Ok, many thanks, I'll try to get it. Wish me good luck...

<t>Hi, I'm currently reading Tsibiridi & Atkinson's paper "A possible way of estimating options with stable distributed underlying asset prices"In the paper, the first step to derive an option price with stable distribution is to write the fractional Taylor Series of the option price. I was wond...

Hi, the SABR model reproduces the behaviour observed for equities: when underlying price increases, smile shifts up and when underlying price decreases, smile shifts down. Is this behaviour stays true in commodities?

<t>Hi, I wonder why one use G2++ more than LMM and vice versa. I believe G2++ is quite more tractable and easy to calibrate while LMM offers a model close to Black which make it more plausible. More than that, I thought short rate models were doomed to die but I see this is not the case.Thanks for a...

No one for an advice?

Whatever the job you do, for a sales, you'll always be a geek. Maybe their job needs that.

<t>Hi, many thanks for your replies Zymonick and DCFC, I really appreciate it. As you asked me, this is the offer from the IB (Switzerland): The successful candidate will integrate FO interest rate modelling team.He will work on three missions: trading development (model development and product anal...

<t>Both two jobs ask me to develop models such as LMM, Heston…, take care of recent innovations in the field… I am suspicious about internship because I have some friends who were just making coffee. What do you call an IT guy? Indeed, I compute, I don’t really like that but I think I can’t go by. S...

<t>Hi Everybody,I know I am lucky but I have to make a choice between two opportunities. One is an Investment bank to be quant in front office in Switzerland. It’s a 1 year internship. The other is for a great software company in the city. It’s a permanent contract.The two jobs are the same. Come in...