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by paullee123
September 21st, 2008, 12:27 am
Forum: Student Forum
Topic: elegant Black Scholes proof
Replies: 9
Views: 52975

elegant Black Scholes proof

<r>The most elegant derivation is the Harrison and Pliska approach that involved two change of meausres using Girsanov, followed by derivation into PDE using Feymann-Kac. It made very few assumptions aside from equity being a geometric Brownian motion. See: <URL url="http://www.russell.co.uk/images/...
by paullee123
September 15th, 2008, 7:14 pm
Forum: Careers Forum
Topic: It's taking awhile to sink in...
Replies: 46
Views: 52762

It's taking awhile to sink in...

<t>Einhorn kept his mouth shut after SEC made it illegal to "manipulate the market by spreading false rumor". He is like a modern day Galileo. What a pity SEC put a gag order on him.Anyone know which company is his next investigative target? I would short that company without a blink.Einhorn is THE ...
by paullee123
September 10th, 2008, 8:27 am
Forum: Careers Forum
Topic: CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...
Replies: 29
Views: 56120

CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...

<t>I agree with Trader Joe. 6 months of CQF or 2 year of MFE alone will not turn anyone into a first class quant. Just like 4 years of med school does not make you a neurosurgeon. But 6 months of CQF introduce the students into major areas of quantitative finance in a high impact/ time efficient man...
by paullee123
September 9th, 2008, 10:08 am
Forum: Careers Forum
Topic: CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...
Replies: 29
Views: 56120

CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...

<t>Thekeys: I don't have time to read through all the supplemental materials. I feel guilty not reading through the VBA book (but I will get to it, if my kids let me.) I know Shreve's text is not on the list, and to be honest, I looked at several books in stochastic calculus. I found that Shreve's P...
by paullee123
September 5th, 2008, 10:04 pm
Forum: Careers Forum
Topic: CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...
Replies: 29
Views: 56120

CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...

<t>CQF definitely is not "a walk in the park". Do not expect to be spoon fed, but at least they give you digested food. I don't have an advanced math background, and I can handle it. However, be forewarned that the math work shop is very intense. Definitely read up on calculus and linear algebra BEF...
by paullee123
September 4th, 2008, 3:26 am
Forum: Careers Forum
Topic: CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...
Replies: 29
Views: 56120

CQF Delegates--> How applicable is the CQF to hedge fund work; particularly stats arb, etc...

<r>GARCH was discussed briefly in Espen Haug's lecture on "Know your weapon: Advanced Greeks". He said he gave up on it as a way to model volatility. Similarly, in our reading list, Taleb's "Dynamic Hedging" also stated people gave up on using GARCH for predicting volatility (p102-103). James Hamilt...
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