SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by emac
October 17th, 2014, 7:15 am
Forum: Careers Forum
Topic: Total compensation for junior hedge fund quant
Replies: 18
Views: 8293

Total compensation for junior hedge fund quant

QuoteOriginally posted by: DevonFangsQuoteOriginally posted by: emacwhy?because I work in one of the allegedly top-tier-1-superawesome-OMG-IB and I know the only sign on fresh starters get is a kick in their buttI am talking about Credit Suisse, JP Morgan & Goldman Sachs
by emac
October 15th, 2014, 6:58 am
Forum: Careers Forum
Topic: Total compensation for junior hedge fund quant
Replies: 18
Views: 8293

Total compensation for junior hedge fund quant

I know 3 people who started as Quants at IBs in the last year all of whom got sign on bonuses >£20k
by emac
October 14th, 2014, 9:18 am
Forum: Careers Forum
Topic: Total compensation for junior hedge fund quant
Replies: 18
Views: 8293

Total compensation for junior hedge fund quant

I am also very interested in this question.Although, I have heard that the starting salary is less than IBs, and therefore less than £70k.
by emac
October 13th, 2014, 1:11 pm
Forum: Book And Research Paper Forum
Topic: Nonlinear Option Pricing
Replies: 22
Views: 12175

Nonlinear Option Pricing

<r>I think it is basically this:<URL url="http://hal.archives-ouvertes.fr/docs/00/67/73/48/PDF/CVAssrn.pdfand"><LINK_TEXT text="http://hal.archives-ouvertes.fr/docs/00 ... srn.pdfand">http://hal.archives-ouvertes.fr/docs/00/67/73/48/PDF/CVAssrn.pdfand</LINK_TEXT></URL> <URL url="http://arxiv.org/abs...
by emac
August 29th, 2014, 8:04 am
Forum: Student Forum
Topic: Ito integrals and copulas
Replies: 1
Views: 3299

Ito integrals and copulas

<t>Your question is not very well worded.Assuming g is non-random, [$]\int_0^t g(s) dX_s [$] has a Normal distribution with mean 0 and variance =[$] \int_0^t g(s)^2 ds[$]. The same is true of [$]\int_0^t g(s) dY_s [$]. To work out the joint distribution, you just need to work out the covariance. If ...
by emac
July 30th, 2014, 9:15 am
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5809

Expectation

QuoteOriginally posted by: PenielI think it's doable.EBal, do you mean [$]g(a)E[\tau][$]?I believe [$]E[\tau]=a^2[$] which leads to [$]g(a)a^2[$]. This is consistent for [$]g[$] constant for example.Anyone with a detailed proof? [$]E[\tau]=\infty[$] So you don't know the answer?
by emac
July 29th, 2014, 9:04 am
Forum: Student Forum
Topic: Ito Integral
Replies: 6
Views: 4051

Ito Integral

If a and b were both Lipschitz, Euler-Maruyama would certainly work.My guess is that it will still probably work with your coefficients. I don't know a reference but I know work has been done for non-lipschitz coefficients.
by emac
July 28th, 2014, 2:03 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5809

Expectation

Is this do-able?
by emac
July 25th, 2014, 11:03 am
Forum: Student Forum
Topic: Ito Integral
Replies: 6
Views: 4051

Ito Integral

What are the assumptions on the functions $a$ and $b$?
by emac
July 2nd, 2014, 8:54 am
Forum: Careers Forum
Topic: Life cycle of a Quant
Replies: 30
Views: 7882

Life cycle of a Quant

I'm also interested in this question. From my limited experience inside investment banks, no-one seems to be over about 55.Have they all retired? Or do you go and do something else less demanding?
by emac
May 24th, 2013, 12:05 pm
Forum: Student Forum
Topic: Definition of Greeks
Replies: 4
Views: 32987

Definition of Greeks

Say my stock price follows a general diffusion[$]dX_t = b(X_t) dt + \sigma(X_t) dW_t[$]and my option price is given by, say, [$] E[f(X_T)][$]. Is there an accepted (or useful) definition of the greeks, say the vega in this case. (i.e. when there is no parameter sigma.)
by emac
August 23rd, 2012, 9:29 am
Forum: Brainteaser Forum
Topic: Gaussian conditional probability
Replies: 11
Views: 14491

Gaussian conditional probability

QuoteOriginally posted by: almostcutmyhairQuoteOriginally posted by: ChicagoGuyHere is a related question:Let W be a Brownian motion. What is P(W_2>0|W_1)?How can your answer possibly be correct if it doesn't depend on W_1?
by emac
August 17th, 2012, 10:26 pm
Forum: Technical Forum
Topic: Does anyone actually use these mathematical tools?
Replies: 1
Views: 11557

Does anyone actually use these mathematical tools?

I'll take that as a no.
by emac
August 15th, 2012, 8:48 pm
Forum: Technical Forum
Topic: Does anyone actually use these mathematical tools?
Replies: 1
Views: 11557

Does anyone actually use these mathematical tools?

Pretty simple question - there is a lot of academic literature onBSDEsCubature on the Wiener SpaceQuantizationRough PathsMultilevel Monte CarloI am wondering if anyone has used these in a financial institution and whether they'd be willing to share the context?
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