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

Hedge funds based in Singapore

<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...
by Alekk
August 22nd, 2012, 10:08 am
Forum: Careers Forum
Topic: consulting in IBs and Funds
Replies: 15
Views: 13226

consulting in IBs and Funds

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?
by Alekk
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

Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)

<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...
by Alekk
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

Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)

<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...
by Alekk
July 17th, 2012, 8:28 am
Forum: Brainteaser Forum
Topic: 2 by 2, 52 cards
Replies: 8
Views: 12618

2 by 2, 52 cards

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

Calibration of intractable models?

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

Calibration of intractable models?

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

Calibration of intractable models?

<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...
by Alekk
May 15th, 2012, 10:06 am
Forum: Brainteaser Forum
Topic: Number plates
Replies: 24
Views: 15417

Number plates

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.
by Alekk
May 9th, 2012, 10:56 pm
Forum: Brainteaser Forum
Topic: Number plates
Replies: 24
Views: 15417

Number plates

<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...
by Alekk
March 31st, 2012, 5:07 pm
Forum: Brainteaser Forum
Topic: two heads
Replies: 19
Views: 203459

two heads

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

Perturbations on Crazy Airplane Passenger Question

@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).
by Alekk
March 13th, 2012, 1:27 pm
Forum: Brainteaser Forum
Topic: Perturbations on Crazy Airplane Passenger Question
Replies: 9
Views: 16415

Perturbations on Crazy Airplane Passenger Question

<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...
by Alekk
March 13th, 2012, 10:58 am
Forum: Brainteaser Forum
Topic: Perturbations on Crazy Airplane Passenger Question
Replies: 9
Views: 16415

Perturbations on Crazy Airplane Passenger Question

<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...
by Alekk
March 12th, 2012, 8:46 pm
Forum: Brainteaser Forum
Topic: Perturbations on Crazy Airplane Passenger Question
Replies: 9
Views: 16415

Perturbations on Crazy Airplane Passenger Question

<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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