<t>QuoteOriginally posted by: ChicagoGuyQuoteOriginally posted by: ShafranovI read about preparing for mathematical finance interviews and it is all about Black Scholes, Black Scholes, Black Scholes. But I find myself bored with Black Scholes. On the other-hand, I love digging into data looking for ...

<t>QuoteOriginally posted by: lballabioIn the first pass, it collects the labels. It can't yet resolve any reference, and issues "undefined" warnings for each.In the second pass, it matches the references to the collected labels and all is well.Nothing to see here, move along.if that is the case the...

<t>Hello,it sounds like you have reverted input and output to your model: typically you will have the Black volatilities as input, say from the market. Then you use the 'closed form' solution in the 1 factor model for bond option, caplets or swaptions to calibrate your model parameters. Only then yo...

<t>We are also using the 'standard' method wsirhc describes: defining quote instruments independently of curve, and the curve has then a list - possibly different for each day - of quote instruments from which it is build. Storing only the the daily quotes for the instruments.Daveangel, about storin...

<t>I've been wondering for a while how to approach calculating Credit Valuation Adjustment (CVA) for a portfolio with embedded options. As a toy model take, say, a single contract (callable swap), no further collateral management or extinguisher. When following the usual ansatz (cf Brigo) trying to ...

<t>Quotemhughes wrote:The easy way is to observe that person A's fortune is a martingale. Thus if p is the probability that A wins, and X is his fortune at the game's end, on the one hand E(X) = 7 (since his fortune is a martingale), but on the other hand, E(X) = (1-p) * 0 + p * 20. Hence p = 7/20. ...

<t>QuoteOriginally posted by: DCFCJust to be clear, I think you should apply to graduate programmes.They vary quite a lot in quality, and few are very quant oriented, but if you find a good one grab it with both hands.Since you can't tell how good it is before you apply, you should apply anyway.[......

<t>Quote What would entry-level recruiters think about a candidate who has already applied to 21 graduate programs ?[DCFC wrote:] At the very least he'd get "counselling" from me...So is it even then recommended to apply for the graduate programs (as dacb1984 did: the sooner the better for the deadl...

<t>Quote[dacb1984 wrote]Should I just wait on these (and when should I expect to hear from them) or should I go through HH at this stage, as well?What would entry-level recruiters think about a candidate who has already applied to 21 graduate programs? Can they still try to place him in different (n...

<t>Hi mutley,QuoteOriginally posted by: mutleyDon't you think that the geographical 'distortion' is caused by a distinct lack in strength of quant activity in other areas?Hm, answering your rhetorical question: no, I don't think that, at least not in that absolute way.And also, I'm neither dissapoin...

<t>I've been reading the career forum here for a while and and have recentlyregistered to get the Quant-guide from Dominic. I'm rather puzzled by the strong focus on either the northern US or Londonas the only possible places to get a job.As an example, my own "non-standard" CV has studying physics ...