<t>Coincidently, I'm trying to implement Andersen's schemes and wondered how I would go about testing my code (rather than calibrate the model)? As a novice to this I'm at a bit of a loss as to how to proceed - apart from trying to replicate his results are there any other tests I could perform (I w...

Thanks for the advice, I appreciate it. I'm certainly keen to follow up once I'm back in London, though that will probably be March '07 at the earliest.

<t>Hi,I'm going to finish a Master's in Quantitative Finance at UTS in February '07 and I'm considering moving back to London to find work in quantitative finance (ideally asset management) mainly because I can't find anything here (I'm either too old (I suspect) or my experience is considered "too ...

<t>I'm intruiged by the idea of using style analysis to illustrate the drivers of the daily P&L of an fx option portfolio over time (I was planning on regressing portfolio PL v the portfolio Greeks). The results would merely be used as a visual tool for a non-technical audience. My questions are...