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by Surutsu
November 9th, 2007, 1:12 pm
Forum: Technical Forum
Topic: barrier shifting/bending
Replies: 12
Views: 81333

barrier shifting/bending

<t>When you're at barrier - epsilon (knock-up), an american digital is almost worth the discounted rebate since there's a very small probability that the underlying doesn't cross the barrier once.For a european barrier, if you simplify saying (r-q) ~= 0, then you have about 50% chance to be above th...
by Surutsu
July 23rd, 2007, 3:07 pm
Forum: Technical Forum
Topic: barrier shifting/bending
Replies: 12
Views: 81333

barrier shifting/bending

<t>Thanks for the answers (erstwhile, I read your previous posts about large options and digitals and found them very informative).What do you mean though when you speak of windfall gain ? Are you talking about the gap risk, which if we're still talking of this good old american digital and assuming...
by Surutsu
July 13th, 2007, 6:02 am
Forum: Technical Forum
Topic: barrier shifting/bending
Replies: 12
Views: 81333

barrier shifting/bending

<t>I'm with you on that, CS for digitals.But barrier shifting doesn't solve any hedging problem for them ; using that KI digital at 100 :- if you shift to 98, you'll have to hedge your exploding greeks without any sort of protection- if you shift to 102, you won't have that problem but you'll be und...
by Surutsu
July 12th, 2007, 1:53 pm
Forum: Technical Forum
Topic: barrier shifting/bending
Replies: 12
Views: 81333

barrier shifting/bending

Barrier shifting doesn't work for pure digitals : to use your example, you won't be able to replicate your payoff when the spot is at 98 (think in terms of diffusion and dirichlet conditions).
by Surutsu
March 18th, 2007, 5:39 pm
Forum: General Forum
Topic: Barrier options : how to quantify the shift ?
Replies: 0
Views: 76742

Barrier options : how to quantify the shift ?

I can't find a concrete figure for calculating the barrier shift to be applied to an option ; there only seems to be grandma formulas such as "shift 4 everytime", "shift (B-K)/5".How is it done in practice ? Figure out the minimum gamma to be allowed for the option and shift accordingly ?
by Surutsu
March 9th, 2007, 2:01 pm
Forum: Careers Forum
Topic: Junior quant salary in Tokyo
Replies: 14
Views: 80342

Junior quant salary in Tokyo

10M yen for a junior out of school (PhD/DEA).
by Surutsu
January 28th, 2007, 1:57 pm
Forum: Careers Forum
Topic: Advice on moving to Tokyo
Replies: 29
Views: 84281

Advice on moving to Tokyo

<t>QuoteOriginally posted by: DCFCI'm not an expert on Japanese immigratoin law, but I strongly suspect you simply can't legally stay more than 6 months without applying for a more long term visa.If they start this, then you need to look for an exit strategy.Just to add that there is the shortest wo...
by Surutsu
July 20th, 2006, 9:36 am
Forum: Careers Forum
Topic: about French master in finmath (post in french)
Replies: 132
Views: 209850

about French master in finmath (post in french)

Qu'est-ce que tu entends par DEA de l'Ensae ? Cohabilité par l'Ensae ?Jeanblanc est justement prof à Evry, c'est pour ça que je me posais la question de la visibilité.
by Surutsu
July 20th, 2006, 8:28 am
Forum: Careers Forum
Topic: about French master in finmath (post in french)
Replies: 132
Views: 209850

about French master in finmath (post in french)

Je fais remonter le thread pour avoir des avis supplémentaires sur les 3ème cycles non P6/P7 : MLV, Evry, MASEF, MMME - est-ce qu'il y a vraiment une hiérarchie entre eux ou est-ce qu'ils sont tous à peu près du même niveau de réputation ?
by Surutsu
March 28th, 2006, 7:37 am
Forum: Careers Forum
Topic: university of Japan with QF program
Replies: 10
Views: 115063

university of Japan with QF program

<t>QuoteOriginally posted by: tigerbillQuoteOriginally posted by: pi314Go to Tokyo daigaku, in mathematics departement, no problem because this is the most prestigious school in Japan....unfortunately many of its courses are taught in Japanese language...Do you mind if I ask you what the point of do...
by Surutsu
January 31st, 2006, 12:56 pm
Forum: Careers Forum
Topic: Anyone knows the conpensation level in Tokyo?
Replies: 17
Views: 123536

Anyone knows the conpensation level in Tokyo?

15/20M, including the bonus, doesn't seem out of the picture for me ; I'd be wary of any offer for less than 10M base salary.
by Surutsu
January 28th, 2006, 1:46 pm
Forum: Careers Forum
Topic: Anyone knows the conpensation level in Tokyo?
Replies: 17
Views: 123536

Anyone knows the conpensation level in Tokyo?

I wasn't in an IB at that time, so your income bracket won't be the same as mine You can consider 20-25% a good approximation for the income tax if you earn 2k man, then add an additional 5-10% for the local taxes (which you won't pay the first year).
by Surutsu
January 27th, 2006, 5:39 pm
Forum: Careers Forum
Topic: Anyone knows the conpensation level in Tokyo?
Replies: 17
Views: 123536

Anyone knows the conpensation level in Tokyo?

Compensation is on par with what you can find in London or NY.Living cost is what you make of it : live like an expat and suffer, but I've found it cheaper than London and sometimes even Paris when I lived there.
by Surutsu
December 21st, 2005, 10:43 am
Forum: Careers Forum
Topic: So they tell me I'm going to Tokyo...
Replies: 51
Views: 139483

So they tell me I'm going to Tokyo...

<t>QuoteOriginally posted by: bbmatGeist,I strongly disagree with your post from Dec. 18. It absolutely does not reflect reality in many ways and I am wondering whether you informed us of your experience in Japan sometimes during the 70s. Here some corrections:(snip)I mean, lets be honest here for a...
by Surutsu
December 15th, 2005, 10:03 am
Forum: Careers Forum
Topic: What kind of school for a structurer role ?
Replies: 2
Views: 127110

What kind of school for a structurer role ?

<t>I'm in Paris at the moment, and it's quite clear what to do if you want to go into trading (DESS203) or in a quant role (P6/P7).What I'm not so sure of is - which one to choose if you want to be a structurer ? Are the most quantitative degrees (the latter ones) a prerequisite, or are those lighte...