SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Gmike2000
September 19th, 2004, 7:47 pm
Forum: Careers Forum
Topic: Scholarships
Replies: 6
Views: 174860

Scholarships

<t>The quant finance programs are cash cows for the universities. There are no scholarships.I advise you to consider Berkeley and Carnegie Mellon. Their programs are more oriented towards the needs of the street. Stanford and Chicago in particular are almost pure maths programs. Unless you are inter...
by Gmike2000
September 19th, 2004, 7:40 pm
Forum: Student Forum
Topic: GRACH(1,1) for interest rates
Replies: 2
Views: 174566

GRACH(1,1) for interest rates

regarding 3) Did you look at normalized vol or percentage vol? I think if you adjust the percentage vol by the level of swap rates, the trend will pretty much disappear.
by Gmike2000
September 18th, 2004, 11:23 am
Forum: Careers Forum
Topic: masters
Replies: 9
Views: 175426

masters

<t>Macfly - on the other hand, though, it is really difficult right now to get jobs in the US. The H1 pool has been reduced and for entry level positions you'd have to be very lucky to get sponsored. In addition, very likely you won't get a trading job in the US after graduation. Even if you do, tha...
by Gmike2000
September 17th, 2004, 3:19 pm
Forum: Careers Forum
Topic: masters
Replies: 9
Views: 175426

masters

<t>I got a masters right out of undergrad and never regretted it. It allows you to avoid the first two years of demeaning grunt work that all analysts have to do. After four years with a bachelors, you may still be doing low level boring grunt work, whereas with a masters you are likely to do sth in...
by Gmike2000
September 16th, 2004, 8:45 pm
Forum: Student Forum
Topic: index rebalancing and fixed income trading
Replies: 2
Views: 175306

index rebalancing and fixed income trading

<t>Index rebalancing in fixed income indices takes place every month. Every month, the index is recreated, e.g. if there is a rule such that only bonds with maturity > 1 year are to be in the index, then as time goes by, bonds will fall below 1 yr maturity and no longer satisfy the index conditions....
by Gmike2000
September 16th, 2004, 1:52 am
Forum: Programming and Software Forum
Topic: Matlab Compiler speed
Replies: 3
Views: 180852

Matlab Compiler speed

<t>Never noticed an increase in speed...it is just as slow as the uncompiled code. The only reason I use the compiler is to create standalone apps for others who do not have Matlab. That is a huge benefit though, so I don't mean to talk badly about the compiler...but maybe about the price of the pac...
by Gmike2000
September 16th, 2004, 1:45 am
Forum: Careers Forum
Topic: Verbal GRE Score for Math Fin Programs
Replies: 11
Views: 176235

Verbal GRE Score for Math Fin Programs

<t>What I meant with "foreigners" are those whose first language is not English. The verbal GRE is so hard that even natives have a tough time with it. Foreigners just cannot do well on it. Admissions people know this and they look at the TOEFL instead. Certainly, a good verbal score is always a plu...
by Gmike2000
September 16th, 2004, 1:33 am
Forum: Student Forum
Topic: Volatility Smiles
Replies: 5
Views: 175489

Volatility Smiles

<t>Ok, for single stock options there probably was a smile even before 87. It makes sense too...they are more susceptible to jumps, hence they have higher kurtosis. Rubinstein was talking about S&P500 options (nonsystematic jump risk mostly diversified away) which did not have as much of a smile...
by Gmike2000
September 16th, 2004, 1:17 am
Forum: Student Forum
Topic: High frequency Data of options
Replies: 7
Views: 175271

High frequency Data of options

You have to pay for that kind of data. Berkeley does not have it because the Chicago exchange stopped delivering. I have seen papers using very recent intraday data on SP500 options, but they all got the data directly from the exchange. You need either connections, or $$$.
by Gmike2000
September 16th, 2004, 1:13 am
Forum: Technical Forum
Topic: Trading efficiency
Replies: 8
Views: 176114

Trading efficiency

<t>Unless the portfolio manager does the trading himself. I personally don't think the separation trader/portfolio manager is very efficient. Trading can easily be handled by the portfolio managers...plus, they have a lot more interest in getting the best price. The dealers dont really care about wh...
by Gmike2000
September 14th, 2004, 9:03 pm
Forum: Careers Forum
Topic: Verbal GRE Score for Math Fin Programs
Replies: 11
Views: 176235

Verbal GRE Score for Math Fin Programs

<t>Verbal GRE not important. If you are a foreigner, forget about it, focus on math.I know one kid with below 500 verbal GRE...he got into a PhD program at Stanford, but decided to go to Harvard. Seriously.Another one scored mid 500, got into Chicago Finmath. Yet another scored low 500, got into Ber...
by Gmike2000
September 14th, 2004, 8:57 pm
Forum: Student Forum
Topic: Bond Index
Replies: 2
Views: 175795

Bond Index

Check out JPM Global Broad. Could be close. Otherwise, create your own: 70% Lehman Glbl Agg Govt, 30% Lehman Glbl Agg Corp > A (just an example).
by Gmike2000
September 14th, 2004, 8:40 pm
Forum: Student Forum
Topic: Volatility Smiles
Replies: 5
Views: 175489

Volatility Smiles

<t>It is actually interesting to see that the smile was almost non existant before 1987. The implied distribution had almost no skew or kurtosis, and was nicely bell shaped. You could argue that the more pronounced smile that evolved after the crash is partly due to fear. There is more demand for pr...
by Gmike2000
September 14th, 2004, 8:32 pm
Forum: Technical Forum
Topic: Help with terminology
Replies: 3
Views: 175373

Help with terminology

<t>Delta and gamma for IR derivatives are the same as for equity derivatives. Delta represents the proportion of the underlying. Gamma the change in delta. If you hold an option on 1,000 notional Bobl futures with delta of .3, you can think of that as holding 1,000 x .3 bobls (purchased forward). Th...
by Gmike2000
September 14th, 2004, 8:20 pm
Forum: Technical Forum
Topic: Trading efficiency
Replies: 8
Views: 176114

Trading efficiency

<t>This is true...no reputable mgr will admit trading on noise, yet this is actually a good way to earn alpha. Most clients do not like to hear that their portfolio manager day trades, even if it earns him money. Clients prefer the old style investment management, buy long, hold long, and wait long....
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