I also need a solution manual urgently. Please please email me a copy at a_b_man@hotmail.com.Thanks in advance!

<t>Thank you for your responses!I hope I'll get there As for the other US schools - which have PhD programs in QF/FE of comparable quality? Chicago, NYU, CMU, Princeton, Cornell, Stanford ... others?QuoteAs a graduate of that department, I would say if your intention is to find a quant job after gra...

<t>Hello,I am curious about Columbia University's IEOR department. From one side it's Ivy Leage and AFAIK there is a good MFE program. There are also some renowned faculty and they hold regular seminars with Street professionals on this department. From the other side, US News Report says that Colum...

<t>Hello!I know I'm not the first one to ask about parameter estimation (betas) in Svensson zero-coupon curve model. The thing is that I want to use rather an unusual error criteria and don't know if there's a convenient optimization technique for it.I'd like to define the error as 0 if the estimate...

I suppose you ought to separate riskless rate and credit spread. There's also a liquidity prepium priced in yield, which can sometimes be substantial (although it's much lesser than first two components). Maybe you should try to model these things separately and then get to a yield value?

<t>Dear colleagues,As far as I understand, most people simply use daily turnovers as a gauge of a security's liquidity. The greater the turnover, the better the liquidity, quite obvious.However, there are more things to consider, like issue volume, amount of deals (a big turnover could have been mad...

<t>Hello,I'm wondering what are the methods to assess a quantitative forecast. I have a model which tries to predict short-term movements of the UST yields, and I can back-test it on historical data. Each day it gets a new value and tries to forecast the next day's closing yield.Is there any method,...

The Sharpe's ratio was approximately 0.55. Is it good or bad? Please, need your advice.

Thank you for the tech analysis link! I've almost bought this book a week ago Sure, I'll try to figure out the sharpe's ratio. The monkey trading requires mathlab, it is going to take years for our IT to install it..

<t>QuoteOriginally posted by: Bazman2Not sure what kind of strategies you are working on but there are several books on quantitative trading that cover pairs trading and the like these might be a good place to start. You are bound to find one in your library!Not sure about trying to convince your pr...

<t>Hello.I'm writing a coursework on a trading algorithm, which involves half signal processing, half technical analysis. Every day it gives a recommendation to go long, short, or stay in cash for tomorrow. The thing is, that I would like to test it against some simple well-known signal-generating a...

<t>Hello.I'm only on the start of my career - looking on opportunities, trying to choose the "best" one. The thing I'm curious about is - what is the general formula for Quant's bonuses, in terms of year's compensation. I understand that the bonus varies very much and depends on market, firm policy,...

ah... I just forgot to mention that there are no options on that rate as far as I know. So, I can calibrate using only the rate data (and the historical volatility data).

<t>Hello,I am implementing the C.I.R. model of interest rate with Heston's stochasic volatility. So far I was able to find long-run mean mju and reverting "strength" kappa for both rate and volatility, but I still have no clue how to get the "volatility of volatility" parameter xi and correlation be...

<t>My approach is tedious one. Consider this as a two state Markov Chain, good or bad. Effectively we need to find out the prob of bad (or good) at the end of chain. The transition prob from bad state at last nth passenger to bad state at last n-1-th passenger is P(n-1)=P(n)*(1-1/n^2), Note P(N)=1-1...