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by croot
November 20th, 2011, 4:12 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17013

mixing formula question

Try to work out simple cases: your formula is incorrect when the process v is constant.
by croot
November 13th, 2011, 11:51 pm
Forum: Technical Forum
Topic: Calibration Monte Carlo Simulations to Match Implied Volatility Surface
Replies: 12
Views: 20533

Calibration Monte Carlo Simulations to Match Implied Volatility Surface

Actually this is wrong, though surprisingly in some outfits being wrong like this does not prevent business just going on most of the time. If you want to learn how to say it right, by thinking about it right, I can recommend a good consultant!
by croot
November 7th, 2011, 2:13 pm
Forum: Technical Forum
Topic: Calibration Monte Carlo Simulations to Match Implied Volatility Surface
Replies: 12
Views: 20533

Calibration Monte Carlo Simulations to Match Implied Volatility Surface

<t>I recall a few qualms with this approach1) What was modelled as a martingale in the original measure doesn't have to be in the calibrated one2) Adding 'forwards' to the list makes a lot of forwards when you want to get say zero-coupon prices right,Has there been any progress on these issues, poss...
by croot
November 5th, 2011, 4:11 pm
Forum: Careers Forum
Topic: second PhD?
Replies: 72
Views: 30835

second PhD?

<t>Some subjects are deeper than others, in the deep ones what you know at the end of your Msc, brilliant though you may be, is not enough for "adapting your knowledge" to constitute research, the reason being not that you are no good at adapting your knowledge, but that your knowledge is so much sh...
by croot
November 1st, 2011, 6:59 pm
Forum: Numerical Methods Forum
Topic: Kolmogorov Forward Equation by Finite Difference Methods
Replies: 12
Views: 23968

Kolmogorov Forward Equation by Finite Difference Methods

On a related notewww.ann.jussieu.fr/pironneau/publi/publications/kolmogorov.pdf
by croot
October 20th, 2011, 9:56 pm
Forum: Student Forum
Topic: Dynamic risk measure - Example?
Replies: 5
Views: 16722

Dynamic risk measure - Example?

<t>I got another one which I think is more textbooky: Value-At-Risk is a Risk measure. If you measure it everyday, then that makes it dynamic. Value-At-Risk is already a very naughty risk measure because it's not subadditive. But when you make it dynamic then it's also not consistent. Using this dyn...
by croot
October 20th, 2011, 5:57 am
Forum: Careers Forum
Topic: QUANT FINANCE IS DEAD
Replies: 54
Views: 30403

QUANT FINANCE IS DEAD

<t>"(every IB have a research department) "Do you know one where work in this department is not =="implement an academic model ((created 10 years ago)) with a super duper quick algo"? (10%)+"update some legacy spreadsheets created 10 years ago" (40%)+"insert new PnL adjusters into arbitrageable mode...
by croot
October 19th, 2011, 10:57 pm
Forum: Trading Forum
Topic: Algo trading to manipulate markets?
Replies: 10
Views: 17897

Algo trading to manipulate markets?

<t>My point was to draw a parallel with how academia was bought over into cheerleading for the development of complex derivatives. As you nicely point out, this situation is comparable to the various scandals that have plagued the pharma industry for so long. It's true that I have nothing to say abo...
by croot
October 19th, 2011, 4:44 am
Forum: Trading Forum
Topic: Algo trading to manipulate markets?
Replies: 10
Views: 17897

Algo trading to manipulate markets?

<t>QuoteThere is no academically peer-reviewed paper that has demonstrated market manipulation by algorithmic trading. None. Zero.How many academically peer-reviewed papers are there demonstrating that the mind-blowing increase in derivatives positions has actually increased risk for "the economy" (...
by croot
October 19th, 2011, 4:36 am
Forum: Careers Forum
Topic: Reporting to someone who is inferior to You
Replies: 31
Views: 21209

Reporting to someone who is inferior to You

I would think the situation described can apply to many many people in many many places. That's many many reasons for the superior to not recognize himself. On the other hand, if he's in a company where it's mandatory to tell your superior your Wilmott ID, then bad idea.
by croot
October 19th, 2011, 12:31 am
Forum: Trading Forum
Topic: Gamma hedging frequency
Replies: 7
Views: 21814

Gamma hedging frequency

<t>"When the product is +ve, he should maximize the frequency"Wouldn't that depend on convexity, maybe the exact integral in time is less than its approximation by certain rectangles?Also just taking a delta loss when the product goes negative seems pretty risky!About your rationale for less rebalan...
by croot
October 17th, 2011, 3:17 pm
Forum: Book And Research Paper Forum
Topic: nw paper
Replies: 7
Views: 21504

nw paper

<t>Remarks on style only:If you write "Theorem" it should be followed by "Proof" or preceded by the exact citation of the reference where that exact same stated theorem appears. For your first "Theorem" there is no "Proof" given, that's fine but then it's better to make it a "Remark".Generally, use ...
by croot
October 17th, 2011, 2:06 pm
Forum: Off Topic
Topic: Those productive french
Replies: 38
Views: 17643

Those productive french

<t>When nappies are bought for 5RMB in China and sold for 5EUR in France, the French supermarket is credited with contributing (5EUR-5RMB) of created value to the GDP. Then the GDP is used to measure productivity... so those who have shed more jobs to sponsor the Chinese economy more appear more pro...
by croot
October 17th, 2011, 1:39 pm
Forum: Student Forum
Topic: How to solve "Ricatti" ODE System
Replies: 11
Views: 17608

How to solve "Ricatti" ODE System

QuoteDevonFangs, it comes from a functional equation system.More precisely, does this equation arise in any task related to financial modelling ?
by croot
October 13th, 2011, 7:01 pm
Forum: General Forum
Topic: New Skills Required for New Age
Replies: 7
Views: 19775

New Skills Required for New Age

<t>Before thinking too hard on this purported New Age, are you sure this time the celebrated "trickle down" principle can't work?The "trickle down" is when everybody who's fired from Firm A goes to a Firm A' that has a slightly less good reputation.And only those who are in the bottomest firms (you ...
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