant group.

<t>Thanks Hansi and DominicConnor.I understand the point. Fortunately, I am also doing an internship in a prop-trading firm, JC Trading Chicago which relies mainly on manual trading. I need to do some research and exploration of algo trading for the firm. I hope I'll get to know algo trading strateg...

<t>QuoteOriginally posted by: DominicConnorI'm not an expert on ITG, butr here's a few tips...The first goal is to impress the people you get put with, that's a mix of getting on with them, but more importantly demonstrating that you're smart and can actually do things.They already suspect you're sm...

Any expert advice ??

I'll really focus much on my career goal and interests and less on other things. I would probably join FO.Congrats for job.

<t>Hi All,I am a newbie at this forum. I read many topics here and found people really helpful so decided to join.I am going to join ITG(Investment Technology Group) for Summer internship as Technology Summer intern. This internship is not particularly in Algo trading and is more general in nature. ...