<t>QuoteOriginally posted by: gelfandThe Student t distribution has power law tails and has often been used to model heavy tails in return distributions. There also exist skewed Student t distributions -- one can Google "skewed student t".True. In fact, it might turn out that the formula I gave actu...

<t>Yes, the k's appear to be different (alas, smaller, i.e. more heavy-tailed, for losses than for gains) for losses and gains. I'm playing around with this a little--one might either be satisfied that the simple three-parameter model I gave is obviously a better description of reality than the Gaus...

<t>Hi:I've been trying to model stock returns with power-law tails on both sides with a probability distribution of two overlaid Pareto distributions. I define my quantile function thus:or with a location and scale parameter thus:x is the quantile (from 0 to 1) for which I want to find out the appro...

<t>My nickname here says all about the new thinking I think we need--or rather about the old thinking we need to revitalize. Gaussian and L-Stable return model might actually be a decent analogy to Newtonian and relativistic physics. In some cases the results will be for all practical purposes ident...

<t>You could run a Monte Carlo simulation of your hedging strategy and see the effect of spreads (keep in mind that spreads might change based on market conditions). Spreads should make the hedging strategy more expensive to execute and thus increase implied volatility. Spreads willl also have an ef...

QuoteOriginally posted by: ILoveLucyI am at CMU. From my observation, the students who get job at top I-bank are not the ones that have good GPAs.I-bankers in the narrow sense (i.e., sales) or quants?

<t>QuoteOriginally posted by: DCFCBrainbench is not a great measure of programming ability, indeed I know how to game it, and think many of the questions are bollocks.But it's cheap, and easy for employers, so I don't criticise completely those who use it, and if you are trying to prove you're shit ...

<t>Well, if you're familiar with economics, economists call your problem (and that of all somewhat unconventional job seekers) signaling. You might be excellent, but it's hard for an employer to know that, and so he might prefer someone whose skills are worse than yours and whose salary demands are ...

<r>QuoteOriginally posted by: PaperCutOf course there's hope. It's clearly printed on the back cover of the new edition of Brigo & Mercurio. "Don't Panic."Well, I meant that a little sarcastically <E>:-)</E> One very interesting aspect about the work that I do as a management consultant is just ...

<r>Here's an interesting idea I had but didn't pursue: Is there a significant correlation between buzzwords and corporate bullshit (similar to the criteria in the crackpot index) and the stock price development thereafter? Corporate bullshit (let's define it as language full of very corporate-soundi...

<r>QuoteOriginally posted by: PaperCutI have occasion to interview quite a few (very) junior candidates. I was wondering if others have the same experience:Of the last five candidates I have interviewed, all of whom had an MS in Mathematical Finance, not one could tell me the input parameters to the...

<t>QuoteOriginally posted by: farmerI think it is more accurate to say you'll never catch up to yourself in an alternate universe with 5/6/... additional years work experience.If you do a Ph.D. only for the money, chances are that you'll get frustrated and drop out (hopefully still with a good job) ...

<t>QuoteOriginally posted by: Traden4AlphaSure, I can see that we don't want H-1Bs to be indentured slaves to some unscrupulous recruiter, but that doesn't mean that wages should be protected.That rule is for the benefit of Americans who don't want to get their wages depressed, not for the H1-Bs. Fo...

<t>QuoteOriginally posted by: JeremiahJohnsonTadragh1, thanks for the information about Birbeck. if somebody knew some good university offering part-time PhDs programs (or other learning distance programs), and what they tougth about it. Well, I hold a Ph.D., although not in finance, and with five y...

<t>Well, apart from cases of obvious abuse, the question it boils down to is this: Do highly-qualified professionals need protection against competitors who might depress their wage levels (as all competition is bound to do: no matter how much proof you show that you couldn't find a qualified Americ...