<t>Hi Vanubis1,In the 2nd equation of two players, you said thatP(A/H)=1/2*0+1/2*(1-P(A/H))Because after A tossed a H, if B tosses a T, it's over for A and if B tosses a H, it's 1-P(B/H) and P(B/H)=P(A/H)Should P(A/H)=1/2*0+1/2*P(A/HH)=1/2*0+1/2*P(B/H)=1/2*0+(1-P(A/H)), where P(B/H)=1-P(A/H)? Thanks...

Hi Sacevoy,Thanks a lot for your help!

I would like to have your advice about if it is a reasonable way to aggregate FX DV01s on different base currencies. Here FX DV01 is what is the change of the dollar market value of the FX position if the base currency depreciates 1%. Thanks.

I need calculate delta for barrier options and partial barrier options (the monitor period is shorter than the expiry period). What is the standard way used in the market? Any advice is appreciated. Thanks!

Thanks a lot for your advice. It is very helpful.

Hi, I want to find a valuation model for a dual digital option which pay $1 if both conditions are met at maturity (S1<K1 and S2>K2) where S1 and S2 are prices of two different stocks or commodities. Could you please give some advice or suggest some book?Many thanks!

The new hedge fund I might join is a multi strategy equity fund. I guess that it is a long/short and statistical arbitrage type of hedge fund, not high frequency.

I am not sure if I can get $125K bonus guaranteed. If I want to ask for some sign on bonus, does $50K sound too much? Thanks.

<t>Thanks, EscapeArtis999 and plus. I thought that I was underpaid. As for my background, I have a PhD in Engineering and MS in statistics from a top university. My first job out of school is the buy side of a top bank. Stay there for about three years. My second firm is an asset management firm (on...

Hi,I am currently working for one hedge fund in NYC and may join another one soon. What is the range of salary (and bonus) for a quant with five year experience and PHD? My current salary is $125K and bonus is about $50K (estimated for 2010). Thanks!

quantyst and alexrem,thanks for the answer.

<t>This question is from an interview, and I don't know the answer. There is a stick with the length of 1. Break it into two pieces randomly. Take the longer piece and break it into two pieces further. What is the probability that the longer piece (after the 2nd break) has a length greater than 3/5?...

<t>There are a lot of articles about LIBOR Market Models, while there are only a few about swap market models (e.g., Jamshidian 1997). Can anyone recommend some articles in which calibration of the swap market model is discussed? I know that people are trying to achieve simultaneous calibration to c...

Blade, henny and energydude,thanks a lot for your comment and suggestion. I will strengthen my skills and try again.

<t>I am a Ph.D. in CFD (Computational Fluid Mechanics) and M.S. in statistics at a top university in California. I learned Financial Math by auditing some courses and reading books (John Hull's book, Baxter and Rennie's Financial Calculus, Wilmott's quantitative finance and so on). I am trying to fi...