<t>One of my friends got an on-site interview opportunity for a junior quant position with one of top banks on the street. He actually just started his MS study in Fin Math a few months ago, expects to finish next year. He doesn’t feel that he is now prepared for any real interview as he is still ge...

Anyone can help me on this? Thanks in advance.Wondering

<t>Suppose Company X is AA company and it issues $100 bond at LIBOR + 20. And invest the $100 in BB bond which has yield of LIBOR + 50. So Company X make 30bps by taking credit risk. If company X want to do this synthetically, company X can enter into CDS contract by writing protection on the BB bon...

Thanks, Maelo. Is a course in Real Analysis helpful? Or one just need Mathematical Analysis.Wondering

<t>I don’t have a strong background in Math. All I got from my undergraduate study is standard calculus, linear algebra and some prob and stat. I did learn a lot about probability(calculus based), statistical inference and econometrics in my MS study in Economics. I’m working full time now and tryin...

<t>I got implied vol quotes from a trading desk which I think are in good shape. I also built out my own implied vol surfaces by backing out the vanilla prices traded on CBOE(within 3 yr maturity). These two are pretty consistent. I will take your suggestion of using mid prices and throwing out stri...

<t>Thanks again for your guidance, Alan. I’m having a hard time with calibration. I have vanilla call prices for maturities from 1 month to 10 yr and strikes ranging from 50%-200%. I have the VBA code of Heston in Excel and I basically used Excel built in Solver to calibrate. There is a paper by Nog...

Thanks a lot, Alan. I got itBTW, if VIX^2 is a good place to start, does it mean that both inital vol and long run vol are not quite stable over time? Does your book on Stoch Vol covers Heston and related implementation? Thanks.Wondering

<t>Thank you, Alan.One dumb question, since S&P500 pays dividend, how should I revise the formula of the vanilla call? I thought that I should use (r-q) to replace all r in the formula of P(1) and P(2). And the Call option should be S(0)*exp(-q)*P(1) - K*exp-(r-q)*P(2) instead of original formul...

I'm calibrating heston with the S&P500 options. Can someone provide the initial guess of the parameters that I can start with? Thanks.Wondering

<r>Thanks a whole lot. I found the paper in case anyone else is interested in the exact simulation of Heston.<URL url="http://finmath.stanford.edu/seminars/documents/Broadie.pdf"><LINK_TEXT text="http://finmath.stanford.edu/seminars/do ... roadie.pdf">http://finmath.stanford.edu/seminars/documents/B...

<t>First order Euler discretization is straightforward: generate a normal variable z1 to simulate V first and then generate another independent normal variable z2 and factor in the correlation by doing [z1+(1-Rho^2)]^0.5*z2 to simulate S.I understand that I can use non Central Chi square distributio...

<t>I have problem understanding estimating delta using pathwise method and likelihood Ratio method.Suppose option value is C=E[f(x)] where f(x) is payoff function and expectation is taking over density g(x). then delta is dE[f(x)]/ds(0)Delta in pathwise method is E[df(x)/ds(0)]Delta in LR method is ...

<t>I have a S&P500 implied vol surface backed out from vannila. I'm pricing 1 yr Arithmetic Asia Option (monthly average price, fixed strike). To get a good approximation, I'm using Turnbull (Edgeworth expansion). Which implied vol I should plug in that formula? I tried using the average implied...

<t>We regularly purchase OTC S&P500 options from dealers. We price options first and traded them later when our investable cash flow come in. I understand market variables will move and executed cost is usually different than our original pricing. Now, I'm trying to do some kinda of attribution ...