Serving the Quantitative Finance Community

Search found 32 matches

by jcrew
December 29th, 2015, 2:36 pm
Forum: Student Forum
Topic: BS Continuous Delta Hedging
Replies: 10
Views: 3358

BS Continuous Delta Hedging

Makes sense. Thanks!
by jcrew
December 29th, 2015, 12:28 pm
Forum: Student Forum
Topic: BS Continuous Delta Hedging
Replies: 10
Views: 3358

BS Continuous Delta Hedging

<t>From my understanding, that continuous delta hedging perfectly replicates the option price if realize = implied price and is path independent. From an intuitive standpoint, it is unclear to me how it is path independent since gamma changes with respect to moneyness. For example I expect a mean re...
by jcrew
November 2nd, 2012, 4:34 pm
Forum: Off Topic
Topic: recreational drug legalization
Replies: 56
Views: 14015

recreational drug legalization

It provides an easy income for the criminal elements of society. Otherwise they move onto activities (armed robberies, extortion, kidnapping...etc) that have more collateral effects on society.
by jcrew
June 5th, 2008, 2:47 am
Forum: Careers Forum
Topic: MFE + LAW
Replies: 2
Views: 53376

MFE + LAW

<t>After taking a few sample LSAT tests, I feel I could get a score of 175+ fairly easily. With LEH following Bears down the crapper, it seems like it might be awhile for the market to be favorable. Is there a large demand for lawyers who know the innards of derivatives? Somebody has to write up the...
by jcrew
May 27th, 2008, 5:43 pm
Forum: Careers Forum
Topic: IT/Programming Interview Questions
Replies: 8
Views: 56077

IT/Programming Interview Questions

<t>QuoteOriginally posted by: DominicConnorYou can't find a recent version of the Guide that way.I've restored my signature to let Vik100 know where to get it.On the other board it seems like you had email issues and many were not receiving the guide when their CV were sent? Has this issue been reso...
by jcrew
May 12th, 2008, 2:41 pm
Forum: Careers Forum
Topic: How to answer: What capital, percentage and salary do you want?
Replies: 13
Views: 57208

How to answer: What capital, percentage and salary do you want?

I would add a clawback condition in return for a higher base.
by jcrew
April 22nd, 2008, 5:30 pm
Forum: Careers Forum
Topic: Worth of Summer Internship
Replies: 0
Views: 55606

Worth of Summer Internship

<t>I am 29 and currently doing a part time MFE program. Got offered a summer internship at an insurance company back testing option hedging strategies. Currently I do software development(non-finance related). Would the internship experience be worth the substantial cut in cashflow for the summer an...
by jcrew
March 10th, 2008, 4:04 pm
Forum: Careers Forum
Topic: QD vs Quant
Replies: 5
Views: 59337

QD vs Quant

In todays environment, is it much easier to get a quant developer position than straight up quant (entry level)? What are compensation/work hour comparison between the two?
by jcrew
March 4th, 2008, 8:47 pm
Forum: Careers Forum
Topic: Math PhD in Minnesota -> Quant
Replies: 9
Views: 60194

Math PhD in Minnesota -> Quant

<t>Quotewhich means that on an annual basis you'll see 50 or so Financial Mathematics masters students dumped into the job market....The question of internships would also concern me, having read another thread about the problems that Fordham is having in trying to provide internships in the current...
by jcrew
December 29th, 2007, 2:28 am
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

Thanks all! Actually I had planned to measure the distribution of the random numbers this weekend and test using the same series if the statistics differed.
by jcrew
December 29th, 2007, 2:26 am
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

Thanks all!
by jcrew
December 28th, 2007, 3:54 am
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

<t>QuoteOriginally posted by: Athleticojcrew, can you repeat your test on a different box? I wonder if you can isolate the problem to running a recursion-heavy algorithm under Parallels. I'd be very interested to know if you can repeat your results - in my test (Core 2 Duo laptop) the C++ QSort is a...
by jcrew
December 27th, 2007, 7:29 pm
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

<t>QuoteOriginally posted by: AVtstill think the question was not to find a sorting routine, but to compare 'languages' ...jcrew: what I do not understand is why you do not use one of the 'standard test' ... there certainly exist some, the 'comparison' problem is an old oneI am not aware of any stan...
by jcrew
December 26th, 2007, 6:37 pm
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

QuoteOriginally posted by: CuchulainnI get much longer times using your program, e.g. VB is 6129 and C++ 5000What kind of computer are you using??I am running on a Core 2 Duo Macbook via parallels.
by jcrew
December 26th, 2007, 3:40 pm
Forum: Programming and Software Forum
Topic: Speed testing between C++, C# and VB
Replies: 143
Views: 90594

Speed testing between C++, C# and VB

<t>QuoteOriginally posted by: INFIDELQuoteint partition(int arr[], int left, int right, int pivot)...void QuickSort(int arr[], int left, int right)...QuickSort(x,0,g_TestSize-1);The array's being passed by value!Arrays cannot be passed by value in C++. It decays into a pointer. The pointer is passed...