SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 80 matches

May 13th, 2011, 6:26 am
Forum: Careers Forum
Topic: Are these courses worth it (UK)?
Replies: 7
Views: 21796

### Are these courses worth it (UK)?

What type of Quant do you want to be? You could do a masters/Phd. that deals with statistics/econometrics which will be useful in a lot of hedge funds and would make you an attractive hire to them if you Phd. is in a useful area.
May 4th, 2011, 4:15 pm
Forum: Careers Forum
Replies: 4
Views: 22142

Doesn't sound too promising for your career goals IMO...
April 6th, 2011, 6:19 pm
Forum: Student Forum
Topic: Basic Probability
Replies: 15
Views: 21230

### Basic Probability

<t>QuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: ACDAre they from a multivariate normal distribution or are thy just marginally normally distributed?They are not from a multivariate normal distribution. I have X_1, ..., X_n random variables which are all N(0,1).Ok can't really h...
April 6th, 2011, 5:21 pm
Forum: Student Forum
Topic: Basic Probability
Replies: 15
Views: 21230

### Basic Probability

Are they from a multivariate normal distribution or are thy just marginally normally distributed?
December 8th, 2010, 10:31 am
Forum: Student Forum
Topic: garch but random volatility
Replies: 1
Views: 22114

### garch but random volatility

<t>These pointers I think may help. x(t) is distributed as a normal variance-mean mixture. Normal Variance Mean mixtureIf you could observe z(t) this would be fairly trivial to estimate. Depending on the distribution of z(t) it may be fairly easy to determine the distribution of z(t) | e(t) and then...
November 26th, 2010, 12:52 pm
Forum: Student Forum
Topic: how to integrate Brownian Motion with dt
Replies: 15
Views: 31565

### how to integrate Brownian Motion with dt

<t>QuoteOriginally posted by: martingullHiIsnt it just integration by parts. where f(x) = tau, f'(x) = 1, g(x) = B(tau), g'(x) = dB(tau)so that its tau * B(tau) - B(tau)Or am I misunderstanding you?Is that right? I don't use Ito calculus much (so forgive me if I'm talking crap) but I would have thou...
November 17th, 2010, 12:34 pm
Forum: Book And Research Paper Forum
Topic: The Boost C++ Libraries I, II
Replies: 51
Views: 76207

### The Boost C++ Libraries I, II

Thanks for the pointer, Hansi's third picture looks fine to me. A download link would be fine too (anything that avoids having to type the code out of the book).
November 17th, 2010, 7:32 am
Forum: Book And Research Paper Forum
Topic: The Boost C++ Libraries I, II
Replies: 51
Views: 76207

### The Boost C++ Libraries I, II

Any chance of this being made avilable on the Kindle (or is it already? I got one recently and really like the thing)? Would it even work in that format? I assume there's a cd with the book, do amazon allow for CD bundling with a Kindle purchase? Thx
October 19th, 2010, 1:57 pm
Forum: Student Forum
Topic: covariance matrix algebra
Replies: 2
Views: 22615

### covariance matrix algebra

Or another way (think this should work):[diag(s)]^(-1) C [diag(s)]^(-1)Where the diag operator takes a column vector and returns a diagonal matrix with the vectors elements along the diagonal.
August 26th, 2010, 2:32 pm
Forum: Student Forum
Topic: plot 4 times series with different scale in same graph
Replies: 5
Views: 24930

### plot 4 times series with different scale in same graph

Also you could standardise them by their in sample volatility so that their movements are of similar magnitudes (if you don't care about the volatilities).
June 11th, 2010, 6:53 am
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42975

### positive definite

<t>QuoteOriginally posted by: outrunThat was all I was saying:"it's impossible for the sum of observed data to have a negative variance"*but* you're moving to a different discussion: "the origin of faulty correlation matrices"There are lots of way to handle missing data when estimation correlations!...
June 10th, 2010, 5:41 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42975

### positive definite

<t>QuoteOriginally posted by: outrunI'm talking about actual data: e.g x1={3,1,4,1,5,2,6,5,...}, you can construct a linear combination of vectors that give a vector who's elements have negative variance. You are talking about transform of properties of variables, I'm talking about actual values of ...
June 10th, 2010, 2:21 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42975

### positive definite

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: ACDBecause it is invalid in this situation. If it wasn't (semi) positive definite then you could construct a linear combination of the variables in the matrix whose sum has a negative variance.I think there is subtle difference: its more...
June 9th, 2010, 5:49 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42975

### positive definite

Because it is invalid in this situation. If it wasn't (semi) positive definite then you could construct a linear combination of the variables in the matrix whose sum has a negative variance.
April 23rd, 2010, 12:39 pm
Forum: Student Forum
Topic: Binary vs Digital Option not the same
Replies: 4
Views: 30155

### Binary vs Digital Option not the same

Neither term refers to a Barrier option in my experience, they just mean that the payoff is the Heaviside step function (i.e. a fixed amount or nothing, hence the names as there are only 2 possible outcomes) and are inter-changeable.

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