Hello, I have recently left a senior quant role at a European Bank in London. I have an opportunity to join a global macro fund as a quant research consultant. The mandate of the consultancy project would not be that of a quant developer, but more that of redeveloping some of the strategies I list o...

<t>Thanks Alan, Frolloss.To me, the conondrum is the following: the var swap has a static replication so its value is fixed by the smile at maturity, regardless of the underlying dynamics one assumes (I guess). SABR can match the smile, at least in some markets and in the liquid/traded range of stri...

<t>Hi Alan, thanks for your reply. I rushed a bit when writing the first post, so I assume that wasn't totally clear.In fact, I haven't computed the r.h.s. of the equation above: I have just computed the l.h.s. of the expression within the SABR model. What one gets is a very compact formula for the ...

<t>Hello all,I have a simple question many of you might be able to assist with.I am assessing the stability of the SABR model for pricing variance swap contracts. One can easily derive a close formula for the var swap strike under SABR, and the formula is 100% consistent with the corresponding MC si...

<t>Hi acastaldo, thanks for your reply.The paper I had seen was another one. The key point was that the computed probability of large trends to happen, before they did happen, was exponentially suppressed. Based on that they were arguing on the inadequacy of pricing models and/or Random walk hypothe...

<t>Hello everyone, a few months ago I found (most likely on this site) a paper where the efficient market hypothesis was tested during crisis times, by computing the conditional probability of large moves on the underlying variable by using the information available (including on the implied volatil...

<t>OK, let's make believe there is no crisis and let's just talk about money.I work in a top-tier European bank, continental Europe, front office role (not desk quant though).What is the normal year end increase of the base? 10% per year or less?Let's assume I started from 60k€ or slightly less.What...

<t>This posting contains one blunder -- I never asked another person whether I should use I or we. How on earth could you think I was asking that?? I said that it was correct to use "we" in that context. If you used that level of accuracy while coding (confusing a statement with a question) you woul...

come on,you want to be an investment banker, you discuss of personality, and you ask other people whether you should use I or we, or if you should ask another question. In my opinion all this is pointless: if the interview went well, you move forward, otherwise you don't. el tigre

They were good, combining a sophisticated academic-type approach with a more mundane search for moneyel tigre

<t>Is it a fund in Wall street?I reached the onsite interview in summer 07, where I was not selected as the chosen candidate (my second interview for finance). Three preliminary rounds, two by phone + one with a few exercises to do: the latter was quite demanding.Mostly statistics, not trivial thoug...

<t>The postdoc does not add any value with respect to the PhD title.Even if you say, I was half my way through to get a permanent position as a professor, they don't care and won't pay you more because of this.or at least this is what it's happening to me, where I could not monetize at all the two y...

So, I was offered 10% less than I was earning at the moment. Room for negotiation or just pack things and go where they give you more?I ask because it's the first time I have to face such an ugly situationel tigre

so I should compute my Sharpe ratio to get a good salary?

<t>OK guys,I was able to get a very good job (major European IB), despite all the difficulties of the market, yet my position presented a list of question marks: on top of the list was the temporary nature of the contract. Now they are going to transform the temporary job into a full time one, as th...