<t>This is quick and dirty, but not optimal.Function Chol(rMatrix) Dim c: c = rMatrix 'Correlation matrix Dim N As Long: N = UBound(c, 1) Dim d() As Double: ReDim d(1 To N, 1 To N) 'Decomposed matrix Dim i As Long, j As Long, k As Long Dim temp As Double For j = 1 To N For i = j To N If j = 1 Then d...

<t>I am sure you are right. Also insurance companies are in dire need of offloading their claims risks on others willing to absort those risks. This will likely lead to a rush of new insurance derivatives in the next few years. Also derivatives are not the only game in town. There are significant ef...

<r>IN PURSUIT OF THE FINANCIAL HOLY GRAILSo, you are considering of a career in finance and wondering if one of the new MS degrees in quantitative finance will be your ticket in? First of all think of what brought you to this path. People go into derivatives (which is after all what a great deal of ...

Hello Tanya,Yes, he was my step-father. If you want to contact me directly please email me at sergey@konovalenko.com.Sergey

Taking these classes is like going to a mechanic school to learn about engineering. I would seriously advise against it. You can take up to 4 classes from the regular graduate program without enrolling. The tuition is pretty much the same.

You should also look into the computational finance program at Carnegie Mellon, which you can take part-time from their New York mini-campus located near Wall Street.

What do you mean?

<t>Did anybody every run into this problem? I have written a function in C++ and calling it from Excel. When I first open the Excel document with the function already in it, it calculates instantly. When I try to recalculate or change any of the variables it takes forever to process. I am using Visu...

All of the top finance MBA programs have concentrations in financial engineering: Wharton, NYU, Columbia, MIT, Chicago. MIT’s is probably the best but I don’t know how they compare depth-wise to stand-alone master programs in quantitative finance.

<t>Hello again Jobseeker,Thank you for your kind words. Actually I am only about to embark on a career in derivatives after completing the computational finance program at CMU next year. I did trade options, though, for my own portfolio for some years and I rarely had a more exhilarating experience....

<t>It would be impossible to generalize. If it’s your first job, you will probably do quite a bit of programming. As you gain experience and move to the business side, you will do more marketing and trading and less coding and modeling, which will be done by other junior quants. The main point is th...

<t>Hi Dimitris,Let’s take a hypothetical situation: You are a prop trader and you have an epiphany at 6am in the shower about a certain trade that could be very profitable. You are pretty sure this has not been tried before and you want to test it out as soon as possible to beat the others to the pu...

Hello Jobseeker,I am around. Email me at sergey@konovalenko.com.Sergey

<t>Both GARP and PRMIA are now offering risk management certifications. The body of knowledge is the same and one could easily study for one and take both tests without any extra work. However, is there any feeling out there which will be the “Coke” and which will be the “RC Cola” of the profession....

<t>I am starting the CMU program myself in May and still wonder whether it will be worth the time and money. I am specifically interested in derivatives and this program is one of the best out there in preparing one for a career in this field — short perhaps of a PhD in financial mathematics, but I ...