Hi,can anybody recommend a capable recruiter who has a strong relationship with JP Morgan or Lehman? This would be in New York.Thank you!

Hello Forum,any thoughts on what the typical career path of a Prop or Exotics trader looks like? In other words, what would be a good strategy to obtain a job as a junior (quant) trader on the prop desk of a top-tier IB?Thanks a lot,Costica.

Thank you all for your suggestions. In fact, I was looking for an overview page that "classifies" existing structures according to some standard characteristics...Best,costica.

Dear Forum,does anybody have a link to a website on structured products?Thanks a lot,costica.

Dear Forum,do you know any links to good Matlab code for Quasi Monte Carlo methods? Halton, Faure or Sobol would be nice...Thank's a lot,Costica.

<t>Can you get a copy of Bjoerk's "Arbitrage theory in continuous time" (chapter 14) or Korn's "Optimal Portfolios"? They both describe the solution method in detail. In case of a logarithmic utility function the solution is given by the optimal growth portfolio.By the way, I think you have omitted ...

Thank you all for the helpful suggestions.Dominic, I am very interested in seeing your code. I will write you a private message with my e-mail address.Best,costica.

<t>Dear Forum,currently I am struggling with a multi-period portfolio optimization problem subject to constraints on the portfolio weights. I am trying to evaluate the expected utility of a specific portfolio by running a Monte-Carlo simulation. If you look at a small number of assets you can discre...

<t>Dear Forum,has anybody read the paper "A simulation approach to dynamic portfolio choice" by Brandt, Goyal and Santa-Clara? The link is simport.pdfI am trying to implement the algorithm, but I have not understood very well how they assign a sample path to a certain wealth level. It is briefly exp...

<t>Dear All,currently I am trying to solve the consumption-investment problem in continuous-time (Merton´s problem) with constraints on the controls (consumption and portfolio weights). Does anybody have a link to a paper or a textbook that addresses this problem. In other words, how do you handle t...

Matt,thank you very much for the great link.Paul,Unfortunately I haven't formulated the problem yet... I will probably try to define the utility function piecewise and make sure there are no discontinuities.costica.

<t>Dear All,currently, I am trying to model the ALM-problem of a pension fund using stochastic control methods. The special assumption I make is that the utility function of the pension fund has a "kink" at the minimum funding level. At this point the utility function is continuous but not different...