SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Yossarian22
July 2nd, 2012, 5:47 pm
Forum: Careers Forum
Topic: Looking for Senior Quantiative Strategist....with management experience.
Replies: 2
Views: 12653

Looking for Senior Quantiative Strategist....with management experience.

<t>Hi, I am the hiring manager. I am looking for a smart person with excellent communication skills and who has a familarirty with a wide range of derivative models from multiple asset classes. Jump Diffusion, Local Vol, Stoc Vol, Stoch Local Vol, LMM, HW2F, SABR, Reduced form/Structural Credit mode...
by Yossarian22
October 13th, 2011, 2:11 pm
Forum: Technical Forum
Topic: Options on total return indices
Replies: 7
Views: 22326

Options on total return indices

<t>for TR relative to strike-equivalent PR vol has moved from negative to positive. the Market never lies.In theory the volatility should be lower since you are not exposed to div yield risk. Remember variance is additive so no div volatility => lower TR vol. It should be lower because of less gamma...
by Yossarian22
October 11th, 2011, 4:54 pm
Forum: Technical Forum
Topic: Options on total return indices
Replies: 7
Views: 22326

Options on total return indices

QuoteOriginally posted by: daveangelyou might also want to consider the fact the volatility of the total return index will be smaller than that of the price return index.this is not true if you are speaking about implieds.
by Yossarian22
July 16th, 2011, 1:19 pm
Forum: Technical Forum
Topic: Quantify Liquidity Risk
Replies: 25
Views: 20935

Quantify Liquidity Risk

How marketability affects security prices. see here: http://www.anderson.ucla.edu/documents/ ... e/2-95.pdf
by Yossarian22
July 14th, 2011, 4:05 pm
Forum: General Forum
Topic: Bond Equity Correlation with equity
Replies: 2
Views: 19842

Bond Equity Correlation with equity

Barclays Agg Bond Indeex is a wild card. Negative daily correlation, but monthly correlation ranges from -0.43 (2007,2010) to 0.30+(2009, 2010). Any idea why?
by Yossarian22
June 26th, 2011, 4:53 pm
Forum: Technical Forum
Topic: PDE approach for pricing credit derivatives
Replies: 5
Views: 19271

PDE approach for pricing credit derivatives

Try Schonbucher book and website here
by Yossarian22
June 20th, 2011, 6:35 pm
Forum: Careers Forum
Topic: How Quant Developer Pay varies with experience
Replies: 12
Views: 22740

How Quant Developer Pay varies with experience

Quote... I can and will share what characteristics current MDs have, not just pay but education, sector and experience.That would be useful. Please Tell.
by Yossarian22
May 4th, 2011, 2:29 pm
Forum: Careers Forum
Topic: Professional quants, please confirm!
Replies: 4
Views: 22105

Professional quants, please confirm!

"I have been asked to look into sourcing data......." ".....I believe that this is more a ploy to get me to source data!" lol
by Yossarian22
February 16th, 2011, 2:25 pm
Forum: Trading Forum
Topic: FX basket delta
Replies: 0
Views: 21839

FX basket delta

<t>Say I have an international Fixed income fund and I want to hedge my FX exposure. I can buy a basket put based on the currency weights. My question is what is the delta of this basket? It is based on a 1bps move up and down or a 1% move up and down. What is the convention? I think its 1 bps but I...
by Yossarian22
February 8th, 2011, 1:53 pm
Forum: Numerical Methods Forum
Topic: Mersenne Twister repetition of rnd num seq
Replies: 10
Views: 27798

Mersenne Twister repetition of rnd num seq

Yes I found out how last night. Given that most of you are so sure that you already know the answer. I wonder if I should post the solution?
by Yossarian22
February 8th, 2011, 1:16 am
Forum: Numerical Methods Forum
Topic: Mersenne Twister repetition of rnd num seq
Replies: 10
Views: 27798

Mersenne Twister repetition of rnd num seq

<t>Did you ever come across the problem say you generated a random number sequence with seed X and you generated Y random numbers. Now you want to know the y+1 random number but the random number generator was stopped. Can you determine the seed for the algo to generate the Yth+1 random numbers know...
by Yossarian22
January 25th, 2011, 9:18 pm
Forum: Technical Forum
Topic: Greeks of an Asian Option.
Replies: 1
Views: 23364

Greeks of an Asian Option.

Does anyone have an good articles on this topic?tks Y
by Yossarian22
December 2nd, 2010, 9:24 pm
Forum: Careers Forum
Topic: Peter Carr Selected as 2010 IAFE Financial Engineer of the Year
Replies: 4
Views: 23471

Peter Carr Selected as 2010 IAFE Financial Engineer of the Year

<t>He is also credited with numerous contributions to quantitative finance including: co-inventing the variance gamma modelWhat about D.B. Madan and E. Seneta?inventing static and semi-static hedging of exotic options, What about Derman? and popularizing variance swaps and corridor variance swaps.Wh...
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