ehy creditguy,shouldn't I think in terms of what I think it's gonna be profitable in 2 years' time? (who knows...)My bonus is low anyway and my job is quite unlikely to be affected

<t>Hi Everybody,I am currently working in a trading desk who does mainly ABS/Structured Credit, and so far it has been good. However, since my company offers me the chance to rotate in different areas (I would like to stay in trading), which product area would you recommend?I hold a Master in Mathem...

<t>Hi everybody,I know the basics of trading derivatives (such as dynamic hedging,etc..) and I was wondering how that can be applied to CDOs.In particularly, I would like to know if:-it's possible to go short on a CDO-if indices are used as an hedge (far from perfect,though)Finally,do you think CDo ...

Hi, thanks a lot for replying.I have a good grasp of econometrics, since I have already taken two courses at graduate level.Concerning Topper's book,could you please tell me why I should read that instead of Duffy's about finite difference methods?

Hi Alan,if you provide me with the dataset I can try.However, rather than just trying and seeing what I get it's fundamental to know whether what I have done makes sense.

<t>Hi Alan,I think the answer to your question very much depends on the assumptions you make.For instance, when dealing with financial returns, the presence of conditional heteroskedasticity is something you need to take into account.A very brutal (and perhaps wrong) approach might be the following;...

<t>Dear all,I am finishing a master in finance and I have a knowledge in derivatives similar to the one in Shreve's book.In particular, I have been through the stochastic approach, and have little knowledge of PDE's and numerical methods.In addition, I have solved some optimal investment problems an...

DCFC, if you're interested in some part 3 students, I will tell them to send you their cv.

I might be wrong, but Riccardo Rebonato sounds quite Italian.

<t>Hi,I am currently taking some of the part III modules and many friends of mine are attending the whole course.I think it's a very good starting point for a Phd in mathematical finance, but it's definitely not enough if you want to be a quant.The approach is very theoretical, there's no c++ and th...

<t>If possible, the Italian job market is getting even worse.Mr Airoldi, if you can (I would really be happy to be wrong), tell me that the contract you are offering is not Co.Co.Pro..., and don't be surprised to know that the best Italian quants (apart from Brigo and Mercurio) do not work in Italy....

<t>Hi Jeremiah,I got the offer too (did not accept it because preferred a rotational programme).All I can say about RBS is that the people I have met have been very kind to me; I was allowed to sit on the trading desk for a couple of hours, and have seen many times newcomers going to bosses for ever...

<t>Hi,thanks everybody for replying.The desk in which I should do the structuring is the property trading desk of securitised products. They also told me I might trade there, since they believe that profile matches my skill. What orients me towards the bulge bracket bank is the fact that you can rot...

<t>Hello everybody, after careful consideration (and a lot of research, thanks to this forum), I decided to look for a job rather than a Phd.I ended up with two offers; one is from a bulge bracket bank, in a very good desk (structuring), of which I have already meta all the people I should work with...

<t>The method slacker proposed you is absolutely fine.In fact, it can be shown that, with a large sample, QMLE(Quasi Maximum Likelihood estimation)gives you a consistent estimator,although not efficient, when the normality assumption is violated.If you don't wanna bother with that, just take eviews,...