<t>Thanks, FrenchX. I am trying to assess a potential offer from them versus the perspective to work on the derivatives pricing side (I am fortunate to have skills in both areas). Doing econometrics seems to be less of an interest for a mathematician, but the key argument they put forward is that th...

<t>Hi. Has anybody worked for or heard about the linear quantitative research team in JP Morgan? They seem to be far from the typical quant work at investment banks and closer to hedge fund type of culture. How good are they compared to the other quant departments at JP and to rival top-tier banks (...

<t>QuoteFor this you need to assume some surface. Is it skewed?Yes, the surface is assumed to have the usual skew. QuoteDue to skew effects, I would say Stoch Vol > Local Vol > Merton Is there any intuition behind this result? I think here it is important not to use generic statementslike "loc vol u...

<t>We are given three pricing models and a knock-out barrier option. The models are local vol, stoch vol, and Merton. Suppose that all the models are calibrated and give the same price for the option with maturity T. What can you say about the relative order of prices for a similar knock-out with ma...

It is a solution.

One of the standard counterexamples:Take X Normal. Then X and X^2 are uncorrelated. Yet X vs X + X^2 and X^2 vs X+X^2 have positive correlation.

<t>QuotePeople that have lived in the west, but speak russian and come back to russia are pretty rare.You might be surprised when you come. As of now, the number of people who spent part of their life abroad is getting substantial. Many people study in Europe or in the US and come back after a few y...

Does anyone here work in RiskLab (Munich)? How do they approach non-German speaking people? What kind of corporate culture do they have?

<t>QuoteYes, your factorization seems fine to me. Here is an alternative pde proof: Let u(t,lambda,r) = your orig. expectation. It solves u_t = L1 u + L2 u - (lambda + r) u on (t,T) where L's are the respective process generators and u(T,lambda,r)=1. But the solution ansatz u = u1(t,lambda) u2(t,r) ...

<t>QuoteOriginally posted by: ehIf Z=X+Y, for example, then P(X<x,Y<y | Z) is not equal to P(X<x)P(Y<y). My definition of conditional independence is P(X \in B1, Y \in B2 | Z) = P(X \in B1 | Z)P(Y \in B2 | Z). I guess it is equivalent to the definition of list.I see that this thread went off the ori...

<t>I agee with mynetself. Stroustrop is not a lucky choice of book to start with. I once considered doing the same when I needed to recall my undergraduate courses in C++ for job interviews. I quickly left this idea for good and started with a self-study guide with simple-to-medium exercises and sol...

Under no-arbitrage implied volatilities for calls and puts in the Black-Scholes model are the same. The Black-Scholes price is a no-arbitrage price.

<t>Hi, If we have 3 random variables X, Y, Z where X and Y are independent, does it imply that X and Y are conditionally independent (conditioned on Z)? If yes, how to prove it?In reduced form models for credit risk we often factorize conditional expectations (of the form E(XY|Z)) after we assume th...

<t>I actually happened to work in exactly this kind of position in one of the big Eastern European capitals. I liked it. At that time the quant team affiliated with EY was probably the only place to do this kind of job in the city. The pay was indeed not high compared to what you could do in investm...

<t>Thank you for comments, RDK. QuoteWhat's the specific theorem (and page) number in K&S for your statement?Section 5.5.4.C Theorem 4.20In this theorem the authors assume that the martingale problem is well posed, which is equivalent to the well-posedness of the SDE in the context of locally bo...