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by BramJ
October 25th, 2016, 7:46 pm
Forum: Programming and Software Forum
Topic: Looking for hardware recommendations
Replies: 252
Views: 52403

Re: Looking for hardware recommendations

Depending on what type of Mathematica license you have, you could also look at installing Mathematica on an EC2 instance of your liking (firing it up only when needed) and connect from your laptop to the kernel there. Haven't done this myself, but here are some instructions: https://mathematica.stac...
by BramJ
May 25th, 2016, 10:25 am
Forum: Trading Forum
Topic: Practical differences between trading liquid options vs iliquid markets
Replies: 4
Views: 2036

Practical differences between trading liquid options vs iliquid markets

<t>You say you are moving into front office, but you also say you have had exposure to several markets? So you've had trading experience before then? Or you have experience with those markets from being a quant? In a few ways, LME trading is rather particular compared to other commodities, so knowin...
by BramJ
May 21st, 2016, 4:34 am
Forum: Technical Forum
Topic: Delta of variance swap
Replies: 10
Views: 2357

Delta of variance swap

<t>Enjoy your vacay!Coincidentally I already found out you were Dutch when I was googling for some articles and found an M.Sc. thesis feom somebody from Delft with a supervisor whose name made it easy to make the connection. I am dutch and Netherlands based as well and I am guessing that I am doing ...
by BramJ
May 20th, 2016, 8:20 am
Forum: Technical Forum
Topic: Delta of variance swap
Replies: 10
Views: 2357

Delta of variance swap

<t>Unless I misunderstand your question: The delta of the replicating portfolio is a function of the delta of the options you're replicating the variance swap with (one way to see this is that there is no reason the cut-off for which you switch between calls and puts doesn't have to be the forward, ...
by BramJ
May 17th, 2016, 10:12 am
Forum: Careers Forum
Topic: which investment banks have strong expertise in insurance and pension fields?
Replies: 21
Views: 6090

which investment banks have strong expertise in insurance and pension fields?

Are you interested in this because you are looking for a job, or because you have specific questions?
by BramJ
March 1st, 2016, 12:44 pm
Forum: General Forum
Topic: Hedging electricity price risk in Canada
Replies: 4
Views: 1996

Hedging electricity price risk in Canada

<t>I don't know a lot of about electricity markets and definitely nothing about the Canadian one(s). I believe that the predominant gas marker for Canada is AECO C Hub. Pulling up a quick graph of it's basis versus HH in bloomberg showed that there is quite a bit of volatility in it, so from that my...
by BramJ
August 6th, 2015, 10:34 am
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

QuoteOriginally posted by: outrunQuoteWhen I was a kid I did a lot of these ones below, also a bit similar do you know them?Yes, I did those too... not sure if their typically dutch though
by BramJ
August 5th, 2015, 6:07 pm
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

<r>QuoteOriginally posted by: outrunBtw these are Japanese high school problemsYes the best brainteaser are "ponder ponder ponder ... 2!" Or "not enought information, it can't be done! .. Oh wait a minute if it *has* to have a solution then ..."Somewhat in this category (hopefully not posted before ...
by BramJ
July 8th, 2015, 8:17 pm
Forum: Economics Forum
Topic: Benchmark for commodity portfolio?
Replies: 4
Views: 7649

Benchmark for commodity portfolio?

DJUBS maybe (though I have the impression that popularity of the DJUBS has been falling somewhat). Still GSCI is the more popular choice I'd say
by BramJ
July 8th, 2015, 8:04 pm
Forum: Programming and Software Forum
Topic: Real Time Scalable Trading System Architecture
Replies: 5
Views: 5378

Real Time Scalable Trading System Architecture

<r>Most of this is about the front-end of things, but there still might be some things of value for you in here:<URL url="http://www.codeproject.com/Articles/326641/WPF-MVVM-Real-Time-Trading-ApplicationIf"><LINK_TEXT text="http://www.codeproject.com/Articles/326 ... licationIf">http://www.codeproje...
by BramJ
June 11th, 2015, 11:22 am
Forum: Programming and Software Forum
Topic: C++ 2017
Replies: 63
Views: 13542

C++ 2017

<t>For spreadsheet building, I think things can be taken even a step further: at some point I've started to write a DSL that could be used to describe spreadsheets. I forgot the exact format I used, but if I had a spreadsheet to calculate E to be equal to mc^2, then the DSL would be something likeIn...
by BramJ
May 31st, 2015, 6:15 pm
Forum: Careers Forum
Topic: How dead is quant prop trading at IBs?
Replies: 3
Views: 11493

How dead is quant prop trading at IBs?

prop trading still happens, but quietly on the back off client flow. however it does happen to a smaller extent and for smaller positions than before
by BramJ
March 25th, 2015, 12:08 pm
Forum: Technical Forum
Topic: Vega Vega
Replies: 3
Views: 3912

Vega Vega

<r>On some commodities, options on futures trade in a similar way as futures themselves in the sense that the premium is not paid up front but marked to market. In such cases, European and American option prices are the same. For other cases, they are generally not and it may be optimal to exercise ...
by BramJ
March 24th, 2015, 6:42 pm
Forum: General Forum
Topic: Valuing Physical Commodity Storage by using look-backs (Not NatGas)
Replies: 17
Views: 5745

Valuing Physical Commodity Storage by using look-backs (Not NatGas)

my reasons for my preference (not dislike) are pretty much as I wrote down previously. It's definitely not the case that I think that what you're doing is wrong.
by BramJ
March 13th, 2015, 1:17 pm
Forum: General Forum
Topic: Valuing Physical Commodity Storage by using look-backs (Not NatGas)
Replies: 17
Views: 5745

Valuing Physical Commodity Storage by using look-backs (Not NatGas)

<r>In general I have a preference for factor models that directly model forward prices (HJM like), rather than models that model spot and convenience yield. I understand that specifying one implies the other, but using the former a) calibration is often easier; b) you don't have to explicitly deal w...
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