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by franck
November 24th, 2005, 2:24 pm
Forum: General Forum
Topic: Brownian bridge
Replies: 10
Views: 136240

Brownian bridge

This is a simple Wiener Integral and it's gaussian.For the proof see the definition of the wiener integral.Expectation is 0 (Martingale)and variance is (1-exp(-2kT))/2k (Isometry property)
by franck
November 10th, 2005, 1:28 pm
Forum: Careers Forum
Topic: Need to know French or not?
Replies: 9
Views: 131678

Need to know French or not?

It depends on the university.I know that you can do a phd in Finance without knowing Frenchin Toulouse 1. I know a lot af chinese, and russian who get theirPhd there.
by franck
November 10th, 2005, 1:27 pm
Forum: Careers Forum
Topic: Need to know French or not?
Replies: 9
Views: 131678

Need to know French or not?

It depends on the university.I know that you can do a phd in Finance without knowing Frenchin Toulouse 1. I know a lot af chinese, and russian who get theyPhd there.
by franck
February 7th, 2005, 10:49 pm
Forum: General Forum
Topic: Do you "REALLY" understand the foundation of BS
Replies: 58
Views: 175684

Do you "REALLY" understand the foundation of BS

<t>I think It always depends on the hypotheses.If you suppose the efficience of markets, it can be proved mathematically that the drift does not matter.For proof, you can see the book of Rochet and Demange(Methodes mathematiques de la finance). Sorry the book is in french.if you don't believe in mar...
by franck
February 7th, 2005, 10:16 pm
Forum: Careers Forum
Topic: Is it worthwile to get a MFE
Replies: 12
Views: 162542

Is it worthwile to get a MFE

Why do you want to get a MFE?
by franck
February 7th, 2005, 10:13 pm
Forum: Careers Forum
Topic: Salary Question
Replies: 4
Views: 161839

Salary Question

<t>Hi,with a phd and without financial experience : average starting salary in montreal is between 50K and 60K canadians dollars.I worked in Montreal for 2 years.I' m now in Toronto where the salary it's much higher(60K-80K).I don't know about New York, but I assume 70K-100K in US dollars for a phd....
by franck
February 7th, 2005, 5:32 pm
Forum: Careers Forum
Topic: Salary Question
Replies: 4
Views: 161839

Salary Question

Do you have finance experience?
by franck
February 7th, 2005, 5:30 pm
Forum: Programming and Software Forum
Topic: Slow excel from lots of data!
Replies: 18
Views: 168863

Slow excel from lots of data!

Hera are useful typs to speed up Excel-vbahttp://www.avdf.com/apr98/art_ot003.html
by franck
February 7th, 2005, 5:23 pm
Forum: General Forum
Topic: Do you "REALLY" understand the foundation of BS
Replies: 58
Views: 175684

Do you "REALLY" understand the foundation of BS

Indeed, in complete market as in the BS world, Expected return does not matter. But this is not the case in real world(incomplete market).
by franck
February 7th, 2005, 5:15 pm
Forum: Technical Forum
Topic: Ant Colony Optimization in Financial Engineering?
Replies: 13
Views: 162776

Ant Colony Optimization in Financial Engineering?

you can check this book also.Ant Colony Optimization by Marco Dorigo and Thomas StützleMarco Dorigo is the inventor of this method.
by franck
February 7th, 2005, 5:12 pm
Forum: Technical Forum
Topic: Ant Colony Optimization in Financial Engineering?
Replies: 13
Views: 162776

Ant Colony Optimization in Financial Engineering?

In the book "Methaheuristiques pour l'optimisation difficille", there is a chapter on ant colony optimization.But as you notice, the book is in french.
by franck
December 24th, 2004, 3:15 pm
Forum: General Forum
Topic: gaussian distribution trasform
Replies: 9
Views: 167005

gaussian distribution trasform

The problem is when you don't know the distribution of your data.In this case Box-Cox transformation
by franck
December 24th, 2004, 3:01 pm
Forum: General Forum
Topic: Advice on Math and Finance Courses
Replies: 10
Views: 167852

Advice on Math and Finance Courses

Thank you.
by franck
December 24th, 2004, 2:52 pm
Forum: General Forum
Topic: Advice on Math and Finance Courses
Replies: 10
Views: 167852

Advice on Math and Finance Courses

Errrb,I don't know what you put in "sophisticated quantitative strategies".But if you use Statistical methods in those strategies, you need measure theory. By the way I was a dancer in my previous life.Merry Christmas
by franck
December 24th, 2004, 12:33 pm
Forum: General Forum
Topic: Advice on Math and Finance Courses
Replies: 10
Views: 167852

Advice on Math and Finance Courses

Errrb,don't forget that a probability is a measure !!!!!!!!!!Franck