<t>Hi guys.. It s been a long timeVS syst short (kind of volarb strat) used to be a good strat to play in a calm markets, now it s hard to make money..You can backtest ur st roll to make sure what optimal maturity to sht each roll time, I backtested myself, 1M used to be more profitable in 2006/2007...

what s the point from ur model? to price options on stock, default probas..etc?

what abt french DEA/Grandes Ecoles?

thanx Cuchulainn !! it s interesting..

<t>> Newly graduated from schoolIn which discipline, which level?>>from a french grande ecole, major in quantitative finance..Take a small subset of Numerical Analysis that your are good in and build on that. Any way, I wish you good luck.To be honest, this is a very ambitious undertaking. Do you ha...

OK, but dont we normally start with implementing basic things (solvers (newton,..etc), integration methods, sde solvers..) so that we can use them for all our pricing fuctions.. The pricers are, I think, the last think to do..?!?

I ve already seen this one. seems interesting, but I dont want to copy sources. I need more to know what the building procedure is..thnx lballbio..

<t>Hi!..Newly graduated from school, I have to build my first C++ library for pricers, solvers..etc. I m wondering if there are some recommandations to respect (I wanted to start building a UML diagramm, but I dont think it s a good idea as I dont know all the packages and classes I ll use). The poi...