sorry, double post

<t>farmer,to answer your question, the biggest players in inflation (bonds and swaps) are currently (as of end of 2005) barclays, bnp paribas, and ubs (in my opinion). There are a few sources of data for this stuff, one being brokers (cantor in the US and bgc in europe), and another being bloomberg ...

Hello all,I am trying to model the mean reversion parameter lambda from the Ohrenstein-Uhlenbeck SDE ( dS = lambda ( S - Sbar ) dt + sigma dW. I have a large time-series to work with. Any guidance is appreciated. Thanks.

<t>Bloomberg's Quantitative research team is probably the best. They are run by Peter Carr (quant of the year 2003) and have people like Pat Hagan and Bruno Dupire. Also up there is BNP with two of the guys from the BMP Model (Alan Brace and Marek Musiela)...of course Rob Engle consults for Morgan S...

<t>GuitarHero,I went to a state school in the south and got a 3.3 from there. Right after that, I got into NYU's program. The thing that helped me most was the fact that I took graduate math classes and that I picked up some knowledge of mathematical finance before NYU. Also, I don't think it's nece...

<t>I just want to point out that the Island dataset is a full orderbook which comes in the form of messages (with timestamps) which signify changes to the order book for a particular stock over time. For example, if a marketable limit order to buy comes in, it will reference a particular slice of th...