SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by spv205
June 12th, 2013, 2:10 pm
Forum: Technical Forum
Topic: hedging time inhomogeneous models
Replies: 5
Views: 7910

hedging time inhomogeneous models

<t>QuoteOK, we need to find a good stoch. process for the dynamics of [spot(t), vol(t)] or [short rate(t)]I think bergomi's point is that you do NOT need a good process for the spot [so Time inhomogeneous parameters are even ok]... because you are gamma/vega hedged - what you care about is a good pr...
by spv205
June 11th, 2013, 11:06 pm
Forum: Technical Forum
Topic: hedging time inhomogeneous models
Replies: 5
Views: 7910

hedging time inhomogeneous models

<t>QuoteTo me that is overfitting and no dynamics is captured well.It is a sad fact that quants have banged on about this for ever, and been loudly ignored.It is a point of fact that people have been hedging with time dependent models for donkeys years (eg just within black-scholes,or local vol mode...
by spv205
April 15th, 2013, 11:03 pm
Forum: Careers Forum
Topic: Msc Financial Mathematics - UCL, Warwick or Manchester
Replies: 39
Views: 16069

Msc Financial Mathematics - UCL, Warwick or Manchester

<t>warwick is one of leading universities for probability wherever you go it will be hard [impossible] to find a job in any of those areas.... why don't you do a msc in machine learning/big data ( eg UCL?) at least there the jobs market is growing and the level of maths/computing will tie in with yo...
by spv205
March 25th, 2013, 4:26 pm
Forum: Careers Forum
Topic: Role of a Statistician in Quant World
Replies: 18
Views: 10229

Role of a Statistician in Quant World

You must be missing frenchX Dave !!!
by spv205
March 25th, 2013, 12:11 pm
Forum: Careers Forum
Topic: do FO desk quants exist in the sense of...
Replies: 33
Views: 12705

do FO desk quants exist in the sense of...

<t>flashcrashI guess your definition is just totally confused. so as people said a bank might have 50-100 front office quants [who may or may not work directly on trading floor] who are responsible fro implementing models in C++. they are not simply fixing bugs... have a look at quantlib... that giv...
by spv205
March 12th, 2013, 11:17 pm
Forum: Numerical Methods Forum
Topic: Data Reduction using Discrete Wavelet Transform
Replies: 24
Views: 10768

Data Reduction using Discrete Wavelet Transform

<t>blackscholes - I think I understand your confusion. if I understand you, you didn't understand how to remove low frequency components from the time series - so you didn't really need wavelets at all.you want to remove low frequency components from your signal.there are essentially two ways of doi...
by spv205
March 12th, 2013, 8:08 am
Forum: Careers Forum
Topic: Any traders here?
Replies: 20
Views: 12645

Any traders here?

ftang I would say quant market was smaller than trader market and is also shrinking... market risk management is where your skills would be most appreciated
by spv205
March 12th, 2013, 8:04 am
Forum: Careers Forum
Topic: online vs traditional courses for references?
Replies: 3
Views: 8295

online vs traditional courses for references?

It depends what you mean by online - presumably not MOOCs (eg coursera) where 1000s of students are registered? they are much less stringent than standard university course. and unlikely to get any reference...
by spv205
February 21st, 2013, 11:53 pm
Forum: Careers Forum
Topic: M.S. Statistics
Replies: 5
Views: 9142

M.S. Statistics

<t>agree with ashkar. frankly you are not going to get an interview for quant researcher role. If I were the employer, I would be worried that this guy can't do vector calculus econometric modelling etc. I am not sure that a masters in stats would necc convince me that you had the required backgroun...
by spv205
February 15th, 2013, 7:02 pm
Forum: Careers Forum
Topic: Industry Transition Questions
Replies: 3
Views: 8742

Industry Transition Questions

you might want to try nuclear phynance forum... more hft guys there.
by spv205
February 11th, 2013, 5:05 pm
Forum: Careers Forum
Topic: Quant Research telephone interview CS background
Replies: 4
Views: 9462

Quant Research telephone interview CS background

I think at the very least you should know what job you are going for, and therefore what is relevant to them.eg is it for derivatives pricing - where ML is not used or for stat arb where ML is ( and SDEs are irrelevant)
by spv205
January 4th, 2013, 4:25 pm
Forum: Student Forum
Topic: are constants tradable
Replies: 15
Views: 9703

are constants tradable

isn't it enough to consider a discount bond DF_t which has value 1 at time t then you have arbitrage...?
by spv205
January 3rd, 2013, 11:07 pm
Forum: Careers Forum
Topic: Quant or Quantitative Developers?
Replies: 15
Views: 12316

Quant or Quantitative Developers?

OP asked whether he had a good chance of getting a quant job with average maths skills, not whether he could do the job.
by spv205
January 3rd, 2013, 1:59 pm
Forum: Careers Forum
Topic: Quant or Quantitative Developers?
Replies: 15
Views: 12316

Quant or Quantitative Developers?

<t>TiAmoIf I understand your maths knowledge, you frankly do not have a chance to get a quant or quant developer job. However you haven't given much description. for a quant developer job, you should have good maths skills - at engineering level - eg multivariable calculus/ linear algebra/statistics...
by spv205
December 30th, 2012, 12:16 am
Forum: Careers Forum
Topic: Where should I focus my research to position myself for quant fund?
Replies: 3
Views: 9390

Where should I focus my research to position myself for quant fund?

<t>frankly I doubt it matters which area - perhaps better to focus on getting the best publications. its doubtful that what you publish your papers have much relevance to quant fund. so they will be judging you on your "success" rather than your knowledge.its quite likely that some one in the firm w...
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