SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by tu160
April 25th, 2012, 2:33 pm
Forum: Careers Forum
Topic: Returning to work after maternity break
Replies: 47
Views: 18178

Returning to work after maternity break

QuoteOriginally posted by: farmerWhat if a guy took a year off to join a rock band, and then showed up at the interview carrying a guitar?Sounds like chief of the most successful quant trading group on Wall Street...
by tu160
April 24th, 2012, 7:48 pm
Forum: Careers Forum
Topic: Returning to work after maternity break
Replies: 47
Views: 18178

Returning to work after maternity break

<r>I think Goldman had some sort of returnship program at some point. Not sure if it's active now...<URL url="http://thegrindstone.com/career-management/goldman-sachs-returnship-provides-a-back-up-plan-for-women-returning-to-work/"><LINK_TEXT text="http://thegrindstone.com/career-managem ... g-to-wo...
by tu160
April 18th, 2012, 5:07 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

It looks like CVA absorbed a bunch of "no nonsense" masters of the universe from credit...
by tu160
April 18th, 2012, 2:48 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteOriginally posted by: ashkarOut of interest, do you say this because CVA is like an add-on to the existing library and they reuse the existing functionality?Partially. And I didn't mean to be impolite. Every activity has some kind of "theoretical base body of knowledge" they ask during inter...
by tu160
April 17th, 2012, 2:33 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteOriginally posted by: katastrofaQuoteOriginally posted by: tu160CVA quants usually can't solve B-S pde (I don't say they have to)Sorry, but that's pure BS. By definition, CVA on an asset class is an order of magnitude harder than pricing the asset without CVA. You wouldn't go far if you didn...
by tu160
April 15th, 2012, 3:00 am
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: tu160Very good comments above about MV as a part of regulatory framework. However not sure about P&L centric approach. The goal is to maximize return on shareholder's equity, not to maximize pnl per se. So the role of keeping reg...
by tu160
April 13th, 2012, 5:40 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>Very good comments above about MV as a part of regulatory framework. However not sure about P&L centric approach. The goal is to maximize return on shareholder's equity, not to maximize pnl per se. So the role of keeping regulators happy is pretty important for the bottom line.Also not sure a...
by tu160
April 13th, 2012, 1:14 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteDF have you been brainwashed by the overlords in your MV team? You seem determined to justify that it's better than FO Obviously FO with the same base, two times longer hours, 10 times more shit and 20% bigger bonus is a better deal FOR QUANT During "normal" years with "normal" bonuses FO >>...
by tu160
April 12th, 2012, 1:34 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteI also thought pricing and hedging are two sides of the same coin. For one, the Black-Scholes equation was derived via hedging.Perhaps tu160 was referring to those traders who monitor the hedge ratios and do not do much C++ programming.Instantaneous frictionless delta-hedging and real-life h...
by tu160
April 12th, 2012, 3:30 am
Forum: Trading Forum
Topic: Thoughts on developing a stop loss for a pairs trading system
Replies: 4
Views: 16015

Thoughts on developing a stop loss for a pairs trading system

QuoteCan anyone point me into the right direction in regards to optimizing my stop loss?Slippage, slippage and once again slippage.
by tu160
April 12th, 2012, 3:20 am
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

<t>QuoteYes, I'm a derivatives quant.Which asset class is hot now?? To be conservative, I intend to pick a traditional asset class, equity, as it is, to me, more interesting than interest rates.abused by traders? tbh, I have no ideas if I can deal with traders. I suspect that the FO role does not in...
by tu160
April 11th, 2012, 8:42 pm
Forum: Careers Forum
Topic: 2-tier front office VS 1-tier middle office
Replies: 92
Views: 19894

2-tier front office VS 1-tier middle office

I would consider asset class very carefully. If asset class is booming no brainer. In other cases there are things to consider...Also are comfortable to be abused by traders on a daily basis? I assume you are derivatives quant, is this the correct? Algo things are different.
by tu160
April 4th, 2012, 10:44 pm
Forum: Careers Forum
Topic: work life balance in nyc Vs london
Replies: 24
Views: 16598

work life balance in nyc Vs london

<t>QuoteOriginally posted by: Shaikhow about working hours? NY usually has longer working hours than London?I have an impression that London FO people work longer hours because they are trying to catch up with both Asia and New York sessions.Vacation days in major IBs are probably comparable with sm...
by tu160
April 3rd, 2012, 11:46 pm
Forum: Careers Forum
Topic: Take the CQF? Or just work as a headhunter?
Replies: 10
Views: 15636

Take the CQF? Or just work as a headhunter?

Why don't you get top MBA and become a trader?
by tu160
April 3rd, 2012, 9:56 pm
Forum: Careers Forum
Topic: Career Advancement Plan Critique Request
Replies: 25
Views: 16764

Career Advancement Plan Critique Request

<t>>>"...to obtain a Front Office or Desk Quant role. (Research Quant or Quant Dev might be fun too)"To be honest, I don't feel that I have a real firm grasp on the exact distinctions in the job titles. I just know that I love researching ideas and coding up the systems to backtest / papertest / tra...
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