Hi all, For a while I have been thinking of thinking about the next step in my career. I have been working as a rates&fx quant at the front office of a big American investment bank, but I have now started to realise that I would prefer not to keep fixing pricing/hedging issues for traders for th...

Reviving this thread 9 years later for all users who joined after the credit crunch... Any expert views on which interpolation in the volatility cube with SABR interpolators produces better results? Interpolation on parameters or rather on volatilities? I would also be very interested to be pointed ...

Hi again all, The title of the subject was a recent question during an interview as part of a longer discussion. The interviewer wanted to know how would I go about discriminating models for exotic derivative pricing and explain my findings to a trader. In other words, how do I explain a trader whic...

I am trying to compute the probability density function of the forward rate implied by the SABR formula approximation in order to see how the density implied by the approximation has negative probabilities or explosive behaviour depending on the input parameters (especially for low strikes). All I ...

Hi all, I am currently building a SABR calibrator for swaption normal vols, and based on what I have read in the literature it seems like the Levenberg-Marquardt non-linear optimization method is the most popular approach amongst practitioners. The LM method involves computing the Jacobian coming fr...

@Gamal your answer is not helpful, does not clarify the subject to any extent and is certainly not funny.

The main limitation of SABR when it comes to swaption pricing, according to the literature, is the following: [SABR] should therefore not be used to price exotic products depending on more than one forward rate. To overcome this limitation, extended versions of the LIBOR Market Model, which include...

Most of the literature in quant finance assumes that trading is frictionless and taking place in continuous time. Going from continuous to discrete trading is intuitive and does not really disqualify any quantitative model. However, one would think that including transaction costs in real-life tradi...

Hi all, I am currently building a multicurve calibrator based in OIS discounting using a multi-dimensional Newton-Raphson (in the past I would have said that I am "building" my curves but in the new framework it seems more reasonable to say that I am "calibrating" my curves). The...

Recently I got a lot of cr*p from a trader when discussing some calculations concerning the zero curve, he wouldn't be willing to explain why I made a mistake in my calculations, so let's see if you can shed some light. Assume I have a yield curve (in ACT/365) built using depo rates up to 12M and th...

@bearish thanks for your answer, I was actually thinking of HJM and not Hull-White, and it's certainly wrong to say that Ho-Lee would be a special case of HJM.  Going back to fitting a yield curve to Ho-Lee, I can see that it is possible to fit the model "perfectly" using a closed form sol...

I am currently trying to find out different ways of calibrating a Ho-Lee model (special case of the Hull-White model) to price various types of derivatives, say 1) futures, 2) cap/floors and 3) more exotic derivatives (I already know this model would not be the first choice to do so but it's only fo...

how much does the firm or your division or your desk make in revenue or in profit from your work? 

That in my case would be particularly hard to answer, given that I work in quantitative risk management and hence my work does not generate any directly observable profit.

That was pasted there by eFinancialCareers presumably. I have however found these new sources below. Unfortunately not in the 70-80 bracket for someone like me with 4 years experience: Michael Page : 40-65 Robert Walters : 50-70 Goodman Masson : 50-70 Prmia : 60-76 Does somebody disagree with these ...

Ok thanks very much to both (@bearish and @martinghoul). To my surprise, I have also found out that some people use BS implied cap vols to plug into the HJM convexity adjustment formula. Since these vols are model-dependent, I wonder how this can work at all since I'd be essentially using vols gener...