SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by QuantOption
April 19th, 2011, 7:25 am
Forum: Careers Forum
Topic: A shift from front office to middle office?
Replies: 4
Views: 21496

A shift from front office to middle office?

<t>QuoteOriginally posted by: thomssiTraders manage risk, trading heads set the limits/allocate capital, risk management functions monitor and report it.they not only monitor, say for example credit officers in risk set the limits for cparty exposures, and once you reach it, you out of luck for new ...
by QuantOption
April 8th, 2011, 7:48 am
Forum: Book And Research Paper Forum
Topic: More mathematical finance
Replies: 55
Views: 54397

More mathematical finance

<t>QuoteOriginally posted by: mjIf anyone has feature requests, can they make them here?Practical stuff. - Discussing models (their issues from practical point of view) that IBs are actually using, as opposed to multi-factor-jump-stochastic vol models that are nowhere in production. Practical model ...
by QuantOption
April 3rd, 2011, 8:21 pm
Forum: Book And Research Paper Forum
Topic: Simplified CMS Spread Option Pricing
Replies: 11
Views: 31463

Simplified CMS Spread Option Pricing

QuoteOriginally posted by: mj More mathematical finance is on its way!fantastic! just spotted this, any more details?ps: sorry for hijacking the thread
by QuantOption
March 28th, 2011, 12:40 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 147471

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

<t>QuoteOriginally posted by: piterbargQuoteOriginally posted by: CuchulainnThis should not be a problem. We do personalised pdf books with your name/email address, Paypal info and 'so on' and have integrated in a user DB system that we built. Everything is done automatically, including conversion t...
by QuantOption
March 28th, 2011, 11:56 am
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 147471

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

<t>QuoteOriginally posted by: pimpel I prefer my hard copy, easier to make my notes in itI prefer pdf, because of notes!!!It's only slightly more difficult to make notes in pdf. And why do we make the notes? To be able to FIND THEM (to refer, to recall, ...)! And it's infinitelly times faster to fin...
by QuantOption
March 28th, 2011, 11:13 am
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 147471

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

<t>QuoteOriginally posted by: CuchulainnQuote the problem is that math books look like cr.p on ebook readers currently, and there is no easy way to compile a TeX source into any ebook format, as far as I know This should not be a problem. We do personalised pdf books with your name/email address, Pa...
by QuantOption
March 25th, 2011, 8:58 pm
Forum: Trading Forum
Topic: How do I trade forward implied vol?
Replies: 15
Views: 30524

How do I trade forward implied vol?

QuoteOriginally posted by: VolMaster... In short, replicating Variance swap requires creating a strikeless vol strike using a "log contract". This can be done by buying/selling various straddles weighted inversely to K, ...K^2
by QuantOption
February 11th, 2011, 9:48 pm
Forum: Book And Research Paper Forum
Topic: Please recommend books about C++ for quantitative finance
Replies: 8
Views: 32192

Please recommend books about C++ for quantitative finance

QuoteOriginally posted by: JackBryanHi,Please recommend books about C++ for quantitative finance.I have got the books by Mark Joshi, but there are no solutions to the exercises in these books.you already have by far the best book on that topic.
by QuantOption
February 4th, 2011, 7:31 pm
Forum: Careers Forum
Topic: "we'll be in touch soon" ... what does that mean, really?
Replies: 20
Views: 28797

"we'll be in touch soon" ... what does that mean, really?

QuoteOriginally posted by: CosteanuTurning away from a job in the industry is ok. Academia is different.Turning down accepted offer in the inductry is ok? Have you tried it? It's a small world my friend, everyone knows someone in another place ... dangerous game
by QuantOption
January 28th, 2011, 10:18 am
Forum: Book And Research Paper Forum
Topic: Mark Joshi's New Book
Replies: 6
Views: 73197

Mark Joshi's New Book

<t>QuoteOriginally posted by: mjpart of the reason not to rush the book is that i don't want to disappoint.any news on "More on Math Finance"?I have some experience, but Concepts book really helped me to solidify the knowledge, I really learned a lot and enjoyed the book. Please, can we get another ...
by QuantOption
January 13th, 2011, 7:07 am
Forum: Book And Research Paper Forum
Topic: Best book on volatility surface
Replies: 3
Views: 27128

Best book on volatility surface

Semiparametric Modeling of Implied Volatility (Springer Finance) [Paperback]Matthias R. Fengler
by QuantOption
December 22nd, 2010, 11:03 am
Forum: Careers Forum
Topic: PhD is a waste of time
Replies: 69
Views: 32540

PhD is a waste of time

<t>QuoteOriginally posted by: yaourtQuoteOriginally posted by: QuantOptionQuoteOriginally posted by: frenchX... Not sure that a fresh master student has those skills. ...You need to compare likes for likes, so the question is whether that master student won't be even better at those skills, or more ...
by QuantOption
December 22nd, 2010, 9:21 am
Forum: Careers Forum
Topic: PhD is a waste of time
Replies: 69
Views: 32540

PhD is a waste of time

<t>QuoteOriginally posted by: frenchX... Not sure that a fresh master student has those skills. ...You need to compare likes for likes, so the question is whether that master student won't be even better at those skills, or more importantly at skills that really matter in the industry, after 3-4 yea...
by QuantOption
December 12th, 2010, 8:34 pm
Forum: Book And Research Paper Forum
Topic: New Book - Derivatives Algorithms: Bones by Thomas Hyer
Replies: 19
Views: 33546

New Book - Derivatives Algorithms: Bones by Thomas Hyer

<t>QuoteOriginally posted by: spursfanI second piterbarg's thoughts - it's main focus is on building and organising a C++ code library - the code is contained within the text of the book so no realneed for a separate CD - well worth buyingsorry, but I'm a bit suspicious about a book that's supposed ...
by QuantOption
December 10th, 2010, 8:17 am
Forum: Book And Research Paper Forum
Topic: New Book - Derivatives Algorithms: Bones by Thomas Hyer
Replies: 19
Views: 33546

New Book - Derivatives Algorithms: Bones by Thomas Hyer

QuoteOriginally posted by: HansiOkay someone is clearly reading my commentsyeah, sure
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