SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by gjlipman
June 15th, 2002, 3:12 pm
Forum: General Forum
Topic: The Decline and Fall of VaR?
Replies: 24
Views: 191584

The Decline and Fall of VaR?

<t>One concern I have, particularly relating to auditors in the energy industry, is that of competence. Independence is good, but would you rather have a competent auditor who had tonnes of experience at the company, who possibly had even worked in the company, or alternatively a completely independ...
by gjlipman
June 9th, 2002, 12:55 pm
Forum: Careers Forum
Topic: Energy Derivatives Training
Replies: 5
Views: 189996

Energy Derivatives Training

<t>Moni,Jobs in the energy sector that you might be looking at seem to be split up into three major catagories: traders, middle office analysts, industry analysts. (someone please step in if you feel I've missed any.traders trade hedges, do bidding, etcmiddle office analysts do VaR calculations, mar...
by gjlipman
June 8th, 2002, 12:20 pm
Forum: General Forum
Topic: Value at Risk in electricity Trading - which one to choose?
Replies: 7
Views: 189602

Value at Risk in electricity Trading - which one to choose?

<t>1.) The options on the forward contracts traded on german electricity market can not be keep in the maturity period. They are european style, they expire standardly at the end of the year (12.12.02 for Cal 03). So I assume, that a standard solution will do. >>Does this mean you don't have caps, o...
by gjlipman
June 7th, 2002, 12:23 pm
Forum: Careers Forum
Topic: future of CompFin ?
Replies: 20
Views: 191541

future of CompFin ?

<t>I don't know how possible it is, but I'd love to see a freeing up of much of quant finance theory from the standard assumptions (complete liquid market, geometric brownian motion, log normal distributions). This would enable us to look at derivatives on instruments that don't follow simple browni...
by gjlipman
June 7th, 2002, 10:53 am
Forum: General Forum
Topic: Value at Risk in electricity Trading - which one to choose?
Replies: 7
Views: 189602

Value at Risk in electricity Trading - which one to choose?

<t>In regards to point 2, I'd say Monte Carlo simulation is probably the easiest way to handle electricity swaps and derivatives, and it can easily be given parameters that reflect historical statistics as well as expected future distribution. These contracts, if held to maturity, are difficult to m...
by gjlipman
June 7th, 2002, 7:38 am
Forum: Careers Forum
Topic: Temporary Junior Roles?
Replies: 6
Views: 189797

Temporary Junior Roles?

<t>e2x:I don't know about the more usual areas of finance, but certainly in the energy industry, there are tonnes of engineers - particularly chem engineers. The ones I know are mainly in risk management/valuation type roles rather than trading, but seem to do as well (if not better) than people who...
by gjlipman
May 30th, 2002, 9:52 pm
Forum: Technical Forum
Topic: Help me on mean reversion
Replies: 7
Views: 189886

Help me on mean reversion

<t>Matthieu:Firstly, I assume that you are using x to be the log of the price, and S to be the price itself.I think your problem relates to the fact that you are missing the sigma^2/2 term.from Clewlow and Strickland (Energy Derivatives), p18 - adjusted to use your notationdS=a(ln mu-lnS)Sdt + v*dw ...
by gjlipman
May 27th, 2002, 10:22 pm
Forum: Careers Forum
Topic: Changing from actuary to quant
Replies: 7
Views: 189849

Changing from actuary to quant

<t>Have you considered getting into the more quant side of acturial studies? Despite 90% of the work that actuaries do not being really that complex mathematically, a lot of the research that is being done is pretty mathematical. (The reason I am saying this is because I am currently toying with the...
by gjlipman
May 24th, 2002, 8:29 pm
Forum: Book And Research Paper Forum
Topic: Financial bestsellers
Replies: 21
Views: 192150

Financial bestsellers

<t><< <i>he also a book tie-in to his bbc series on the internet, can't recall the title.</i> >>I think it's called "the future just happened". I had a quick look at it in the bookshelf and wasn't inspired to buy it - it looked like it would probably be less interesting than Liar's Poker to anyone i...
by gjlipman
May 23rd, 2002, 11:09 pm
Forum: Student Forum
Topic: Chaos theory
Replies: 14
Views: 190241

Chaos theory

<t>A couple of other points which seem worth making:Chaos often involves non-linearity. For example, if the current stock price is $2.01, your expectation of where it is likely to be is in a week's time is likely to be pretty close to what the expected value would be if it was $2 now (and any values...
by gjlipman
May 21st, 2002, 2:16 pm
Forum: Book And Research Paper Forum
Topic: Financial bestsellers
Replies: 21
Views: 192150

Financial bestsellers

<t>I was having a chat with a friend today, and we were comparing notes on some of the wonderful financial bestsellers (or should-be bestsellers) that are available. A number of these have really sparked my interest in quant finance (or finance more generally), and while there may be better textbook...
by gjlipman
May 21st, 2002, 1:02 pm
Forum: Careers Forum
Topic: Actuary
Replies: 28
Views: 191729

Actuary

<t>I appreciate that there has been little action on this thread for a while, but thought it was probably the best place to post this question.I have undergraduate degrees in maths and commerce, and a couple of years experience in quant finance consulting. I am now thinking about doing a PhD in quan...
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