Hmm...I found this interesting. For exponential Levy processes, somebody has posted an exact formula for the implied volatility smile. The derivation is very easy to follow. http://arxiv.org/abs/1207.0233

So, it turns out that option (a) is 33% faster than option (b)...or, depending on how you look at it, option (b) is 50% slower than option (a). Definitely useful to know.

No. I don't use the SDE toolbox. I have access to it. So, it would probably be the wise thing to do. But, I prefer to just write the code myself so that I am 100% sure I understand it.

<t>Thankfully, I don't have to do a lot of MC in my daily work. I just do it once or twice a year. So, investing a significant amount of time into optimizing my code isn't really worth the effort. But, easy changes that have a significant impact on computation time -- like those mentioned above -- a...

<t>I'm running some rather computationally intensive monte carlo simulations of SDEs, and I am wondering what is more efficient:a) for a sample path of N steps, generate N normal random variables and then call their values at each step. e.g. (in Matlab)dW = sqrt(dt) * rand(1,N)for i = 1:NX = X + dW(...

<t>QuoteOriginally posted by: quantmeha bound copy of thesis is a must, it's not a gift.you can present an expensive souvenir from your travels, something local and hard to find in your place. some countries have customary gifts, like sabres. you have to take into account a local tradition where you...

<t>I recently defended my dissertation and I would like to give my adviser a gift for all of his support over the past 5 years. Unfortunately, I am at a loss to think of an appropriate gift. In the past I have given him bottles of wine from different parts of the world that I have traveled to. So, I...

<t>QuoteOriginally posted by: katastrofaWhat some of you may fail to appreciate is that the hiring process in the academia looks a bit different. It involves a lot more personal contacts with various people acting on your behalf. Hence, ditching the group who hired you 6 months after starting will b...

<t>@daveangelI completely agree. It is much easier to state good intentions than it is to follow through on them. If neither of the banks give me anything firm before my academic deadlines, then (at this point at least) I will take one of the academic jobs. Now, obviously if I do that, and a bank co...

<t>Regardless of what I could or could not do in theory, I would feel quite badly about accepting a job at a university and then quitting to join a bank before I taught a single class. For me, this isn't just an issue of honesty and respect. My adviser and my co-authors have written letters on my be...

<t>I was finally contacted by somebody at one of the banks today. Just a quick note to let me know that I was "still on the radar" so to speak. But, I still don't have any information about the time-frame of the hiring process. As much as I would like to work at one of these banks, there's no way I'...

I told both banks in a very non-threatening way that I have academic offers on the table with commitment deadlines in late March. And I re-iterated that my priority was to pursue a position with the banks. So, the situation should be clear to them.

<t>In January, I had two interviews with two separate investment banks -- one in person, one over the phone. I thought both interview went well. And, both interviews ended with the interviewer saying that they thought I would be a good fit at their company and that we would be in touch soon regardin...

<t>Hmm...it doesn't sound like anybody here would encourage me to stay in academia. Would any of you guys mind telling me how far you went in academia before deciding to go work at a bank? i.e. right out of grad school, after a postdoc, after a few years as an assistant prof, etc. I'm not asking you...

<t>QuoteOriginally posted by: traderjoe1976 The politics in academia can be pretty nasty. They fight the biggest battles over the most insignificant things. The recruitment cycle occurs only once per year and typically spans several months. So it is not so easy to say "FU, I don't need this job.". T...