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by billyx524
June 11th, 2016, 5:31 am
Forum: Programming and Software Forum
Topic: C++ to simulate GBM
Replies: 3
Views: 1464

C++ to simulate GBM

Hi,I am kind of new to c++ simulation coding. And I am looking for a sample code that simulates a GBM process. Can someone please point me a place where I can find one?Thanks
by billyx524
March 14th, 2016, 9:49 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

Thanks Bearish
by billyx524
March 13th, 2016, 9:50 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

I am just a little stuck on ideas for a testing project that I need to finish. I am following guidelines from a Model Validation paper. The test that I need to complete does not have to be thorough, just as long as I can provide an explanation to justify the usage is ok.
by billyx524
March 13th, 2016, 7:33 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

<t>I know, and I am in complete agreements with you. If I was do it rigorously, I definitely would follow your suggestions. But unfortunately it is not entirely up to me.However, for the purpose of the project that I am working on, it is sufficient to show that the use of Poisson process is acceptab...
by billyx524
March 13th, 2016, 6:16 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

Yes I can do that. But I am concerned that test might be too rigorous, and would invalidate the usage of the Poisson process.Are there any simple tests that I can use to justify the Poisson process is acceptable?Thanks
by billyx524
March 13th, 2016, 5:08 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

<t>Bearish,Thank you very much for the response you provided. Actually the procedure you described is exactly the calibration algorithm I am employing.However, my question actually is, given 10 years of historical stock return data, what statistical tests on the data can I use to justify the usage o...
by billyx524
March 13th, 2016, 3:28 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

<t>Actually, for the project that I am working on, my objective is to come up with simple test cases that can justify the use of the compound Poisson process for modeling jumps in stock prices. The tests does have not be rigorous, just simple cases that can somewhat justify the usage of the poisson ...
by billyx524
March 13th, 2016, 3:41 am
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

<t>Hi,Thank you for your response.I am not sure if I entirely understand your suggestion. To my knowledge, maximum likelihood is to estimate the parameters of a statistical distribution. I want to demonstrate that the compound poisson process is reasonable to use for modeling jumps in equity prices....
by billyx524
March 12th, 2016, 4:45 am
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2720

Compound Poisson Process for Modeling Stock Jumps

<t>Hi,I have about ten years of historical data for stock prices. I am trying to justify the use of the poisson process for modeling jump event times, and a log-normal distribution for jump sizes.Does anyone know of any simple tests that I can perform to justify the use of the compound poisson proce...
by billyx524
February 18th, 2016, 12:41 am
Forum: Careers Forum
Topic: Projects to Improve Programming Skills
Replies: 11
Views: 3773

Projects to Improve Programming Skills

mostly c++. Some banks have more programming skill requirements than others for quants. At some places, programming is handed over to IT, others are done entirely quants
by billyx524
February 15th, 2016, 4:05 am
Forum: General Forum
Topic: Libor vs OIS discounting of cash flows
Replies: 4
Views: 2751

Libor vs OIS discounting of cash flows

Hi,If I want to price both bonds and interest rate swaps. Should I use the Libor curve or the OIS curve to discount the cash flows? What is today's market convention?Thanks
by billyx524
February 15th, 2016, 4:03 am
Forum: General Forum
Topic: fx implied vol
Replies: 1
Views: 2074

fx implied vol

<t>Hi,To my knowledge, FX implied volatility can only be obtained from the market for time horizons up to about 5 years due to liquidity limitations. So how would we obtain volatility estimates for longer time horizons? Is it up to the trader to decide? Or are we free to pick an extrapolation method...
by billyx524
February 15th, 2016, 1:54 am
Forum: Programming and Software Forum
Topic: circle-ellipse inheritance problem
Replies: 81
Views: 6525

circle-ellipse inheritance problem

<t>hi,i was recently asked during an interview if a circle class can inherit from an ellipse class. my thinking was that since a circle is a special case of an ellipse, then it should be allowed. but the interviewer said no. I find this to be subjective. Is there a right/wrong answer to this questio...
by billyx524
February 14th, 2016, 10:28 pm
Forum: Careers Forum
Topic: Projects to Improve Programming Skills
Replies: 11
Views: 3773

Projects to Improve Programming Skills

Hi,I have been rejected by a few quant places lately because of weakness in my programming skills. So I am looking for projects to work on myself as a side hobby to improve on this area. Does anyone have any recommendations of where to look?Thanks
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