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by chromo
August 21st, 2006, 8:41 am
Forum: Careers Forum
Topic: Barcap
Replies: 24
Views: 98893

Barcap

anyone got the commitment to shell out and check out vault.com?
by chromo
August 21st, 2006, 6:13 am
Forum: Careers Forum
Topic: Barcap
Replies: 24
Views: 98893

Barcap

<t>let's see, the grapevine has spoken of... hiring and firing but that's usual.I have had a first grape account of people not seeing their managers in months, not that they were graping. and i have seen a contract to work at C/W for a high sum go open for longer than i'd expect that sort of money l...
by chromo
August 18th, 2006, 2:23 pm
Forum: Careers Forum
Topic: Hedge Fund question!
Replies: 27
Views: 98609

Hedge Fund question!

great place to learn the realities fast. if you are dedicated and 'get' what they need, it's definitely worth it.if you can take the pace, risks, consequences...
by chromo
August 17th, 2006, 3:01 pm
Forum: Numerical Methods Forum
Topic: DFT to price Single Barriers
Replies: 2
Views: 95508

DFT to price Single Barriers

ish, you can DFT your way back to the next monitoring but on each monitoring you need to apply the trunctation again 'observe the barrier' then you can DFT again.so the factor 100 speed up only applies between monitorings. sorry.
by chromo
August 17th, 2006, 12:16 pm
Forum: Careers Forum
Topic: which is better uni for phd?
Replies: 3
Views: 95441

which is better uni for phd?

Can you describe your preferred career path;Where you want to work? how much money you want to make?how much stress you want to take?what do you think you are good at?what tools do you want to use?
by chromo
August 17th, 2006, 5:23 am
Forum: General Forum
Topic: Loans trading
Replies: 1
Views: 95259

Loans trading

Wall street systems is a relevant vendorrisk assessed qualitatively, in terms of notional at risk and expected losses. larger portfolios statistically modelled against volume/default curves.that's as close as i got.
by chromo
August 14th, 2006, 4:14 pm
Forum: General Forum
Topic: Correlation of implied volatilities
Replies: 10
Views: 96530

Correlation of implied volatilities

the vol smirk guarantees a negative correlation of index implied volatility with price level. so on average, for index options, but for individual stocks... see dealer inventory?
by chromo
August 11th, 2006, 2:29 pm
Forum: Numerical Methods Forum
Topic: Stock Price model
Replies: 2
Views: 95944

Stock Price model

<t>because the model is1) a member of the class of affine process which have very useful properties. Including nice clean analytical solutions to some pricing problems.2) qualitatively similar to behaviour of actual price series3) better than any of the alternatives - the alternatives either don't r...
by chromo
August 11th, 2006, 12:13 pm
Forum: General Forum
Topic: Negative implied volatility
Replies: 14
Views: 103422

Negative implied volatility

Want to describe what a negative volatility looks like, say in terms of a stock graph?I'm new at this game and can't imagine what it might be.
by chromo
August 9th, 2006, 2:04 pm
Forum: Programming and Software Forum
Topic: Reconciling Trades Through A Network (VBA)
Replies: 17
Views: 98109

Reconciling Trades Through A Network (VBA)

<t>excel and real time update require RTD (or worse)you can use an update button that uses ODBC against a stored procedure or vanilla SQL and does the rec.if you're not into ODBC, get a batch to run on NT or UNIX that writes a csv you can read and rec.but it's not going to be realtime. sorry. that's...
by chromo
August 9th, 2006, 1:48 pm
Forum: Programming and Software Forum
Topic: Reconciling Trades Through A Network (VBA)
Replies: 17
Views: 98109

Reconciling Trades Through A Network (VBA)

Nice solution (and not all that hard) build a little server, use RTD.else use a refresh button.
by chromo
August 8th, 2006, 8:46 am
Forum: Careers Forum
Topic: LBS MiF - Cass MTF. Which one?
Replies: 13
Views: 101832

LBS MiF - Cass MTF. Which one?

<t>wow, you have the pick of the bunch there. My concern about 'math' is solely as far as surviving the course. In practice few traders use much math day-to-day. You need the abstractions to understand the models and develop intuition. I'll go so far as to state in public that most of our traders th...
by chromo
August 8th, 2006, 7:18 am
Forum: Careers Forum
Topic: LBS MiF - Cass MTF. Which one?
Replies: 13
Views: 101832

LBS MiF - Cass MTF. Which one?

<t>LBS waste of air. Frankly, it's a core finance curriculum which means you spend your time studying waffle about ratios and accounting. Bor-ing! Sure it's a big name, in *corporate* finance. As an IT person, think carefully, do you want to be a CFO? If so, remortgage and got to LBS. Does it fit wi...
by chromo
August 1st, 2006, 10:53 am
Forum: Programming and Software Forum
Topic: Perl- What is the advantage?
Replies: 13
Views: 99176

Perl- What is the advantage?

Stunt,Take it you're looking a streamSql for some form of enhanced ticker plant. How do you rate K and it's variants for that job?
by chromo
July 28th, 2006, 1:22 pm
Forum: Programming and Software Forum
Topic: Integration, or, where's the code at?
Replies: 9
Views: 97587

Integration, or, where's the code at?

<t>Mr Stunt has some of the answer: scripting. Just need something a little stronger than scripting (or is python enough?). Some chap was calling VBA a "scripting excuse hidden behind a grid control" ('miserable' and expletives omitted).I could take the fifth "it is the responsiblity of management t...
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