<t>How is this MSc course in Stochastics and Financial Mathematics jointly offered by three Dutch Universities ( Universiteit van Amsterdam, the Vrije Universiteit Amsterdam and the Universiteit Utrecht ) ?How are the job prospects after doing this course ?Does this course has a good reputation in t...

<r>Hi.I am working on optimal portfolio selection of an CBO.I have created an optimiation problem with linear objective function and all linear constraints, and only one non-linear constraint (corresponding to Diversity Score)I have chosen the successive linear programming technique (<URL url="http:...

<t>How easy it is to get a job if you have a HSMP + MSc (Fin Math) + B.Engg (Comp Science) + 4.5 Yrs of experience in C++ programming in developing Financial software. How good are perspective to get a job in an investment bank ?Is it necessary to have an investment banking experience to get a job i...

Sonia Gandhi has declined to become the PM of India. Former Finance Minsiter(Faher of Ecnomic Reforms) is tipped to become the next PM.

<t>It will be black day in the history of India if Sonia Gandhi become the prime minister of India.Congress is the dynasty party with no leaders and no ideology. People may have voted for anti NDA but certainly not to Congress and Sonia Gandhi.There can be no comparision between Vajpyee and Sonia. <...

<t>QuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: ArchimedeanIs pricing under Risk neutral condition always means that your investment will grow at risk free rate ?No. If you buy an option and don't hedge then it will grow randomly depending on the underlying. If you perfectly hedg...

Is pricing under Risk neutral condition always means that your investment will grow at risk free rate ?ORDoes Risk Neutral means that the risk taken by Seller and Buyer under the current market conditions is equal?

What is unspanned stochastic volatility and what is its importance in pricing interest rate derivatives ?I would like to hear the views of Quantitative Gurus in this forum on unspanned stochastic volatility.Thanking you in advance.

Does the difference between the simulated fwd curve and the currnet fwd curve gives the value of [Market Risk + Liquidity Risk ] ?

<t>Consider a HJM model for non liquid curve and the volatility function vol(t,u) is estimated from the time-series observations of past forward rates. Using HJM model, we simulate the forward curve and compare the simulated forward curve with the current forward curve. Will the difference between t...

Is this paper by Andersen, Sidenius, Basu available anywhere on the web for download?

Read the paper by Mark Joshi on Importance Sampling. I have implemented importance sampling for the senstivity analysis of Nth to Default Swap.

I have read his lecture notes on Financial Engineering. They are pretty good specially the case studies with practical relevance are brillant.