SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 55 matches

by sjcon
September 18th, 2008, 7:34 am
Forum: General Forum
Topic: Disclosing shorts
Replies: 5
Views: 49150

Disclosing shorts

<r><URL url="http://www.bloomberg.com/apps/news?pid=20601087&sid=a8f8YwvIHkoM&refer=homethis"><LINK_TEXT text="http://www.bloomberg.com/apps/news?pid= ... r=homethis">http://www.bloomberg.com/apps/news?pid=20601087&sid=a8f8YwvIHkoM&refer=homethis</LINK_TEXT></URL> is interesting as p...
by sjcon
September 18th, 2008, 7:31 am
Forum: General Forum
Topic: GOLD
Replies: 13
Views: 50220

GOLD

<t>QuoteOriginally posted by: psholtzGold is going to continue to rise, and the U.S. equities will continue to fall, until (at least) the Dow and gold reach parity. That means, 1 ounce of gold buys 1 share of the Dow index. Currently gold is still < $1,000 and the Dow is still over 10,000. They'll p...
by sjcon
June 18th, 2008, 9:18 am
Forum: Careers Forum
Topic: trader?
Replies: 4
Views: 53860

trader?

QuoteOriginally posted by: quantquantquantCan anyone give me some advice on how competitive it is to be an option trader?Its extremely competitive, probably one of the most competitive jobs out there and the turnover rate is high.
by sjcon
June 17th, 2008, 10:53 am
Forum: Trading Forum
Topic: Option Wing Model Parameters for ORC Trader trading system
Replies: 1
Views: 58162

Option Wing Model Parameters for ORC Trader trading system

What do you want to know? ref price = the atm price you set yr vol surface on. slope = slope of the tangent to the curve at atm point. call/put curve are the curvatures of the vol in the up (call) and down (put ) directions from atm point.
by sjcon
June 15th, 2008, 10:07 am
Forum: Careers Forum
Topic: Please give me some realistic grounding on my attempt for CMU MSCF
Replies: 5
Views: 53540

Please give me some realistic grounding on my attempt for CMU MSCF

QuoteOriginally posted by: mityou are now 29, so you will start by 30, then you will be done by 32, then you only have 8 years of work until retiring by 40.Who retires at 40 these days?
by sjcon
June 9th, 2008, 10:34 am
Forum: Careers Forum
Topic: quant salaries in big 4 accounting firms
Replies: 20
Views: 60390

quant salaries in big 4 accounting firms

I couldn't think of a worse place to work than a big 4 accounting house (except maybe accenture). Who cares if they're in the times top 100 places to work for.
by sjcon
June 8th, 2008, 6:45 am
Forum: Careers Forum
Topic: SAEN Options
Replies: 2
Views: 53190

SAEN Options

Ive heard they are a poor mans Optiver
by sjcon
May 15th, 2008, 9:10 am
Forum: Careers Forum
Topic: Liquid Capital - market maker entry tests
Replies: 5
Views: 124279

Liquid Capital - market maker entry tests

These tests are pretty easy its just like the optiver and co tests; quick arithmetic, 'logic' based questions, pattern recognition etc. the name of the game is speed.
by sjcon
May 12th, 2008, 8:32 am
Forum: Careers Forum
Topic: How to answer: What capital, percentage and salary do you want?
Replies: 13
Views: 56351

How to answer: What capital, percentage and salary do you want?

How much capital can the strategy handle? what sort of returns does it generate? Surely you can ask for at least half of the profits you make on top of a reasonable salary (say 150k to start with) if they are this interested in it.
by sjcon
May 3rd, 2008, 9:09 am
Forum: Careers Forum
Topic: tiny bonus
Replies: 28
Views: 59806

tiny bonus

Yeah. It probably also means they want you to go.
by sjcon
April 24th, 2008, 12:00 pm
Forum: Student Forum
Topic: Gamma and dynamic replication - confusion
Replies: 4
Views: 55752

Gamma and dynamic replication - confusion

<t>Why do you pay a cost for rebalancing your delta? You only buy more stock if it goes up, making all your old buys good buys and same with sells. Eg, stock is going up, you are buying more getting longer, you decide to 'hedge' your gamma so you are flat deltas again (say you sold 5k stock to do th...
by sjcon
April 24th, 2008, 12:00 pm
Forum: Student Forum
Topic: Gamma and dynamic replication - confusion
Replies: 4
Views: 55752

Gamma and dynamic replication - confusion

<t>Why do you pay a cost for rebalancing your delta? You only buy more stock if it goes up, making all your old buys good buys and same with sells. Eg, stock is going up, you are buying more getting longer, you decide to 'hedge' your gamma so you are flat deltas again (say you sold 5k stock to do th...
by sjcon
March 20th, 2008, 10:04 am
Forum: Careers Forum
Topic: How to make money out of current events in the market
Replies: 67
Views: 62796

How to make money out of current events in the market

<t>Yeah i bet there are several stocks that are realising a higher vol than the market implied vol so you could buy gamma, however this could stop at any moment. Also looking at vol spreads around the world, ie the vix was way lower than asian index vols a few weeks ago so could have put on a long u...
by sjcon
March 8th, 2008, 12:59 am
Forum: Brainteaser Forum
Topic: long gamma short vega
Replies: 1
Views: 65312

long gamma short vega

Vega is increasing with time to expiry and Gamma decreasing, so an obvious way would be long the 1 month options and short the longer term ones.
by sjcon
March 8th, 2008, 12:38 am
Forum: Careers Forum
Topic: Trader over quant?
Replies: 19
Views: 63771

Trader over quant?

QuoteOriginally posted by: tsunamijonWhat are acceptable reasons for becoming a trader as opposed to a quant?Traders earn way more than Quants ever can. A decent options market maker can earn 500k after only a year or 2 trading exp
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