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by Mainframes
June 9th, 2009, 12:59 pm
Forum: Careers Forum
Topic: Question for experienced hiring managers about Offers and Counter Offers
Replies: 4
Views: 38393

Question for experienced hiring managers about Offers and Counter Offers

<t>Let us assume someone had received an offer from another institution. They were interested in the new job, however, they were also interested in a potential counter-offer from their current company (either in the form of a new job or in the form of a significant salary increase).In this situation...
by Mainframes
March 17th, 2009, 7:14 am
Forum: General Forum
Topic: Are there any brokers that willl allow me to trade FX vanillas?
Replies: 1
Views: 41309

Are there any brokers that willl allow me to trade FX vanillas?

If so, which brokers? How much capital does one need? What are restrictions (eg currencies, maturities)? How do the margins work for shorting vanillas? THanks
by Mainframes
March 15th, 2009, 2:36 pm
Forum: Trading Forum
Topic: Are there any brokers who will allow me to trade FX vanillas
Replies: 2
Views: 42029

Are there any brokers who will allow me to trade FX vanillas

If so, which brokers? How much capital does one need? What are restrictions (eg currencies, maturities)? How do the margins work for shorting vanillas? THanks
by Mainframes
February 24th, 2008, 2:10 pm
Forum: Careers Forum
Topic: What usual questions are asked of quants going to trading interveiws
Replies: 0
Views: 58158

What usual questions are asked of quants going to trading interveiws

Obvious topics to know for a quant are ....?Every quant should be able to derive the BS eqn for a quant interview. What should every quant moving into trading be expected to know?
by Mainframes
December 16th, 2007, 1:08 pm
Forum: Careers Forum
Topic: CV questions (Quant with 1 year experience ... interested in model val, structuring, trading)
Replies: 1
Views: 61126

CV questions (Quant with 1 year experience ... interested in model val, structuring, trading)

<r>Hi, Thought I'd fire off some CV questions (I've numbered them below). I haven't written a CV since getting my model validation role 1 year ago. To get that job, I had a CV which was 2 pages long. On the first page it had my academic qualifications and work experience (most the work experience wa...
by Mainframes
November 1st, 2006, 4:14 pm
Forum: General Forum
Topic: Which currency pairs have the most pronounced smile?
Replies: 4
Views: 89331

Which currency pairs have the most pronounced smile?

<t>Hi,I've got a few of questions. Can you tell me which currency pairs have the most pronounced FX smile? Do the major currency pairs have a less or more pronounced FX smile than the emerging currency pairs in general? Also am I right to assume that the implied correlation for FX options will be cl...
by Mainframes
October 25th, 2006, 10:30 am
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

Thanks fairplay. You answered my question. :-)
by Mainframes
October 22nd, 2006, 11:53 am
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

Fairplay, are you saying that there are no situations where v_av > v_ac + v_cb? Or are you saying that if such a situation arose it wouldn't be an aribtrage?
by Mainframes
October 20th, 2006, 11:57 pm
Forum: Technical Forum
Topic: Can anyone solve this inequality?
Replies: 14
Views: 91714

Can anyone solve this inequality?

Thanks for the help. I'll def google those key words. I'm trying now to look at specific cases and playing with program. Thanks for the help on the minima aswell.
by Mainframes
October 20th, 2006, 10:30 pm
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

Okay are there situations in the market where v_{ab} > v_{ac} + v_{cb}where a,b,c form a currency triangle. I don't think it happens with the EUR/CHF/USD triangle, however, is it possible to occur with any of the emerging market currencies?
by Mainframes
October 20th, 2006, 12:25 pm
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

<t>Sorry, I'm not being clear enough and am not an expert in these matters either. I don't mean "actual correlation" which must be between 1 and -1, I mean "implied correlation", where "implied correlation" is given by the formula in my previous post and is not a real quantity. "Implied correlation"...
by Mainframes
October 20th, 2006, 11:37 am
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

Oh yeah, the equation in the previous post means that implied correlation can become greater than 1 or less than -1 if the implied volatilies are arranged in a certain way. Maybe this never happens in real markets?
by Mainframes
October 20th, 2006, 11:34 am
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

<t>Hi,Let us consider three currencies A,B,C. Let S_ab, S_{ac}, S_{cb} denote the three exchange rates. We are using the notation such that S_{ij} is the price of i in terms of j. That is to say that i=S_{ij} * j. As there are only two independent exchange rates due to the triangle constraint we hav...
by Mainframes
October 19th, 2006, 4:33 pm
Forum: General Forum
Topic: FX currency correlation
Replies: 17
Views: 93498

FX currency correlation

<t>Hi,Given a currency triangle one can derive an implied correlation from knowing all three implied volatilities. My question does this correlation ever exceed 1 (or go less than -1). Can you give an example if it ever does. Also. assuming that it did, would there be a trade that one could carry ou...
by Mainframes
October 17th, 2006, 12:51 pm
Forum: Technical Forum
Topic: Can anyone solve this inequality?
Replies: 14
Views: 91714

Can anyone solve this inequality?

<t>I'll check your differentiation. I too used maple but had forgotten that X and Y are dependent on a and b respectively. So when I set a=b=c and differentiated w.r.t to c I wasn't doing it properly (hence why I editted the last post).Anyway I thought I'd update and say that I wrote a simple C++ co...
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