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by APablo
September 19th, 2013, 12:43 pm
Forum: Careers Forum
Topic: Quant Prime Brokerage Interview
Replies: 1
Views: 8016

Quant Prime Brokerage Interview

<t>I have an upcoming interview for an equity quant position at a prime brokerage and wondered if anyone could give me advice on the types of interview questions I might be asked.I'm pretty comfortable with probability, stochastic calculus, derivative pricing, C++, and volatility modelling topics, b...
by APablo
February 20th, 2013, 5:44 pm
Forum: Student Forum
Topic: Asian option PDE question
Replies: 3
Views: 8516

Asian option PDE question

Thanks quantiquequant, that makes sense. Although, wouldn't A equal S_0 at time 0?
by APablo
February 20th, 2013, 4:21 pm
Forum: Student Forum
Topic: Asian option PDE question
Replies: 3
Views: 8516

Asian option PDE question

<t>I have a potentially dumb question about PDE solutions to Asian options.I want to price an Asian option when the underlying follows a geometric brownian motion using a PDE method. The standard approach (i.e Wilmott on QF) is to introduce a second variable A which is the average stock price. I wou...
by APablo
November 13th, 2012, 11:52 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

<t>QuoteBut that is precisely the point - if you only use it for local predictions its performance at other points is irrelevant. if I calibrate using data from this point last year, and hedge today then performance will be rubbish and your method should be better - so what?Yes, this is the key ques...
by APablo
November 13th, 2012, 8:11 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

<t>I don't think it's hiding the misspecification. It's quantifying it in terms of a likelihood score and RMSE. Using your analogy of a linear regression on non-linear data, the local regression will fit the data much better than a global regression around the local points, but will fit much worse t...
by APablo
November 10th, 2012, 6:41 pm
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

<t>QuoteYou do not understand paul's point - which is simply that essentially all the parameters in ,say, the black scholes model are stochastic ( interest rates, volatility, dividends etc) and should be modelled as such rather than deterministically and recalibrated each day. Taking it to the extre...
by APablo
November 5th, 2012, 8:27 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

<t>Thanks for your comments Alan.I haven't investigated the 3/2 model so it would be interesting to see how much better it can fit the data. I suspect it will fit the option surfaces slightly better than the AJD models, although I'd guess it will still be at the 8-9% RMSE level. One of the problems ...
by APablo
November 4th, 2012, 11:51 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

Haha. They all sound good.From a more academic point of view I'm curious about what the implications might be for dynamic hedging. I think my approach is more dynamically consistent than constant recalibration. Is there a trading strategy that could be used to exploit this?
by APablo
November 3rd, 2012, 11:40 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11949

Recalibration vs estimation of option pricing models

<t>Paul and others have previously mentioned on the forums that there are problems with daily recalibration of option pricing model parameters. I?ve been working on a paper that estimates these models using a long panel of option and return data and would be interested in any comments or feedback.In...
by APablo
October 30th, 2012, 2:04 pm
Forum: Careers Forum
Topic: P & D recruitment
Replies: 3
Views: 11122

P & D recruitment

Is Paul & Dominic recruitment still in operation? I'm not able to log on to that part of the Wilmott website any more.
by APablo
March 28th, 2012, 9:49 am
Forum: Technical Forum
Topic: Markov Switching Multifractal - Maximum Likelihood Estimation
Replies: 3
Views: 16800

Markov Switching Multifractal - Maximum Likelihood Estimation

<t>From a quick glance at your spreadsheet, I think your switching probabilities and transition matrix are wrong.What you call the "transition probability of the k-th multiplier" is actually the probability of drawing the multiplier state value from distribution M. The probability of the multiplier ...
by APablo
September 22nd, 2011, 7:44 am
Forum: Numerical Methods Forum
Topic: is there a way to speed up solving numerical ODE?
Replies: 14
Views: 22901

is there a way to speed up solving numerical ODE?

<r>MATLAB has a bunch of good ODE solvers. My understanding is that these are pretty well optimized (I would be surprised if they could be improved upon in handwritten C++).<URL url="http://www.mathworks.co.uk/help/techdoc/ref/ode45.htmlIn"><LINK_TEXT text="http://www.mathworks.co.uk/help/techdoc .....
by APablo
August 12th, 2011, 10:01 am
Forum: Careers Forum
Topic: Job prospects with a Finance PhD
Replies: 15
Views: 27419

Job prospects with a Finance PhD

<t>Thanks Gale - you've given me lots to think about. I was kind of hoping that I'd just get reassurance about industry salaries, but you're making me reconsider the academic job market in more detail.It was probably a poor choice of words to say that a top-20 US B-school is my "backup" option. It's...
by APablo
August 11th, 2011, 7:31 am
Forum: Careers Forum
Topic: Job prospects with a Finance PhD
Replies: 15
Views: 27419

Job prospects with a Finance PhD

<t>@emh: Yes, I think you are spot on about the asymmetry of switching between industries. If it was easy to go from industry to academia, this wouldn't be such a big decision.@traderjoe: I think you are right about academic salary progression. At Stanford GSB, the ass. profs get $170K and a prof. w...
by APablo
August 10th, 2011, 5:44 pm
Forum: Careers Forum
Topic: Job prospects with a Finance PhD
Replies: 15
Views: 27419

Job prospects with a Finance PhD

Quoteso, the guy was getting 50K and now wants to jump to 200K. nice.£50K three years ago without a PhD and in the insurance industry. I want to jump as high as I can, although I'm hoping this thread can help me to manage my expectations.
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