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by Alkmene
September 17th, 2011, 9:56 pm
Forum: Careers Forum
Topic: I think I left it too late ...
Replies: 4
Views: 18720

I think I left it too late ...

<t>QuoteOriginally posted by: QuantOrDieWhat have you been doing in the BO? "Supporting on structured trades quant issues" seems vague. Were you doing risk? Regulatory? Tech? Ops? Risk is probably best to move to a trading role.However, you are probably too old, and it doesn't sound like you have mu...
by Alkmene
September 17th, 2011, 9:01 am
Forum: Careers Forum
Topic: I think I left it too late ...
Replies: 4
Views: 18720

I think I left it too late ...

<t> Having worked for 10+ years in always quanty roles but not always in banking, I am now in a position where I have done my time in the back office, with finance and a mathematical degree, both at M level. Mid to late 30ies is now too late for a trading role, is that right? I have experience with ...
by Alkmene
May 3rd, 2011, 3:22 am
Forum: Student Forum
Topic: Futures and Expectation
Replies: 8
Views: 19992

Futures and Expectation

QuoteOriginally posted by: ehWhere did you read that? I don't think that "simple" means "real world".A paper where I lost the first page; I think it is a poorly worded para. What they meant was that there is no need to discount to get a PV because it is settled daily.Thanks,Alk
by Alkmene
May 3rd, 2011, 3:20 am
Forum: Student Forum
Topic: Futures and Expectation
Replies: 8
Views: 19992

Futures and Expectation

QuoteOriginally posted by: ronmHi animeshsaxena, isn't the expectation would be simply S0 exp(mu * t) only if I assume GBS as diffusion equation for spot?No, because it is lognormal and the mean of a lognormal is e^(E(normal)+sigma^2/2))Alk
by Alkmene
April 28th, 2011, 4:59 am
Forum: Student Forum
Topic: Futures and Expectation
Replies: 8
Views: 19992

Futures and Expectation

<t>I do understand the following: A Forward rate is an expectation of the future sport rate under the forward measure.I do not understand what it means that a Futures, because it is settled every day, is a "simple" expectation of a spot rate in the future.I can see the reasoning in the second statem...
by Alkmene
March 29th, 2011, 6:55 am
Forum: Technical Forum
Topic: Appropriate measure?
Replies: 3
Views: 20728

Appropriate measure?

Oh, I think I understand: annuity is a linear combination (sum) of individual instruments.Thanks,alk
by Alkmene
March 29th, 2011, 6:54 am
Forum: Technical Forum
Topic: Appropriate measure?
Replies: 3
Views: 20728

Appropriate measure?

Annuity (forward swap measure) comes to mind; doesn't an annuity "make payments"?Not wanting to sound stupid but any help appreciated.Alk
by Alkmene
March 18th, 2011, 6:45 am
Forum: Technical Forum
Topic: Appropriate measure?
Replies: 3
Views: 20728

Appropriate measure?

<t>If a calculation concerning a contract on a traded instrument can be simplified by using another traded instrument (usually referred to as martingale pricing, measure change whatever), in general terms, I wonder what a traded instrument is?I understand what the conventional ones are MMKT account,...
by Alkmene
March 18th, 2011, 6:35 am
Forum: Student Forum
Topic: quant problems by a large IB
Replies: 2
Views: 22614

quant problems by a large IB

Interested in an asnwer to the NY questions ...
by Alkmene
January 10th, 2011, 6:02 am
Forum: Student Forum
Topic: Price of a one day straddle
Replies: 7
Views: 22154

Price of a one day straddle

What?
by Alkmene
December 3rd, 2010, 6:43 am
Forum: Student Forum
Topic: Just a quick convexity question
Replies: 5
Views: 94106

Just a quick convexity question

but why"But the same forward rate is not a martingale under Q^(T-1), "I do not understand how to see that?Alk
by Alkmene
October 21st, 2010, 1:04 am
Forum: Numerical Methods Forum
Topic: Girsanov
Replies: 1
Views: 23939

Girsanov

Well, I can see that it could be a constant, but could it also be an Ito process?thanks for any help,A
by Alkmene
October 21st, 2010, 12:21 am
Forum: Numerical Methods Forum
Topic: Girsanov
Replies: 1
Views: 23939

Girsanov

<t>Quick one:Not hiding my ignorance in any way: (1) is the process X in "xi" (the greek letter) in the Girsanov theorem (using Neftci's notation) a random process of a certain form? Any restrictions (other than the Novikov condition)? Just looking at the formulation of "xi" I presume that X is a fu...
by Alkmene
September 23rd, 2010, 3:46 am
Forum: Student Forum
Topic: Neftci exercise question
Replies: 5
Views: 23815

Neftci exercise question

QuoteOriginally posted by: stilyof(t)=exp(at)g(t)=r(t)=>in differential form, the product rule is d(f(t)*g(t))=df(t)*g(t)+f(t)*dg(t)df(t)=a*exp(at)dtdg(t)=dr(t)=> d(exp(at)*r(t))=(a*exp(at)dt)*r(t)+exp(at)*dr(t)=exp(at)*(a*r(t)dt+dr(t))Merci!
by Alkmene
September 21st, 2010, 10:40 pm
Forum: Student Forum
Topic: FX Option Questions
Replies: 6
Views: 25312

FX Option Questions

<r>QuoteOriginally posted by: JimmyLDave-Is this the paper you are referring to? <URL url="http://www.mathfinance.com/wystup/papers/CPQF_Arbeits20.pdfAlk-Thanks"><LINK_TEXT text="http://www.mathfinance.com/wystup/paper ... Alk-Thanks">http://www.mathfinance.com/wystup/papers/CPQF_Arbeits20.pdfAlk-Th...
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