In my experience, I came across a type-o in code of minus instead of plus (in Vols for FX market), and model instability caused by ignoring discrete dividends. Not sure whether the firm lost money, but there was some p&l impact.That's what the back office quants exist for, after all.

<t>QuoteOriginally posted by: timechaserQuoteOriginally posted by: csparkerCorrection: Dixons is not next to Clinton Cards. It is at the western end of the Cabot Place shopping mall's lower level, roughly under the DLR station. Find Tesco from the DLR stop, and go down two levels.Wonder when they mo...

<t>QuoteOriginally posted by: erstwhileMoney:I'm not sure it's "right" to use the Gaussian copula in equity markets. ... erstwhile,Whether Gaussian copula is a good choice (over other copulas) is the matter of: (1) how accurate marginal distributons are, and (2) what is risk, where it sits.I mean as...

Correctly :"The volatility of the j-th "direction" in the (orthogonal) basis generated by PCA contrubuted by the i-th forward rate is the square root of the j-th eigenvalue multiplied by the i-th eigenvector and ALL forward rate volatilities. "

<t>Hi hunting,As far as PCA is conserned - at the last stage what you get is:The volatility of the j-th "direction" in the (orthogonal) basis generated by PCA contrubuted by the i-th forward rate is the square root of the j-th eigenvalue multiplied by the i-th eigenvector and i-th forward rate volat...

<t>QuoteOriginally posted by: JezzaI would recommend two very good books:1. Energy derivatives, Clewlow and Strickland, Lacima,2. Energy and power risk management, Alexander Eydeland, Wiley.I would also highly recommend the recent work of Magnus Blix on NatGas "A gas future volatility model".(Just g...

<t>Hi,I have lots of data on electricity/oil futures contracts. Don't have any experience in this product area - to start with.Need to strip it down to a stationary process for VaR calculation.Obvious patterns are: high volatilities towards expiry and seasonality.I presume there are certain market s...

<t>QuoteOriginally posted by: RFMontrazWhat I like the most in a movie is the performance of main actors/caracters so:The Godfather I, II (Brando, Pacino, De Niro, Duvall)Taxi Driver (De Niro)Pulp Fiction (Travolta)Goodfellas (Pesci)True Romance (Slater)The Matrix (Reeves)Raging Bull (De Niro, Pesci...

<t>Quote--------------------------------------------------------------------------------Calling on those who have done a M.Sc in financial Maths at one of the Universities in UK over the last couple of years. How have you faired in finding a City Job in the financial houses??------------------------...

What is the intuition behind:- neural nets;- genetic methods;- fuzzy logic?And why is it applied in quantitative finance?

Martingale approach is a way to express zero-sum game in diffusion terms.

<t>Earliest one-factor short-rate models:-- Black (1976) and Rendleman and Bartter (1980) - with lognormally distributed short rate dr = mu.rdt + sig.rdW However, assumption of lognormality was immediately critisized as not able to capture mean-reverting property of interest rates.-- Vasicek (1977) ...

My guess is that you'll have to have fluent Cantonese