- May 2nd, 2013, 6:10 pm
- Forum: Careers Forum
- Topic: Hedge funds based in Singapore
- Replies:
**2** - Views:
**8372**

<t>Hi, will be in Singapore during the next few years and am considering a switch to finance (coming from academia, computational stats/prob). I was wondering whether there were Singapore-based hedge funds that use exclusively quantitative strategies? And in general, what are the big players over th...

- August 22nd, 2012, 10:08 am
- Forum: Careers Forum
- Topic: consulting in IBs and Funds
- Replies:
**15** - Views:
**13226**

How common is it for academics to do consulting jobs in IBs and funds? Are there real opportunities for all these guys in academia looking for making a little bit $ outside of their main job?

- August 19th, 2012, 9:10 am
- Forum: Careers Forum
- Topic: Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)
- Replies:
**8** - Views:
**14813**

<t>I would also say that there is now quite a gap between what is done inside academia and inside IBs/funds. Perfect sampling of diffusions, very advanced sequential MC and particle filters methods, particle filter inside MCMC schemes, ABC methods, etc... All these techniques are well known in acade...

- August 1st, 2012, 11:16 am
- Forum: Careers Forum
- Topic: Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)
- Replies:
**8** - Views:
**14813**

<t>First, Bayesian approaches are somewhat limited in IB. Secondly, MCMC methods are sometimes incredibly slow and it is often hard to tell if the invariant distribution has been reached (or the algorithm is still in the "burn-in" period). Indeed, one can see that as an opportunity for investigating...

- July 17th, 2012, 8:28 am
- Forum: Brainteaser Forum
- Topic: 2 by 2, 52 cards
- Replies:
**8** - Views:
**12618**

It's just a waste of time since you don't get any money ... I guess I would not pay much for entering this game ...

- June 30th, 2012, 3:14 pm
- Forum: Technical Forum
- Topic: Calibration of intractable models?
- Replies:
**20** - Views:
**13655**

So if I understand correctly, there is almost no model used in banks that cannot either be solved by the use of a Fourier transform or a PDE approach. What about high dimensional settings where these two approaches fail?

- June 27th, 2012, 12:19 pm
- Forum: Technical Forum
- Topic: Calibration of intractable models?
- Replies:
**20** - Views:
**13655**

QuoteOriginally posted by: AminThis is just one way to do it among others. Thanks Amin, that's very helpful. Would you mind developing slightly more on the other methods you had in mind?

- June 26th, 2012, 7:57 pm
- Forum: Technical Forum
- Topic: Calibration of intractable models?
- Replies:
**20** - Views:
**13655**

<t>Suppose that one observes the price of a few options prices given by where is the pay-out function, there is no interest rate to stay simple, and the process is a (possibly multidimensional) diffusion with parameter . Suppose also that there is no closed form for the price so that the only way to...

- May 15th, 2012, 10:06 am
- Forum: Brainteaser Forum
- Topic: Number plates
- Replies:
**24** - Views:
**15417**

QuoteOriginally posted by: crito2I don't get alekk solution when he says its easy to construct a set of 10^5 solutions:The modulo "trick" simply ensures that if two plates agree on 5 digits then they must agree on the whole 6 digits.

- May 9th, 2012, 10:56 pm
- Forum: Brainteaser Forum
- Topic: Number plates
- Replies:
**24** - Views:
**15417**

<t>we can do more than 70000 !The answer is exactly 10^5. Indeed, by the pigeonhole principle, we cannot have more than 10^5 since otherwise two plates would share the same first 5 digits. It is also easy to construct a set of 10^5 plates that meets the requirements: issue plates with all possible 5...

- March 31st, 2012, 5:07 pm
- Forum: Brainteaser Forum
- Topic: two heads
- Replies:
**19** - Views:
**203459**

This is standard Markov chain exercise -- see the problem as the hitting time of a certain (very simple) markov chain, do a first step analysis, solve the resulting linear system of equation, the end.

- March 13th, 2012, 3:22 pm
- Forum: Brainteaser Forum
- Topic: Perturbations on Crazy Airplane Passenger Question
- Replies:
**9** - Views:
**16415**

@MCarreira: oh I see your point! I was implicitly assuming that grandma's seat is the seat number 1 (as this was the classical version I knew).

- March 13th, 2012, 1:27 pm
- Forum: Brainteaser Forum
- Topic: Perturbations on Crazy Airplane Passenger Question
- Replies:
**9** - Views:
**16415**

<t>QuoteOriginally posted by: MCarreiraWhat about the passenger who had the ticket for the seat 1 ?He's displaced, and may occupy the seat of the last passenger.This occurs with probability 1/100, which is very small. And if the answer were still 1/2, it is more or less clear that the probability wo...

- March 13th, 2012, 10:58 am
- Forum: Brainteaser Forum
- Topic: Perturbations on Crazy Airplane Passenger Question
- Replies:
**9** - Views:
**16415**

<t>Quoteoriginal question: P(100) = 1/2A. still around 1/2 (does not change much with the probability)Are you sure that the answer does not change. If the probability of going to seat 1 is 90%, it is almost sure that the last passenger will get his own seat. Indeed, if any passenger sits at seat 1 b...

- March 12th, 2012, 8:46 pm
- Forum: Brainteaser Forum
- Topic: Perturbations on Crazy Airplane Passenger Question
- Replies:
**9** - Views:
**16415**

<t>A (perturb): this i equivalent to the following problem. Start from a seat uniformly at random and call it 1 <= S(1) <= 100. If S(k) <= 99 then S(k+1)=1 with proba 90% or is chosen uniformly between S(k)+1 and 100. What is the probability of reaching the seat 100 before the seat 1?Indeed, this is...

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