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by londoner
August 24th, 2016, 2:24 am
Forum: Careers Forum
Topic: Treasury Quant
Replies: 0
Views: 978

Treasury Quant

What do treasury quants do?  Do they have a good chance to become a trader?  What is the typical bonus of a treasury quant/trader?

Thanks.
by londoner
March 2nd, 2016, 3:20 am
Forum: Careers Forum
Topic: Is it realistically possible to become a quant
Replies: 3
Views: 2985

Is it realistically possible to become a quant

Why do you wanna work at hedge funds as a quant? You might not do more interesting work there, and the pay is highly variable or not better than the Silicon Valley.
by londoner
December 18th, 2015, 5:28 am
Forum: Numerical Methods Forum
Topic: Calculating the delta of an option using a monte-carlo simulation of the underlying
Replies: 46
Views: 8535

Calculating the delta of an option using a monte-carlo simulation of the underlying

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: barnyAs per Glasserman and what outrun says, it doesn't matter that the payoff is not differentiable at S=K since the probability is zero. But the context IMO is calculus and not probability and computing greeks at K??? Sets with mea...
by londoner
December 18th, 2015, 5:23 am
Forum: Numerical Methods Forum
Topic: Calculating the delta of an option using a monte-carlo simulation of the underlying
Replies: 46
Views: 8535

Calculating the delta of an option using a monte-carlo simulation of the underlying

<r>QuoteOriginally posted by: CuchulainnQuoteThe most basic approach is to price an option with MC and then price it again with MC but then do it for S+h and S-h to get the delta/gamma. That's what my 5 year old son would do.Doesn't mean it's correct <E>:D</E> This approach is probably not even wron...
by londoner
December 4th, 2015, 3:21 pm
Forum: Technical Forum
Topic: Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded
Replies: 12
Views: 3628

Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded

Can you arrange the 50 fixed correlations so that the top left corner of the correlation matrix is positive definite? If you can do that, you can apply optimization algorithms such that the top left corner of the matrix is fixed. That should solve your problem.
by londoner
November 30th, 2015, 6:17 pm
Forum: Technical Forum
Topic: estimate the correlation matrix among short rate processes
Replies: 0
Views: 1871

estimate the correlation matrix among short rate processes

<t>Let's say we model an OIS short rate process with the Hull-White one-factor model, and there is one OIS short rate process for each currency. From what I gather, usually the correlations between short rate processes are estimated using historical data. The question is what historical data we shou...
by londoner
November 30th, 2015, 1:51 pm
Forum: Careers Forum
Topic: publish or sell?
Replies: 19
Views: 5043

publish or sell?

QuoteOriginally posted by: katastrofa Mind that you can still keep the real secrets to yourself while talking about / publishing the details of your method if they are in the numerical solutions. Why? Once the details of the method are published, there are no secrets anymore.
by londoner
November 29th, 2015, 1:57 pm
Forum: Careers Forum
Topic: publish or sell?
Replies: 19
Views: 5043

publish or sell?

<t>QuoteOriginally posted by: CuchulainnAFAIK Matlab is used as a 'second opinion'. Then a black box solution is OK I suppose. They might accept you black box solution.Matlab is used as a language in production in some pension plans AFAIK. Anyway, that's not the point. I can implement the methodolog...
by londoner
November 28th, 2015, 7:00 pm
Forum: Careers Forum
Topic: publish or sell?
Replies: 19
Views: 5043

publish or sell?

<t>Maybe I over-generalized my statements. Let me put it this way. This is a fundamental technique in probability/statistics, and I have no doubt it can be applied in the mean-variance world. Actually, its applications can be very wide, but let's not go there. Let's say my ultimate goal is to moneti...
by londoner
November 28th, 2015, 2:36 pm
Forum: Careers Forum
Topic: publish or sell?
Replies: 19
Views: 5043

publish or sell?

I have invented a new methodology that can benefit the buy side (asset management firms, hedge funds, pension plans, insurance companies, etc.) on making portfolio management decisions. Shall I publish the methodology or turn it into a software and sell it?
by londoner
November 23rd, 2015, 5:20 pm
Forum: Technical Forum
Topic: Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded
Replies: 12
Views: 3628

Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded

Given a 6x6 non-PSD correlation matrix, do you want to construct a PSD correlation matrix with a sub-matrix (say, 4x4) fixed? If so, I don't think any methods in the literature help you achieve this.
by londoner
August 5th, 2015, 1:22 pm
Forum: Careers Forum
Topic: What are the options if you are interested in model development rather than model validation?
Replies: 4
Views: 4233

What are the options if you are interested in model development rather than model validation?

<t>I have no doubt model validation could be a first step toward model development. However, my question is more concerned about the possible destinations. Depending on what models I validate, the gained experience should be helpful for model development roles at 1. and 2. Are these the only realist...
by londoner
August 5th, 2015, 1:17 pm
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5308

Which banks has the best/most interesting model validation work?

<r>Can you recommend a few small banks that do interesting model val work? and you are right about my definition of "interesting".QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: londonerAccording to this forum, model validation in general is not very interesting and hard to get o...
by londoner
July 31st, 2015, 4:02 pm
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5308

Which banks has the best/most interesting model validation work?

According to this forum, model validation in general is not very interesting and hard to get out of it. Are there any bright spots in the industry about model validation?Perhaps, someone who have done validation work in more than one bank can share their experience?
by londoner
July 31st, 2015, 3:59 pm
Forum: Careers Forum
Topic: What are the options if you are interested in model development rather than model validation?
Replies: 4
Views: 4233

What are the options if you are interested in model development rather than model validation?

Is that a high probability transition from model validation to model development? Obviously, there are more model validators than developers...QuoteOriginally posted by: Marco72Model validation can be a first step towards model development.
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