<t>For PHD the most important is the advisor. In related areas, the best known scholars in Australia include rutkowski, platen, etc. I admit that they are very good professionals in their own domain of expertise. But let's face it, they are far away from leading scholars in the world of QF or MF or ...

<t>comments:1. Platen is known for numerical method for SDEs, should be within top 10 in this direction, but he is not well-known in QF. No one will compare him with names such as Kurtz (Madison), Protter (Cornell), etc., in Probability, and also no one will compare him with Lo in econometrics, Derm...

<t>Olya, thanks. It is one of the five. I guess that I better not to disclose which one it is in web. If you are in NY, maybe we can have a drink together one day. It should be nice to know someone with similar interest and background, what do you think?The reason I like this job so much is because ...

Just because BM is (strongly) Markovian, B(s)-B(T1) follows a standard BM starting with zero... and thus B(T_2)-B(T1) replaces the original terminal pt... I leave the computaion to you and I need to run for my apartment.......(huge headache for me)

It is a standard BM bridge, just consider it as BM starting at T1 and B(T1), everything else is standard.

<t>Btw, if you are really a fan of jumps, the following papers should be helpful:The impact of jumps in vol and ret, JF, 2003New arrival, jump dynamics and vol components for individual stock ret, JF, 2004I personally prefer the setting of heavy tail shocks, as I am a fan of Granger and Mandelbrot, ...

An easier way might be: printscreen --> BMP --> monochrone BMP --> EPS.

It does not make much sense to talk about jumps in discrete time setting, to capture "jumps", a more reasonable way is to replace the normal shocks by some heavy-tailed ones.

<t>Just a little bit. 1st. one must be FAST2nd. focused on one or just a few products3rd. good at OO for code sharing4th. good at binary IO5th. 60-80% time coding6th. Long hours7th. Live among aggressive ppl. I noticed that ppl from BO are on average nicer than from FO, maybe because of the pressure...

It is a model validation role, staying between front office and back office, mainly analytical, a little programming. I guess that your target job is a programming-tense desk support FO quant, right?

<t>You are very welcome. I am also new in the industry, just made a dramatic decision to switch from academia to the real world. My thought is, as the first step is so IMPORTANT, one definitely should choose a role in which one has comparative advantage. Therefore one should take certain risk of los...

<t>Hi, mywil05, I had a very similar situation as yours a while ago. I have some sure thing in hand but not my preference, and after a very good on-site in the team I really wanna join, they scheduelled another phone screen. I felt exactly same as you, but thing turns out to be that the call is real...

<t>For practical purpose, I feel that FE programm in NYU and CMU are most appealing; for theoritical purpose and math level, it seems that one can really learn some probablity stuff from Madison, Cornell, Berkeley, Columbia, Stanford, the latter two are also strong in practical knowledge. OFRE is no...

<t>I guess for risk management, the focus are market risk and credit risk. VaR is always a question, related questions would be cholesky factoring, multi-variate normal and t, copula, delta-gamma method, historical simulation, expected shortfall, etc. For credit, I met questions such as structral an...

I think so. As far as I know, they are hiring. From what I heard, the quants therein are mainly working on risk management for the moment.It is hard to get in, but one can always try. I think that it should be a great place.