Raible's PhD thesis?

<t>Hi!Sorry, I am re-posting this from the Student forum because I think it may be better suited here:Does anybody have an experiences regarding the differences between a normal knock-out barrier option and a turbo warrant (callable bull bear contract in asia). I know that the rebate (cash vs exotic...

<t>Hi!Does anybody have an experiences regarding the differences between a normal knock-out barrier option and a turbo warrant (callable bull bear contract in asia). I know that the rebate (cash vs exotic) is different but I am sure this is not the only difference.Really I am interested to know why ...

Thank you very much that is very interesting!

<t>Thanks very much for your comments guys.So my portfolio is not changing over time as I am indeed just looking at the one-asset case.The situation is that I want to compare the VaR of two different investments (each could be an asset or a portfolio of assets) and, based on the results, conclude th...

<t>Hi,How would one use the value-at-risk (or conditional value-at-risk, or other similar risk measures) to compare the riskiness of several different investments?We could, for example, calculate the x-day VaR at the y-percentile and then compare the numbers. But these VaR values change every day. S...

Hello,How likely is it to get a quant developer job at a large investment bank with only an MSc in mathematics?Which MScs do you recommend as the best? Including MSc Mathematics and Finance and MSc Applied Mathematics?Thanks

Thanks very much Alan.

Hi I was wondering if anyone could recommend a good PhD level internship in1) Derivatives pricing & trading2) Algorithmic trading3) Portfolio allocation and asset management.And perhaps share any thoughts on the JP Morgan Quantitative off-cycle internship advertised on their website.Thanks

Hello, would anybody know of any open problems that the industry faces regarding stochastic filtering theory?

<t>Thanks, that makes sense. I was confused by the idea of miss-specified models and having multiple parameter selections that could give you the same squared-error. I thought maybe that parameter estimation using a time-series (as apposed to a calibration to a cross section) solved this problem. I ...

<t>Hello, I would like to calibrate a term structure model e.g. Vasicek to market data. I see a lot of people use time series data and do a parameter estimation.But what is wrong with just taking a cross section of option prices and minimising square errors using fminsearch in Matlab?Would anybody k...

Hi, does anyone know where I can get the full derivation of the cox ingersoll ross bond option price please?

Hi, does anyone know if the UK government zero coupon yields are quoted as APR or EAR on, for example, Bloomberg?

<t>I would like to make a 2-factor model with 2 variance gamma processes driving uncertainty in 2 economies. I would like them to be correlated. Does anyone have a reference algorithm that simulates variance gamma in this way?If not I was thinking to have the same gamma process subordinating two ind...