I have nothing useful to contribute on your question, narrowly defined, but you seem to be leaving out most buy side quant jobs. Those would be found in more or less traditional asset managers whose end products are mutual funds, institutional separate accounts, ETFs, and some international equival...

Hi,I am interested in your return on interviews for those firms, especially JP option. Is it a Risk position?

Interesting, can I ask you what kind of graph did you think about? Do you have any examples to share here?

You can use a first to default probability for the counterparty default instead of the standard one that is independent on the bank default. Then you will have to take into account correlation of course with a copula for example.

<t>Hi guys,I know it is a very basic question, but I really think it could help lots of newbie in the Equity sphere to understand more about it.I was wondering if you could bring some light on what Equity trading is today, what are the different kind of traders and how do they expect to make money.I...

<t>Well, interesting question, I personaly have been quant for almost 10 years, i am a phD, and I have nothing neer 1M ahahha, very far from that... so one advice, go into Quant only if you really think you will enjoy it more than academic stuff, you will not necesarily make more money than in other...

QuoteOriginally posted by: mtsmmiquant, you are being hereby ignored as you clearly do not know what you are talking about.And you being a smartass again!!! Are you a trader?

<t>QuoteOriginally posted by: mtsmit is definitely used for derivatives pricing. what are you talking about? what about single observation multiple-index deerivatives? also people have tried and are trying hard using it for hedging purposes.other than that you are not really saying anything more tha...

<t>Your question makes no sense ...I told you how to get the bond price ... If you can derive the bond for Vasicek model (I hope you can), it is the same with time dependant parameters, do we really have to write to you all the equations and steps to get to the bond price??PS:try it on the student f...

That's true, rates can go negatives ... it's a normal model, but you should take a look more carefully at the expression of A and B to get to the conclusion that sigma>0 generate negative rates. What if sigma is negative, is it different??

<t>QuoteOriginally posted by: bearishQuoteOriginally posted by: listFor curiosity what is the probability that bond price at t will be larger than 1 for these model?Strictly greater than zero. Beyond that it obviously depends on the full set of model parameters, r(0), as well as the time horizon.Why...

Yes Fengler's article, here:http://edoc.hu-berlin.de/series/sfb-649 ... PDF/19.pdf

<t>Alan, the problem with that kind of smoothing techniques (and I have experience with it because you can still use SABR and then smooth the output to get rid of arbitrage) is that the more you need to smooth (or remove arbitrages) the more you get further away from those prices, and traders usuall...

Hey Piter, could you give the list of links and books you were talking about ??Are you currently working for BRL markets?

For IR products, I would say:Swaptions/Caps ----> Black Formula (adaptation of BSM to Forward)Bermudan ----> Markov Functional / Hull-WhiteRange Accrual and other path dependant exotics ----> HJM / BGM