<t>C'est clair que si on t'exclut systématiquement: 1) c'est pas sympa 2) ça ne fait qu'aggraver le problème.Ceci dit, être rancunier ne t'aideras pas non plus. Je pense qu'on est d'accord qu'apprendre mieux l'anglais ne te feras que du bien, qu'importe le métier, ou même d'un point de vue culturel....

Thanks guys. I think I'll go for Shreve.

An Introduction to the Mathematics of Financial Derivatives, by Salih N. NeftciI'm looking for general option pricing book abit like Hull but that goes more into the maths. This one seems to be good and contains alot of the background maths involved, what do other people think ?

I was in a small bank where they looked at Wilmott mag and Derivatives week. Dunno what they do in BBs.

Didn't know BNP were particularly good at FID as opposed to Equity, thank for the info !

<t>I have the impression that the french banks are particularly good at Equity derivatives (or that they have particularly large departments, due I know to grande ecole quants etc).How do their Fixed Income derivatives businesses compare to his?The reason is I'm abit more FI inclined myself, though ...

<t>No ideas ? I've heard that it differs from markets in that you are on the private side (access to company info), though I'm not sure what this entails in practice.Another questions: what is equity structuring compared to debt structuring like?I know that Debt is more mathematical since you know f...

<t>Hi,Could anyone tell me exactly what work an ECM (or DCM) structurer does? The ones that work with guys doing IPOs, origination etc. I have a pretty good idea how more "markets" structurers work (say an IR structurer who communicates mostly with traders and sales).Exactly how does the work of an ...

<t>Hi,I'm running an EKF on randomly generated data (using the code in the book "Extended Volatility Arbitrage", A.Javaheri), without the MLE part yet, and constantly have trouble with things such as negative x1 estimates (which lead to -ve square roots), or 0 weighting parameters which lead to div ...

<t>Hi,I'm having trouble understanding exactly why one uses these filtering methods for stochastic volatility modeling.Are they alternatives to methods such as maximum likelihood (using Powel for example) for estimating parameters, or something to be used in conjunction with these?Am I correct in in...

Thanks, found it in the C book there.

<t>Hi,I'm having trouble finding reasonably simple online documentation for calculating Garch(1,1) parameters (alpha, beta ...via maximum likelihood.I'll be using it for FX under Excel.Is Levenburg-Marquardt (or any other method) really hard to program in vba? If anyone can point me to an online tut...

Ok got it, thanks

<t>markpark: the variance is indeed time, but I'm trying to find it starting from a random walk rather than the definition?gjlipman: ok, say the size of a step is +- 1, there are N seconds (fixed quantity) and n steps per second.If n = 1 the total var is N after the N seconds.If we let n vary, then ...

<t>Ok, a reallly simple question here but one I can't figure out.I understand that a weiner process is conceptually just a random walk where the step sizes are random. However I have trouble relating it's variance to that of a random walk.For a random walk with steps +r and -r with probs p and q, th...