SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Marco72
May 28th, 2016, 5:52 pm
Forum: Careers Forum
Topic: Choosing the right MQF
Replies: 11
Views: 2973

Choosing the right MQF

<t>QuoteOriginally posted by: KaspyHi everyone,Im a finishing my Spanish degree in Mathematics this month(equivalent to BSc) and planning to pursue a MQF next September. My average gets pretty low when translated into the English system, a high 2.2, very close to a 2.1, so depite having applied to s...
by Marco72
May 28th, 2016, 5:25 pm
Forum: Careers Forum
Topic: Choosing the right MQF
Replies: 11
Views: 2973

Choosing the right MQF

<t>QuoteOriginally posted by: bearishI would go with the last one on the strength of the Leicester City halo effect. And they do have Sergei Levendorskii on faculty, who is recognized in international math finance circles, but I have no idea how student friendly he is.Actually Sergei Levendorskii le...
by Marco72
March 1st, 2016, 6:28 pm
Forum: Careers Forum
Topic: Home Based Quant Job?- Does it exist?
Replies: 12
Views: 5700

Home Based Quant Job?- Does it exist?

I have heard that Calypso gives its quants the possibility to work from home, at least some of the time.
by Marco72
December 28th, 2015, 2:18 pm
Forum: Careers Forum
Topic: advise on part-time Quant MSc in UK
Replies: 4
Views: 3401

advise on part-time Quant MSc in UK

What exactly is your objective from doing this course? What kind of quant job are you after?
by Marco72
December 17th, 2015, 5:20 pm
Forum: General Forum
Topic: short rate model after financial crisis
Replies: 1
Views: 2596

short rate model after financial crisis

The same ones as before :)
by Marco72
November 26th, 2015, 7:32 pm
Forum: Careers Forum
Topic: Goldman Sachs Strats Off Cycle Interview
Replies: 2
Views: 3608

Goldman Sachs Strats Off Cycle Interview

What kind of position is it for?
by Marco72
November 25th, 2015, 6:47 pm
Forum: Careers Forum
Topic: Another CQF worth it?
Replies: 3
Views: 3382

Another CQF worth it?

<t>I did the CQF several years ago, and my employer paid for it. I thought it was a good introduction to mathematical finance. These days it's probably not worth the money, especially since (as I understand) the content has stayed more or less the same since 2007-08. If your employer pays for it, it...
by Marco72
October 26th, 2015, 6:58 pm
Forum: Careers Forum
Topic: To PhD or not to PhD when you are 30
Replies: 27
Views: 9690

To PhD or not to PhD when you are 30

I would be more concerned with the "hole" in your CV than with your age when you finish it, and would consider doing the PhD part time, if possible.
by Marco72
August 1st, 2015, 7:47 am
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5309

Which banks has the best/most interesting model validation work?

<t>The standards and type of work done in a bank's validation teams can change suddenly due to regulatory demands. Unless you know someone in the bank, the best way to find out is to ask questions during interviews (e.g. to what extent do they re-implement the models, do they have or are they buildi...
by Marco72
August 1st, 2015, 7:39 am
Forum: Careers Forum
Topic: What are the options if you are interested in model development rather than model validation?
Replies: 4
Views: 4237

What are the options if you are interested in model development rather than model validation?

<t>QuoteOriginally posted by: londonerIs that a high probability transition from model validation to model development? Obviously, there are more model validators than developers...Model development teams often interview people working in validation, so the opportunities exist. It depends on the kin...
by Marco72
July 26th, 2015, 11:15 am
Forum: Careers Forum
Topic: From Ph.D. in Pure Mathematics to a Quant position
Replies: 15
Views: 5396

From Ph.D. in Pure Mathematics to a Quant position

bobwinston: as others have said, you should clarify what you mean by "quant". Otherwise, it's like saying you want to study "mathematics".
by Marco72
May 3rd, 2015, 11:42 am
Forum: Careers Forum
Topic: Recruiter Question
Replies: 12
Views: 4965

Recruiter Question

<t>QuoteOriginally posted by: Neither@Hansi - thank you for the reply. Just to clarify, I've found the posting also on the company's career site, which has the disclaimer note. So, the role is legitimate from what I can tell.@Marco, that makes sense if it's just to filter out the amount of spam. Now...
by Marco72
May 2nd, 2015, 5:13 pm
Forum: Careers Forum
Topic: Recruiter Question
Replies: 12
Views: 4965

Recruiter Question

I used to work for a firm that made use of recruiters, and had a similar note on their website. I think they did it to avoid being spammed by recruitment agencies.
by Marco72
April 16th, 2015, 8:05 pm
Forum: General Forum
Topic: which optimization method to calibrate VG/ CGMY model?
Replies: 7
Views: 3962

which optimization method to calibrate VG/ CGMY model?

<t>I would use (and have used) Fourier inversion of the characteristic function for pricing. For VG and CGMY with Y parameter close to 0, I would recommend using the "parabolic iFT" of Boyarchenko and Levendorskii (see here and here). For the optimisation algorithm, I tend to use Matlab's fminsearch...
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