I dont think that recruiting managers care about where you got your PhD or MSc. It is all about your skill set...

<r>Have you read this document?<URL url="http://rady.ucsd.edu/faculty/directory/timmermann/docs/asset%20allocation_march02_2010.pdfHope"><LINK_TEXT text="http://rady.ucsd.edu/faculty/directory/ ... 10.pdfHope">http://rady.ucsd.edu/faculty/directory/timmermann/docs/asset%20allocation_march02_2010.pdf...

Hansi,There are several good packages in R for optimization. For your case, I would use "DEoptim" and use your restrictions as penalties in the objective function. Hope this helps!

<r>I guess some of you have read articles that try to explain the relation between lunar phases and stock returns. I would love to know if Madoff used his 67.5K+ USD dollar watch to trade...Or it was just an act of desperation...Link:<URL url="http://www.huffingtonpost.com/2010/11/14/bernard-madoff-...

QuoteOriginally posted by: daveangelQuote I have only seen 3 hot women in Birmingham they must have been out of towners who were lost in the bullringAfter a year, your defenses will go down. Thus, each girl will seem above average.....

<t>QuoteOriginally posted by: piterbargQuoteOriginally posted by: pnrodriguezHi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?A free chapter of our book on LMM is available hereVladimirI just got V1 and 2. Looking forward to reading the...

I found this, in case anyone is interested....http://www.cirano.qc.ca/pdf/publication/2010s-23.pdf

Either someone will have the bright idea (and/or time) to write a book on how to use and extend QuantLib or we all need to start donating $$$.

Hey Quantmax,Thanks for the links!So which are the current "models" to price and hedge complex interest rate derivatives?

Hi everyone,Is anyone aware of a paper that extends a Libor Market Model with time-varying correlations and vols?

Cuchulainn,Have you seen this?http://z.cs.utexas.edu/wiki/flame.wiki

<t>QuoteOriginally posted by: spv205The problem with neural nets is that it was developed by computer scientists rather than statisticians. So they ignored all the basic theory/practise of statistics.Neural Networks and Projection Pursuit Regression have many similarities. In fact, a NN with one hid...

take a look at this program....http://www.edhec-risk.com/AIeducation/P ... tive_track

I agree with fab10ab that you can use bootstrap. However, you have to simulate the null hypothesis first. Once you obtain the R-square distribution of the null hypothesis, it is very easy to verify if your R-square is significant.

Hi everyone,I am currently looking for books and/or working papers that talk about Asset-Backed Securities from a modeling and risk management perspective. Any thoughts? Thanks!