is this how we get vol ? http://www.risklatte.com/Articles/Quant ... /QF145.php

How do we determine the volatility from variance/covariance matrix ?

<t>QuoteOriginally posted by: accelasYou can do a PCA on past data to figure out the volatility. Say you have daily data on 10 different maturities for the past year. You first find the daily changes for each maturity. since you have 10 maturites you will end up having 10 daily change data set. next...

<t>I was faced with the same situation during one of my recent interviews. Although the puzle I was asked was a little different, I still confessed later on that I was aware of the puzzle from before. The interview did acknowledge me for being honest, but it would be tough for me to say whether I wa...

<t>QuoteOriginally posted by: CuchulainnFrom my limited exposure to VxWorks and what I have heard and seen, this is a minimal OS with little real support for 'real' (OOP, GP) C++ (I heard that it had no STL). Of course, objects get in the way for hard real-time, so I wonder what is meant by "C++ on ...

<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: sidkumraThe requirement is :C++ on Unix/Linux (If candidate is very good in C++, Windows is also fine)Object Oriented Programming, Multithreading, Scripting Language (Shell or Perl Script)Any thoughts, on how I should proceed. I still ...

<t>QuoteOriginally posted by: CuchulainnIf it's just C++ then you can learn enough UNIX to compile your stuff. These days they have friendly IDEs to protect you but at the end of the day you will need to learn UNIX. But as JB says, 15 days is a long shot. Make files are still in use and at the very ...

<t>Hi All,I have 4+ years of experience in C++. I have an interview (15 days from today) with goldman sachs on C++ and Unix. I have never worked on Unix and would request you to recommend me some good book(s), which would help me understand the basic fundamentals of Unix. Any tips on what type of Un...

Any idea about the placement records of these institutes ?

<t>QuoteOriginally posted by: sigmafield(2) Do I need to have significant programming experience in order to do the CQF program programming projects well? I don't have much previous programming experience and at the moment I'm just learning by self-study Matlab & SAS. Is that possible to do the ...

<t>QuoteIt is better to do MBA from London Business School or INSEAD because they are still able to place all the students in good positions.Do these MBA programs have maths,C++ in their curriculum ? If not then how would someone passing out from these institutes be considered for Quant positions ? ...

<t>Quote If not possible in IIM or some other good school, then take loan (I think the banks give loan upto Rs. 20 lakhs or $50K for studies) and come to some good school in USA / UK like all these other people and get the degree from USA / UK. These degrees are well-recognized, even though they wil...

<t>QuoteThe thing I found out that most people who don't attend these premier institutes don't have the exposure to think beyond the obvious , thus they tend to settle for less.This also holds only for a tiny population of people passing out from IIT/IIM, no doubt. Very difficult to generalize for e...