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by bearish
36 minutes ago
Forum: Careers Forum
Topic: HOW DO YOU FIND A QUANT JOB?
Replies: 1
Views: 105

Re: HOW DO YOU FIND A QUANT JOB?

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...
by bearish
48 minutes ago
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 887
Views: 147734

Re: End of bitcoin?

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!
by bearish
Today, 7:25 pm
Forum: Technical Forum
Topic: Gedankenexperiment
Replies: 2
Views: 251

Re: Gedankenexperiment

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...
by bearish
Today, 5:21 pm
Forum: Programming and Software Forum
Topic: Bloomberg Api's basic problem
Replies: 6
Views: 15647

Re: Bloomberg Api's basic problem

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 ...
by bearish
Today, 4:47 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 30
Views: 3088

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

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…
by bearish
Yesterday, 11:51 pm
Forum: Programming and Software Forum
Topic: Bloomberg Api's basic problem
Replies: 6
Views: 15647

Re: Bloomberg Api's basic problem

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...
by bearish
Yesterday, 2:33 pm
Forum: Politics Forum
Topic: What is Borisism?
Replies: 331
Views: 47982

Re: What is Borisism?

Got it. It’s a subtlety about the finger movements. Bringing your thumb and forefinger together can turn an act of groping into pinching.
by bearish
July 1st, 2022, 7:52 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 30
Views: 3088

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

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...
by bearish
July 1st, 2022, 5:54 pm
Forum: Politics Forum
Topic: What is Borisism?
Replies: 331
Views: 47982

Re: What is Borisism?

Wait - was he actually accused of drunkenly pinching someone? That would be too perfect!
by bearish
July 1st, 2022, 1:34 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 30
Views: 3088

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

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...
by bearish
June 29th, 2022, 11:20 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 30
Views: 3088

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

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...
by bearish
June 27th, 2022, 10:32 pm
Forum: Book And Research Paper Forum
Topic: Cracking the Finance Quant Interview
Replies: 13
Views: 5621

Re: Cracking the Finance Quant Interview

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...
by bearish
June 27th, 2022, 7:14 pm
Forum: Off Topic
Topic: RIP thread
Replies: 296
Views: 41818

Re: RIP thread

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 ...