Some old quants are so good, they stay as long as they're still interested of what they're doing. My advisor is 60 years and is still enjoy his life as a quant/professor

It's more or less related to the scaling property of Brownian motion, which relates the stochastic change in time to stochastic change in space. Thus, we have the stochastic volatility.

It's more or less related to the scaling property of Brownian motion, which relates the stochastic change in time to stochastic change in space. Thus, we have the stochastic volatility.

Lucetios,It seems to me that we could find the expection of the integral. To make it simpler, if you take t_0=0, and t=T, you may find E(\int_0^T \int_0^T {w_u w_s} dsdu) = T^3/3.Hope this helps.

I guess that you don't need to use PCA. All you need is the pairwise correlation between different names.

This is part of the proof of classic Girsanov theorem. You may find it in many standard stochastic calculus book, like Steven Shreve's book.

The food and night life there are great ! Taken as Bonus ?

So, once they hire you, they want to keep you as long as possible,given you proved yourself to be valuable.

What if it's FID?Thanks for your input, Rico

<t>DCFC, Thanks for your detailed summary Really appreciated!I was asked this question in a recent interview (an IB). I'm wondering what they are trying to get from this question. Are they simply want to know your future career plan? Or are they trying to judge whether you'll quit for HF after a sho...

Look forward to that ...BTW, what's FO?

Hi, DCFCCould you email me the lecture notes for "C++ for interviews". qxiaking@yahoo.comThanks.

Just out of curiosity, could you describe what would your normal working day be like? Except for answering question on wilmott

Hi everybody,Could some senior quants shed some light on the difference between working as a quant in Investment Bank and in Hedge Fund?Thanks for your input !

Hi all,I have a question related to the Girsanov Theorem.Is it possible for us to find N(-1/2) by Girsanove Theorem?By saying so, I mean do a measure change for original brownian motion.Thanks for your input Qing