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by skphang
May 8th, 2011, 3:23 pm
Forum: Book And Research Paper Forum
Topic: Models.Behaving.Badly
Replies: 0
Views: 24232

Models.Behaving.Badly

<t>Prof Derman expanding on his thoughts regarding financial models Taken from Amazon.comModels.Behaving.Badly Part I. ModelsChapter 1. A Foolish Consistency A personal account of my experiences with models that failed.Models that failed * Capitalism and the Great Financial Crisis * Divining the fut...
by skphang
May 26th, 2010, 3:03 pm
Forum: Careers Forum
Topic: Typical working day as a quant...
Replies: 17
Views: 32692

Typical working day as a quant...

Hedge fund working environment = The Quants by Scott PattersonHedge fund strategies = Inside the House of Money by Steven Drobny
by skphang
August 10th, 2009, 3:54 pm
Forum: General Forum
Topic: A tale of two vols?
Replies: 1
Views: 35677

A tale of two vols?

<t>Quanto Forward---------------------We know the price of a quanto equity forward contract may be expressed as:Fq = F exp(-rho * sigmaE * sigmaFX * T)F = local currency forward price of the equity underlying at time T, sigmaE = vol of equity underlying and sigmaFX = vol of currency pairThe question...
by skphang
August 4th, 2009, 3:10 pm
Forum: Book And Research Paper Forum
Topic: New Book "Fool's Gold: How the Bold Dream of a Small Tribe at J.P. Morgan..."
Replies: 4
Views: 37861

New Book "Fool's Gold: How the Bold Dream of a Small Tribe at J.P. Morgan..."

<t>The inner workings of the credit derivatives group at JPM was interesting, although the re-cap of the financial storm that overtook the world in the last year is probably common knowledge to people in this forum. I liked the beginning of the book, as it brought me back to the time when I first en...
by skphang
August 2nd, 2008, 1:25 pm
Forum: Careers Forum
Topic: Can I take another PhD in mathematical finance?
Replies: 30
Views: 54554

Can I take another PhD in mathematical finance?

<t>QuoteOriginally posted by: DominicConnorI've thought about China, and my rough model is that it will move quite dramatically from an exporter of quant talent to an importer.China could do that.There are enough Chinese speaking bankers working in the West to build and run a serious financial centr...
by skphang
May 10th, 2008, 2:30 am
Forum: Careers Forum
Topic: Good book on i-banking in general and quant's roles?
Replies: 9
Views: 56278

Good book on i-banking in general and quant's roles?

<t>QuoteOriginally posted by: twofishKuznetsov's The Complete Guide to Capital Markets for Quantitative Professionals has some of this.I haven't come across a book that covers quant and non-quant roles. The Complete Guide above is recommended for quant roles.For non-quant roles, I would definitely r...
by skphang
May 10th, 2008, 2:24 am
Forum: Careers Forum
Topic: NTU MFE 2008 - need advice
Replies: 4
Views: 57313

NTU MFE 2008 - need advice

<t>QuoteOriginally posted by: thomssiThey are similar as far as I have seen.Both produce people who can regurgitate equations but have very limited understanding (I know this is a cliche here but largely because it is true, I can give numerous examples of the questions I get asked by MFE grads). Out...
by skphang
April 27th, 2008, 11:20 am
Forum: Book And Research Paper Forum
Topic: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug
Replies: 186
Views: 152290

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

<t>QuoteOriginally posted by: PaulIt is hard to tell whether either is correct, unless you go through the calculation...something I would recommend. But it is but a second's work to spot which is incorrect, just look at the dimensions.PI tried doing that, to see which expression gives ~ sigma^2 in t...
by skphang
April 27th, 2008, 3:17 am
Forum: Book And Research Paper Forum
Topic: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug
Replies: 186
Views: 152290

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

<t>Thanks for writing this wonderful book!However, I have a question regarding the formula for local volatility on page 459. The formula also appears in Paul's book.I have seen another version of the formula at Performance Trading where the implied volatility in the denominator is squared. I've seen...
by skphang
April 26th, 2008, 11:49 am
Forum: Book And Research Paper Forum
Topic: Options, Futures, and Other Derivatives (7th Edition)
Replies: 9
Views: 65027

Options, Futures, and Other Derivatives (7th Edition)

<t>NEW! Employee Stock OptionsA new chapter on employee stock options has been included in this text. Issues such as whether employee stock options align the interests of senior executives and shareholders, how the options should be valued, and backdating scandals are quite topical and students enjo...
by skphang
February 8th, 2008, 12:55 pm
Forum: Careers Forum
Topic: HK/Tokyo relocation
Replies: 9
Views: 59848

HK/Tokyo relocation

That's interesting...When comparing between HK and Singapore for one of the big European banks, it looks evenly split for FX and interest rate derivatives... However, it looks like HK has the lead in equity and credit derivatives?
by skphang
February 8th, 2008, 2:03 am
Forum: Careers Forum
Topic: Chicago FinMath in Singapore
Replies: 0
Views: 59391

Chicago FinMath in Singapore

<t>From 'Today'Wednesday • February 6, 2008Seven years after opening its Graduate School of Business in Penang Road, the University of Chicago is kicking off a new graduate course that aims to develop the world's top financial talents here.At a press conference yesterday, the school and the Stevanov...
by skphang
February 8th, 2008, 2:01 am
Forum: Careers Forum
Topic: HK/Tokyo relocation
Replies: 9
Views: 59848

HK/Tokyo relocation

<t>QuoteOriginally posted by: razrYou'll have to keep in mind that HK has moved ahead of Tokyo in past two years though.Why is that? Is it because the general perception has swung in favor of HK as a more active/developed financial center than Tokyo? (I'm thinking of the Global Financial Centers Ind...
by skphang
January 25th, 2008, 1:43 pm
Forum: Book And Research Paper Forum
Topic: Fixed income beyond Hull
Replies: 9
Views: 62262

Fixed income beyond Hull

For volatility, you might like to look at Rebonato's Volatility and CorrelationJim Gatheral's book on the volatility surface is (I think) an extension of his lecture notes at Courant Institute
by skphang
January 23rd, 2008, 12:06 pm
Forum: Book And Research Paper Forum
Topic: Risk Management and Financial Institution 1st edition by John Hull
Replies: 10
Views: 68428

Risk Management and Financial Institution 1st edition by John Hull

<t>To answer minhngoc, I leafed through the book in a shop last year. Unfortunately, the book isn't groundbreaking, and doesn't stand up to other references on Risk Management (such as those by Chris Marrison and Steve Allen). I am currently working as a risk manager, and Risk Management is more of ...
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