SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Peniel
October 25th, 2017, 4:52 pm
Forum: Off Topic
Topic: How do you deal with tele-scams and cold-calling salesmen?
Replies: 46
Views: 7999

Re: How do you deal with tele-scams and cold-calling salesmen?

I wasn't in the mood for foreplay.

Daniel, sometimes I feel guilty for being the cause of your obsession with e5
by Peniel
October 25th, 2017, 1:23 pm
Forum: Off Topic
Topic: How do you deal with tele-scams and cold-calling salesmen?
Replies: 46
Views: 7999

Re: How do you deal with tele-scams and cold-calling salesmen?

"What are you wearing?" worked like a charm...
by Peniel
June 1st, 2015, 1:05 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 147057

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

Vladimir,I'm contemplating the idea of buying the 3 volumes but someone told me that you were working on a new edition that would contain additional chapters on CVA, etc.Is there really a new edition coming? If so, when would it be available?
by Peniel
July 30th, 2014, 2:25 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5422

Expectation

OK, got it, thanks.
by Peniel
July 29th, 2014, 7:05 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5422

Expectation

I think it's doable.EBal, do you mean [$]g(a)E[\tau][$]?I believe [$]E[\tau]=a^2[$] which leads to [$]g(a)a^2[$]. This is consistent for [$]g[$] constant for example.Anyone with a detailed proof?
by Peniel
July 28th, 2014, 11:11 am
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5422

Expectation

let [$]\tau = \inf\{t>0, W_t = a\}[$] and [$]g[$] a continuous function, what is the value of [$]E\left[\int_0^{\tau} g(W_s) ds \right][$]?
by Peniel
August 14th, 2013, 8:21 am
Forum: Technical Forum
Topic: Heston with time dependent parameters
Replies: 2
Views: 7319

Heston with time dependent parameters

Unfortunately, there is something wrong in your code.There is a simple test you can do, set the volOfvol = 0, then the variance is deterministic and you should get the same results as the standard BS formula (for both your constant/time-dependent Heston implementations)
by Peniel
May 15th, 2013, 7:54 am
Forum: Careers Forum
Topic: JPMorgan Quantitative Research Core analytics
Replies: 12
Views: 12559

JPMorgan Quantitative Research Core analytics

<t>I had questions about definitions, differences between C# and C++, algorithms, etc.I didn't expect a pure IT interview as:* the spec of the job was quant and IT* I first received an email from the HR saying I would be asked questions about maths, finance and info* my background (education and exp...
by Peniel
May 13th, 2013, 7:57 am
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 544
Views: 113352

exp(5) = [$]e^5[$]

Funny, I haven't done anything and it looks like the title is "locked".Sorry Cuchulainn, I can't do much for you.
by Peniel
May 13th, 2013, 7:43 am
Forum: Careers Forum
Topic: JPMorgan Quantitative Research Core analytics
Replies: 12
Views: 12559

JPMorgan Quantitative Research Core analytics

I think it's just IT: I had a phone interview with them a few weeks ago, pure IT questions, no finance nor maths.
by Peniel
April 23rd, 2013, 12:35 pm
Forum: Brainteaser Forum
Topic: Expected value of Tosses to get THH
Replies: 4
Views: 8924

Expected value of Tosses to get THH

For completeness, with E=E X_T:E = (1/4)*2 + (2/4)*(E+2) + (1/4)*((1/2)*3 + (1/2)*(E+3)) -> E=6 -> x=8
by Peniel
April 23rd, 2013, 6:32 am
Forum: Brainteaser Forum
Topic: Expected value of Tosses to get THH
Replies: 4
Views: 8924

Expected value of Tosses to get THH

<wrong>
by Peniel
April 5th, 2012, 9:21 am
Forum: Student Forum
Topic: Heston Initial Parameters
Replies: 5
Views: 18504

Heston Initial Parameters

<t>Thanks Alan for your answer.My concern is that if I choose a "wrong" kappa, I'll get a set parameters for a local minimum of the problem.Then I would apply Levenberg-Marquardt using this local minimum as initial values and the algorithm would stick to it.I would be interested in knowing what peop...
by Peniel
April 4th, 2012, 4:07 pm
Forum: Student Forum
Topic: Heston Initial Parameters
Replies: 5
Views: 18504

Heston Initial Parameters

Regarding the Gauthier/Rivaille paper, they fix kappa "at a typical market level" (kappa=2 in the article).The value of kappa is important as it is used to imply the others parameters.Does anyone have an idea about how to imply this market level?
by Peniel
October 26th, 2010, 8:05 am
Forum: Careers Forum
Topic: Is the crisis really that bad?
Replies: 29
Views: 26177

Is the crisis really that bad?

<t>I found a job after looking for a few months. I don't know where you're based, but I found it really tough to get an interview (almost all the headhunters were useless, a few on-line applications worked).Anyway, as some people said, you have a very diverse experience, and I believe this works aga...
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