hehe thanks - yeah i figured as much. My degree mostly focused on stochastic calculus and modelling so just going to read through so more VaR stuff - thanks

Not at all! I have only ever used MatLab and VBA - which is why I am trying to avoid roles where programming would be necessary. I was under the belief that within market risk there was very little actual coding? ( I know some people in market risk who have never actually coded before!)

<t>Hi everyoneI am a recent graduate and I am going for my first interview for a job in market risk. I am not sure what type of prep I should be doing for a first interview..In terms of technical questions should I recap VaR, the greeks, Monte Carlo, etc?Any suggestions on what to focus on would be ...

Thanks allJust trying to get more familiar with Var and VBA before I start working.

Hi allI just graduated from a financial mathematics degree and in my spare time (relocating to the UK shortly) I would like to read up on VAR. Besides Jorion's book what other books do you recommend?Thanks

<t>Thanks for your reply I am still a bit confused though. In a paper by Derman it states the the sticky strike rule is that the implied vol of an option is indep of the underlier. If spot moves to 95, should the atm vol not remain unchanged at 20. Sticky Delta rule is that implied vol is dep on S a...

sorry to post twice - must of accidently hit the button twice

<t>Hi everyoneI am getting confused with the sticky strike/delta jargon. The sticky strike surface is simply a matrix comprising of the implied volatilities corresponding to various maturities (say each row is a specific maturity) and strikes (each column corresponds to a specific strike). This surf...

<t>Hi everyoneI am getting confused with the sticky strike/delta jargon. The sticky strike surface is simply a matrix comprising of the implied volatilities corresponding to various maturities (say each row is a specific maturity) and strikes (each column corresponds to a specific strike). This surf...

sorry got it all working - careless error

sorry got it all working - careless error

<t>sorry about this - fixed up an error in the code and I am getting a better pricing result but still not an accurate one! Using the following methods with the same inputs as the code I obtainexplicit:5.5903exact:5.5913implicit:5.5665This cannot be right. Please can someone tell me where I am going...

<t>HiI am new to fdm and am trying to price an up-and-out call option using finite differences. I have found some valuable code on the web and have tried to modify it in order to price this option using implicit methods. However when I compare the solution to the exact solution (and the solution usi...

<t>HiI am new to fdm and am trying to price an up-and-out call option using finite differences. I have found some valuable code on the web and have tried to modify it in order to price this option using implicit methods. However when I compare the solution to the exact solution (and the solution usi...

<t>Thank you both for your repliesI am extremely new to local volatility and am finding that the implementation is a nightmare! I have found some code on quantcode for local vol, and it uses a formula for dupire that I am unfamiliar with.It comes from a thesis by Elder, John, 2002. ”Hedging for Fina...