SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by PlasticSaber
April 15th, 2012, 10:33 pm
Forum: General Forum
Topic: Unrealistic Sharpe ratio?
Replies: 6
Views: 14677

Unrealistic Sharpe ratio?

<t>When I read the report on Madoff, I learn that his reported Sharpe ratio was "just" 3.4...Sometimes when I read the job ads, I am slightly amused... Just the other day, I read a headhunter posted that he is looking for trader running "strategies showing Sharpe >5.0". Then I have some second thoug...
by PlasticSaber
October 9th, 2011, 1:02 pm
Forum: Careers Forum
Topic: internship - now?
Replies: 10
Views: 18527

internship - now?

<t>QuoteOriginally posted by: spv205I don't understand why if its not going to be an official internship you cant do it part time with your postdoc. ie if you have the contacts and you offer to work for free on a project.For a bank or an established place, get paid (thru intern or at low rate) could...
by PlasticSaber
September 25th, 2011, 8:10 am
Forum: General Forum
Topic: What went wrong at UBS?
Replies: 16
Views: 23846

What went wrong at UBS?

<t>From a 22Sep11 FT article: "In the UBS case, people familiar with the matter say Mr Adoboli is suspected of exploiting the fact that several European banks' exchange traded funds arms did not issue confirmations until after settlement had happened. Industry experts point out that the phenomenon i...
by PlasticSaber
September 22nd, 2011, 9:23 pm
Forum: General Forum
Topic: What went wrong at UBS?
Replies: 16
Views: 23846

What went wrong at UBS?

<t>My working experience is entirely buy-side. So this is yet another mind provoking pure speculation.I agree that it is very difficult to incur $2bn of unauthorised trading loss in a typical trading desk which faces only to the external world. Raising margin and collateral requirement would give aw...
by PlasticSaber
July 8th, 2011, 9:05 pm
Forum: Careers Forum
Topic: Want to be a trader
Replies: 9
Views: 22431

Want to be a trader

<t>Maybe a lot of guys assume you would like to take the quant dev => quant => quant trader => trader route. Seriously, it is not the most direct path if you goal is being a trader. Given you have sales expr before, you have an edge over most of us here. What you can do is to find a sales position i...
by PlasticSaber
June 16th, 2011, 9:27 pm
Forum: General Forum
Topic: Buyer behavior in Credit Index option
Replies: 0
Views: 20729

Buyer behavior in Credit Index option

<t>For exchange traded options, it is quite interesting to see where the open interest are.... It is particularly useful to look into towards one of the expiration dates.Credit index options (I am talking about Itraxx main/XO/CDX IG/CDX HY that kick of options) are OTC. Probably only market makers f...
by PlasticSaber
June 12th, 2011, 10:28 am
Forum: Careers Forum
Topic: Front Office Quant Developers in London earn £144K
Replies: 13
Views: 21366

Front Office Quant Developers in London earn £144K

<t>QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: QuantOrDieI suggest you get a quant to check those numbers...lol this guy again. You do know who Dominic is?There is an element of inconsistency here. In Dominic's earlier post (e.g. quant dev in various US cities) the headline n...
by PlasticSaber
June 11th, 2011, 10:19 am
Forum: Careers Forum
Topic: I know the pay levels for structurers with MSc in London
Replies: 7
Views: 21747

I know the pay levels for structurers with MSc in London

<t>The other thing is do you notice a strong bimodal distribution for the pay level distribution? My perception is many structurers are credit/ABS related. There is not a lot of new business post-08. There are fees when the client e.g. when to make some minor mods or need to unwind with the counterp...
by PlasticSaber
June 8th, 2011, 7:21 pm
Forum: General Forum
Topic: Implied vol for TSY, FX, oil and beyond
Replies: 3
Views: 20429

Implied vol for TSY, FX, oil and beyond

<t>I have checked the MOVE index. Looks quite useful. FYI, the MOVE index is the abbreviation of "Merrill Option Volatility Estimate. This is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of volatilities on the CT2, CT5, CT1...
by PlasticSaber
May 26th, 2011, 9:04 pm
Forum: General Forum
Topic: Implied vol for TSY, FX, oil and beyond
Replies: 3
Views: 20429

Implied vol for TSY, FX, oil and beyond

<t>I am playing around some asset allocation exercise. Trying to evaluate the benefit of adding some options as macro hedge. If I can get individual series like x%ATM put, 100%ATM put/call, y%ATM call etc, it would of course be wonderful... I can live with e.g. VIX for S&P as a broad indicator. ...
by PlasticSaber
May 26th, 2011, 8:50 pm
Forum: General Forum
Topic: VIX type
Replies: 0
Views: 19531

VIX type

by PlasticSaber
May 24th, 2011, 8:15 pm
Forum: General Forum
Topic: If you buy a put and the company gone...
Replies: 5
Views: 19557

If you buy a put and the company gone...

<t>QuoteOriginally posted by: VegawizardYour option contract gives you the right to sell the underlying shares at the strike price to whoever sold the option - the exchange if exchange traded, or the investment bank if OTC. Your contractual relationship via the option is with the option Grantor, so ...
by PlasticSaber
May 23rd, 2011, 8:39 pm
Forum: General Forum
Topic: If you buy a put and the company gone...
Replies: 5
Views: 19557

If you buy a put and the company gone...

<t>According to the textbook, if you buy a put at K and the company has gone busted, you will get K. Nice and simple. But what is the actual market convention when the share stopped trading before expiration (e.g. holding a Lehman put expired on 20Sep08 when Lehman filed on 15Sep). What would be the...
by PlasticSaber
May 15th, 2011, 9:33 am
Forum: Careers Forum
Topic: Private equity
Replies: 6
Views: 20922

Private equity

<t>In the case of PE, the small ones do something very different from the big ones. For a guy working for a value-investing 25MM equity fund, he can still apply the same fundamental analysis as if he is working for Warren Buffett. So as people who are say trading futures. But for a small 25MM PE, fo...
by PlasticSaber
April 30th, 2011, 8:02 pm
Forum: General Forum
Topic: ASW BOX
Replies: 6
Views: 25666

ASW BOX

<t>The JPM piece does not really provide much detailed explanation. It is just a trade recommendation.Buy side can do whatever. Reverse ASW (or repo) is not a problem when entering the trade (esp if that's one of the top trade recommendations). Usually the problem arises when trying to close out tha...
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