<t>Yes, of course one would guess negative. But the precise reasoning?One line of thought is that as the stock price goes down, the vols go up, but it that really true? I mean when the stock price goes down, the dynamics of the model move the smile, the above would be true if the smile was static, i...

<t>The question is: We have an asymmetric smile such that for K < S the vols are higher than for for K > S. We know that vols are stochastic. We also know that the stock follows some standard diffusion model, say heston. What can one say of the sign of the correlation?This is not a perfect question,...

<t>Kinda off-topic -- but I used to feel the same way about puzzles, I devoured everything I could lay my hands on, categorized probability puzzles into four methods (and other puzzles similarly) and went for the interview. When given a puzzle, I would shoot of multiple approaches for the puzzle and...

<t>I've tried to think about it, but with no luck whatsoever. MY best guess would be to apply Feynman-kac, but before doing that I'd need to transform T^n to something amenable (I think Feynman-kac applies to bounded stopping times, but will need to check that as well).Could someone post the solutio...

Yea, I think Dr. Wang gave a clearer explaination of what I wanted to say.

<t>QuoteQuoteThe longer they interview you, the better your chances of course. My hypothesis, for what its worth, is that if you make it through 3 interviews with senior guys ( ~3 yrs experience or more), you are pretty much in.What do you mean by "make it through"? Do you mean you have seen them? O...

<t>Here's the deal -- in most banks at least, and some of the big hedge funds too, the probability of success is about 20%, provided you feel confident about yourself going into the inteview -- i.e., you feel adequately prepared with puzzles, programming and math finance (if you've done any) -- more...

<t>QuoteOriginally posted by: jomniWhy is joining your desk looked down upon?For trading stategies, why not learn from the guys at your desk? I suppose being a quant will make you know about their positions, trading plans and strategies...I cannot learn things from them because they are always busy ...

<t>I wasn't very clear in my earlier post on why I wish to switch. At least in interest rates, its all about applying a handful of ideas in different, albeit innovative, ways. It almost always comes down to volatility and correlation, both of which require trader input -- so in the end, all we provi...

<t>I have two questions: (1) What are the cons of going for a trading job. Particularly, exotic and vanilla interest rate products. (2) How does one prepare and search for such positions.My current status: Junior quant, with about a year of experience at a well-known IB -- for sufficient ambiguity, ...

<t>QuoteOriginally posted by: benczurI tend to disagree with the egal sign above. We can say only that the number of weighings required is at least log(25). Think about the same problem, only having 13 coins. There are 27 states, but one needs 4 weightings, which is larger than log(27)=3.Yes, you ar...

Edit: repeat posting. Deleted.

<t>QuoteOriginally posted by: CactusManThis is very interesting. I recall entropy calculation from physics and signal processing, and sum_i p_i log p_i. But, I am wondering what ways it might be used to some benefit in financial analysis.It has applications in determining the number of parameters th...

<t>Looking at your responses in some of the other recent threads -- I think you might want to put in a little work on personality issues.I'm a newbie myself, but the points you mention will get you an interview, not necessarily a job. My opinion on the order of importance is 2-1-3-4. After that it i...

I think it is also an exercise in `Elements of Information Theory' by Thomas and Cover.