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by kingmonkey
April 13th, 2007, 8:44 am
Forum: Careers Forum
Topic: Choosing a PHD
Replies: 21
Views: 81386

Choosing a PHD

<t>QuoteOriginally posted by: DCFC1. PhD Computational Finance, University of Essex // Better than you might think though Essex is not seen as a top university at all.2. PhD Economics, Queen Mary University of London // QMC graduates average the 4th highest incomes of anywhere in the UK....3. PhD Fi...
by kingmonkey
April 12th, 2007, 4:54 pm
Forum: Careers Forum
Topic: Choosing a PHD
Replies: 21
Views: 81386

Choosing a PHD

How would people rank the following programs?1. PhD Computational Finance, University of Essex2. PhD Economics, Queen Mary University of London3. PhD Finance , University of Sydneyfor someone who is interested in getting into program trading afterwards?
by kingmonkey
January 16th, 2007, 6:26 pm
Forum: Student Forum
Topic: Calibration of stochastic vol model
Replies: 0
Views: 81718

Calibration of stochastic vol model

<t>Hi!I'm trying to calibrate a stochastic vol modelds =mu(t) + Sigma dW(1)dSigma = A(B-Sigma(t))dt + C dW(2) As you can see Im trying to make the vol have mean reversion and mu to be time dependant.Do I have to specify a process for mu for it to be time dependant? Suppose I have another explanatory...