Well, for one, we almost never speak in all caps. That went out of fashion with COBOL. Beyond that, “it depends”. It depends on your education, prior experience (if any), physical location, visa status (in some cases), and what kind of quant job you are looking for - they run the gamut from large ba...

No, this guy is good. He just put forth the best argument for crypto, NFT, blockchain, etc that I’ve seen. We live in a simulation and, borrowing words from Freddy Mercury, nothing really matters!

This is hardly hypothetical. Models in this spirit have been around since the 70’s in the academic literature, and I have a former colleague who ran a significant corporate bond portfolio for a large Chicago based hedge fund based on somewhat richer versions of such models. Extracting implied parame...

I hate to say this, but my best (semi-informed) guess would be that this is the exact reason for the nightly logout: to thwart excessive automated data downloads via the terminal. In the minds of Mike and Tom Secunda and other such people behind the architecture, the terminal is for interactive use ...

Oldrich Vasicek had figured it out by the mid 70’s. Look for it around equation 20 in his classic “An equilibrium characterization of the term structure”, JFE 1977. There is a lot more to that paper than an OU short rate model…

I wish to pull data from the BBG terminal using the python API. I need to progammatically check that I'm logged in to the Terminal, and if I'm not not, I need to get logged in programmatically. Is this even possible? Any hint/advice on this is much appreciated. Thank you. I’m pretty sure you cannot...

Got it. It’s a subtlety about the finger movements. Bringing your thumb and forefinger together can turn an act of groping into pinching.

I agree, I don’t think it is magic. But it is universal, at least in complete markets. You can get there via a martingale representation theorem or a separation of the Radon-Nikodym derivative. The aspect that is still somewhat mysterious to me is that the natural numeraire is equal to the growth op...

Wait - was he actually accused of drunkenly pinching someone? That would be too perfect!

Yes

Sorry, the volatility in the process for A should of course be [$] \lambda [$].

This is even simpler to carry out in a binomial model, but using the BSM environment and standard notation, define the risk premium as [$] \lambda = \frac{\mu - r}{\sigma} [$]. Then you can create a dynamic portfolio with a constant fraction of its value given by [$] \frac{\lambda}{\sigma} [$] inves...

I’m a little late joining this party, but one perspective that I find to be kind of useful is the notion of the natural numeraire, aka the stochastic discount factor that makes discounted prices martingales under the P measure. No need for anything or anybody to be risk neutral, and the pricing resu...

I’ve probably interviewed more quants than most of the remaining survivors around here. In the early years, I found myself asking a lot of brain teasers (Why are man hole covers round? How many windows are there in Manhattan?). I think it made me feel clever, but that was about it. Then I drifted in...

Travelling to Poland in the festive season is not the most relaxing experience, especially now when they havent yet hired back the staff after the corona lockdown. But Kraków is quite nice in the winter, and close to beautiful mountains - you can visit Zakopane. Prepare some warm clothes though. I ...