Hello,Could someone explain the strengths and weaknesses of local volatility versus stochastic volatility?When for example one would use local volatility instead of stochastic vol?Thanks,

<t>Another possibility is to do a part-time masters in financial engineering. It will take less time (2-2.5 years) and you will learn everything you need about options pricing. Some of the best programs like NYU have courses in the evening so that you can work during the day. You should definitely h...

<t>Hello,I read a paper form Almgren and Chriss on optimal exectution.They show that in their model, if you want to liquidate N stocks in a certain time horizon, the solution which minimizes expected market impact cost is when you liquidate an equal number of stocks at each time step. That is you li...

<t>Hello,Why is the 1Y swap spread much more volatile (historically, using end of day data) than the others (2Y, 5Y and 10Y)?I know that it is obtained using the 1Y CMT rate but this rate is not particularly volatile compared to benchmark bond yields.Also the 30Y spread is very volatile, while its c...

Thanks JMR, this will help me a lot.Doesn't anybody have clues about the case study and the "reasoning" interview please ?

Thank you JMR,but if you can could you give more details about the tests?From what they say, it seems it won't be the usual logical and numerical tests used by most banks. It may not be so easy for me, since I have no professional finance experience.

<t>Hello,Has anybody been through ABN Amro Assessment day in structured derivatives for a summer internship?In the morning there will be an aptitude test followed by a first stage interview. They say the aptitude test is a scenario in which you work for a capital venture firm, and where you have "to...

Zulu and hypersphere, watch you pm.

<r>Jascaphan, it depends on the university. In columbia it is possible to have an RA and TA on the second semester. I dont think its possible at stanford or nyu. You can also work part time at nyu/columbia. You should also look for external fellowships/grants. I dont know what is a "fantastic" curri...

<t>zulu, i havent accepted any offers yet but i am leaning towards columbia MSFE. Their website has much more information about placement, salaries... You can see that some of their students manage to get associate or even assistant vice president positions in major ibanks.I feel that it is a well k...

<t>CB, when you accept or refuse an offer it is supposed to be a definitive answer. It won't be well perceived by the uni to change your mind in August, so I would prefer another solution. i'll try madmax's one.I saw that a china math contest winner is in nyu mathfin. NYU students definitely have im...

<t>Thank you for your replies,Oakgrove, I know that NYU has an excellent reputation in the US I just wanted to be sure london recruiters knew it. Your experience seems to confirm that. What other finance/academic experience apart from NYU did you have before participating in your summer internship? ...

<t>CB,I sent my applications in december (deadline is 15 december). I got offers a week ago.Im not sure I understood you but I dont think it is very correct to accept several offers. I am still hesitating between unis, and i was wondering if one can differ a decision in order to know exactly where h...

<t>Hello everybody,I've got offers from stanford mathfin and columbia fineng. I also want to apply to NYU (deadline in March). I have found a lot of useful information on other threads but I still have some specific questions.1) Since I would like to work in London, do UK recruiters make a differenc...

<t>thank you for your replies,actually i would like to still continue a few more years as a student and improve my scientific skills. I like maths and money and quant seems to be the job that better fits those two aspects (if you know other such jobs please tell me). madmax, just to have some ideas,...