Anybody have a copy of Turnball and Wakeman (1991) "A Quick Algorithm for Pricing European Average Options"or know a link to the correct formulae?

Has anybody come accross a paper extended the SABR model to include jumps in the spot process?

Hi,Does anyone have a copy of Tsiveriotis and Fernandes "Valuing convertible bonds with credit risk"Thanks

I know quants move from investment banks to hedge funds. How about the other way round.Is it common?

<t>QuoteOriginally posted by: PlasticSaberIn UK, you need to hand the P45 form generated by your old employer to the new employer. It documents how much you have already earned for the current tax year....yes, but if you move in the next tax year i.e. after April 6th all you can work out from the p4...

if you decide to move are you obliged to tell your future employer your previous compensation level? Is there any way they can confirm it?

What's the difference between a normal quant and a desk quant? Is the title desk quant a euphemism for spreadsheet monkey?

any takers?

Hi,Does anybody know anything about the reputation of the equity quant team at commerzbank?thanks

Try cfsqp. It works like a charm and can deal with linear and non-linear constraintsFV

<t>QuoteOriginally posted by: BBertieOffers from both Uni's, Bath for Finance and Accounting, Birkbeck for Financial Engineering. Question which university has the better reputation in the city? If so, why so?Thanks in advanceBath is very good for mathematical finance (in the mathematics dept), but ...

<t>QuoteOriginally posted by: Anth0nyHi Guys,I've recently finished a second internship at CSFB, working within client valuations (Ops). Towards the end, I went for a few meetings, one of which was with an MD, who was head of Global Derivatives IT. After our meeting, he was keen to get me involved a...

<r>QuoteOriginally posted by: AlphaNumericusQuoteOriginally posted by: TraderJoeQuoteOriginally posted by: AlphaNumericusQuoteOriginally posted by: TraderJoeQuoteOriginally posted by: AlphaNumericusHow 'bout sending the refugees to Africa?How 'bout sending you to Africa?Why do you feel the need to s...

<t>QuoteOriginally posted by: hit464hi everybody,I am new to this forum and I read all the discussions related to admit in top schools of US for math fin programs. I want to get into these too. I have a decent background in chemical engineering and I have published 2 research papers in mathematical ...

QuoteOriginally posted by: randomaxIn the USAssociate: $30kAnalyst: $10KDoesnt the sign on in UK depend on the position they're offering you? Or is there a standard position for Ph.D.s?PhD's join as associates on graduate programs.