<t>Dear all!I offer classes covering Financial Maths, Stochastic Calculus, PDE, C++ Programming etc. This may be useful for:1) Undergraduate and postgraduate students studying Financial Mathematics and struggling with their projects;2) Recent and prospective PhDs who wish to apply for Quant position...

Thanks Paolos, I'll try to derive this formula.

<t>Paolos, thanks! I felt that I am going in the right direction.But where in the simulation process (and in the formula E[ f(DF(t,T)) | F_0]) is the magic expression "forward martingale measure" hidden?Say, I want to compute the same expectation E[ f(DF(t,T)) | F_0] under a local (or any other) mea...

<t>Sometimes we have to find expectations under a forward martingale measure, for example the forward Libor is calculated as Libor(0,t,T) = E[Libor(t,T) | F_0]. In the more general case we want to computeE[ f(DF(t,T)) | F_0]under a forward martingale measure, where 0<t<T and f is some function of th...

horacio,have you solved the bond option pricing problem?in MC simulations, what do you put for a bond price?regards,tensor

<t>This is an interesting discussion and I would like to turn back to it. Obviously, we do not discuss here the relationship between the forward and futures prices. They are THE SAME (provided r=const). See Hull for the definition.The issue here is THE GAIN obtained if holding a forward contract and...

We have a European barrier with infinite time to maturity. Current stock price is S_0=20. If the stock price hits B=80, the option pays 80. Nothing else is known. What's the option price? How to hedge such an option?

Thank you very much.I have also found a very good book by Smith "Numerical solutions of PDEs" with all that stuff.

Hello everybody!On the interview I was given the PDE: u_t = u_xx + u_yy.What is the operator splitting technique for solving it numerically?Many thanks for your answers.

Thanks, jfuqua for this information. I hope, other quants will also join our discussion.

<t>Dear Quants,If you look at the questions at this forum, you notice that people usually ask about career prospects, education requirements, salaries etc. Still little is known about how much quants work. In a few posts where this topic was discussed, I have found just jokes and funny answers.Howev...

<t>Half a year ago I sent my CV to hundreds Agents in the UK.From my experience only few of them are worth something. I mean such well-known agencies as Huxley, Millar etc.They have done at least something for me.Anyway, during this half a year I was interviewed by only 3 leading investment banks.I'...

<t>Hi Quants!I'm currently looking for a Quant job.I've tried various agencies; it works, but not so well as I expected.Now I am sending speculative letters directly to the big Investment Banks; it's better, but the disadvantage is that my CV comes to HR first, who are not specialists.I also want to...