The role is based in Philadelphia.

<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...

<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...

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.

How marketability affects security prices. see here: http://www.anderson.ucla.edu/documents/ ... e/2-95.pdf

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?

Try Schonbucher book and website here

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.

"I have been asked to look into sourcing data......." ".....I believe that this is more a ploy to get me to source data!" lol

<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...

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?

<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...

Does anyone have an good articles on this topic?tks Y

<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...

Surely you're joking Mr. Lexington