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by pusher
July 30th, 2008, 9:46 am
Forum: Careers Forum
Topic: Finance Careers in India?
Replies: 5
Views: 51541

Finance Careers in India?

some yrs exp in fixed income. any ideas on the following fields:tradingresearchmid-office (risk mgmt, valuation, etc.)
by pusher
June 23rd, 2008, 11:54 pm
Forum: Student Forum
Topic: Natural gas spreads
Replies: 0
Views: 51713

Natural gas spreads

Hello, I have question on the Oct/Jan spread:What are some of the major factors that affect the oct-jan spread. Is there a reference paper/doc that talks about this is detail?There are many that talk about the Mar-Apr spread but none that talk about Oct-Jan spread.thanks
by pusher
June 23rd, 2008, 11:53 pm
Forum: Student Forum
Topic: how to very loosely approximate an option on a spread
Replies: 0
Views: 51750

how to very loosely approximate an option on a spread

<t>Hello, If I want to *very approximately* replicate a call option on a spread: x1-x2 how may I dynamically or statically do this with liquid calls/puts on the x1 and on the x2. say that the correlation(x1,x2) is always 85% or higher.In other words:1. I want to participate in the upside (could be i...
by pusher
March 30th, 2007, 10:12 pm
Forum: Careers Forum
Topic: Final round at SIG
Replies: 0
Views: 75555

Final round at SIG

Hi,I have been selected for the final round at SIG which is their in-person round. Absolutely any tips are very welcome.Anybody with any experience please guide or PM me.much thanks
by pusher
March 25th, 2007, 2:20 pm
Forum: Careers Forum
Topic: SIG (Susquehanna) Trading assistant: 2nd round interview
Replies: 23
Views: 96843

SIG (Susquehanna) Trading assistant: 2nd round interview

<t>Hi,THe first round for me for mostly conditional probability problems.SECOND ROUND --1. Will the second round be on a similar difficulty level? Or should I brush up my random variables, distributions (Poisson, etc.), statistics?2. Will there be brainteasers? If so, I would warm up on those too.La...
by pusher
November 19th, 2006, 9:52 pm
Forum: Technical Forum
Topic: How do desks hedge cross-currency swaptions risk? (fx risk, i-rate risk, corr risk, mty, credit risk, default risk)
Replies: 2
Views: 88710

How do desks hedge cross-currency swaptions risk? (fx risk, i-rate risk, corr risk, mty, credit risk, default risk)

<t>Hi--I need to understand these instruments from a hedging perspective than a pricing one. I have a good handle on plain (1-currency) swaptions and the vol surface, the gamma and vega that play part in hedging. But currency has more parameters, correlation, credit and default risk(in case of emerg...
by pusher
June 26th, 2006, 2:55 pm
Forum: Student Forum
Topic: Help: Swap Delta using Leg-by-Leg analysis
Replies: 8
Views: 107896

Help: Swap Delta using Leg-by-Leg analysis

johnself,I am just trying to understand why a 10y swap is going to have a huge change if the 10y rate is bumped but not when the 5y rate is bumped. Could you explain that please?thks
by pusher
June 26th, 2006, 2:36 pm
Forum: Careers Forum
Topic: Is there a list of hedge funds (that I can buy/borrow) and apply to them for a job?
Replies: 1
Views: 101152

Is there a list of hedge funds (that I can buy/borrow) and apply to them for a job?

<t>I am on H1 too, with 3 yr work experience in quant finance, contemplating to move onto the hedge fund side. How risky is it to move to hedge funds in terms of a layoff for a junior member such as me. Also where can I find a list of good hedge funds which I can apply to ? (I am willing to pay for ...
by pusher
June 26th, 2006, 11:59 am
Forum: Student Forum
Topic: Help: Swap Delta using Leg-by-Leg analysis
Replies: 8
Views: 107896

Help: Swap Delta using Leg-by-Leg analysis

<t>I am trying to figure out the delta for a vanilla swap using a leg by leg analysis. Definition: Delta(i) = Change in swap value if the swap rate is bumped by 1bp at the ith point ONLY. A. when SPREAD = 0FLOATING LEG:This is a floating rate bond whose present value is always 100 (at least on payme...
by pusher
January 22nd, 2006, 2:49 pm
Forum: General Forum
Topic: what is different in the cashflows for synthetic and cash CDO's
Replies: 0
Views: 121655

what is different in the cashflows for synthetic and cash CDO's

<t>Hi,I understand that cashflows for cash CDO's are:for a given tranche ---1. PV(Losses): PV(1-R) if there is a default. 2. PV(Periodic payments): PV(Reduced notional) * Tranche_coupon ... until the notional is reduced to 0.and then we run the simulation over and over and the difference of the two ...
by pusher
January 31st, 2005, 3:22 am
Forum: Programming and Software Forum
Topic: Option trading software (your opinions on OptionVue, optionetics, etc.)
Replies: 0
Views: 161427

Option trading software (your opinions on OptionVue, optionetics, etc.)

<t>Hi,I am currently trying to get a feel of option trading and greeks using analytical software (I have an MS in Fin.Engg and am hoping to get into a trading job in the near future.)For this purpose, your feedback on any PRACTICAL options trading software would be helpful. I do not hope to profit m...
by pusher
December 30th, 2004, 9:18 pm
Forum: Off Topic
Topic: A good "gambling" book
Replies: 8
Views: 165825

A good "gambling" book

Thanks MAtt -- I'll try it out
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