SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by spv205
December 28th, 2012, 7:52 pm
Forum: Careers Forum
Topic: Typical background of researchers at quant funds?
Replies: 4
Views: 9980

Typical background of researchers at quant funds?

<t>operationsresi don't know about quant funds ( am on derivs side)but in most of these jobs generally PhDs are more of a filter to get an interview ( given that there are 1000s of applicants for a single place) rather than required to undertake the job.so ( random) quantitative experience [eg desig...
by spv205
December 16th, 2012, 5:41 pm
Forum: Careers Forum
Topic: What are the prospects of recovery in Quantitative Finance
Replies: 44
Views: 13768

What are the prospects of recovery in Quantitative Finance

<t>to cuchI would say quant trading is more econometrics rather than probability theory. [see eg euan sinclair volatility trading] but the point is that you just don't need so many people. each hedge fund has a handful of quant traders... IBs need(ed) 10-100 quant/quant devs developing and supportin...
by spv205
December 16th, 2012, 4:17 pm
Forum: Careers Forum
Topic: What are the prospects of recovery in Quantitative Finance
Replies: 44
Views: 13768

What are the prospects of recovery in Quantitative Finance

<t>iank to answer your question. This is my take on what happened.a) the demand for quants came from derivatives pricing.. that's why you had all these MSC in quant finance etc. teaching derivatives pricing (rather than on quant trading)b) that demand was driven by new products constantly being deve...
by spv205
December 1st, 2012, 8:25 pm
Forum: Book And Research Paper Forum
Topic: Recommended Comp Sci books
Replies: 2
Views: 10709

Recommended Comp Sci books

yea - very broad ...http://www-stat.stanford.edu/~tibs/ElemStatLearn/ - free pdfbishop, pattern recognition and machine learning. Hansi's suggestion is not really suitable for ML - but standard text on AI in general.
by spv205
November 21st, 2012, 11:30 pm
Forum: Technical Forum
Topic: Term-structure SABR ?
Replies: 4
Views: 10649

Term-structure SABR ?

OSAJIMA has done the "yoshida watanabe" expansionhttp://kyokan.ms.u-tokyo.ac.jp/users/preprint/pdf/2006-29.pdf (also on SSRN)should be OK for small expiries/moneyness
by spv205
November 18th, 2012, 12:18 pm
Forum: Trading Forum
Topic: Is there no relationship between Implied volatility and original asset price
Replies: 3
Views: 10479

Is there no relationship between Implied volatility and original asset price

<r>it is a very interesting question. you need that relationship to hedge your options' exposure...eg look up sticky strike sticky deltaor this paper comparing heston model hedging to sticky strike etc.<URL url="http://www.carolalexander.org/publish/download/JournalArticles/PDFs/JFM_2012.pdf"><LINK_...
by spv205
November 14th, 2012, 8:31 am
Forum: Technical Forum
Topic: Assumptions of Gyongy Theorem
Replies: 4
Views: 11104

Assumptions of Gyongy Theorem

I don't know - best ask the author. but do you mean continuity in time or in space? time should not be a problem.
by spv205
November 13th, 2012, 9:35 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11123

Recalibration vs estimation of option pricing models

<t>QuoteI don't think it's hiding the misspecification. It's quantifying it in terms of a likelihood score and RMSE.So you conclude that the model you have estimated is not supported by the data. what can you use the estimated model for then?QuoteUsing your analogy of a linear regression on non-line...
by spv205
November 12th, 2012, 6:45 pm
Forum: Technical Forum
Topic: Assumptions of Gyongy Theorem
Replies: 4
Views: 11104

Assumptions of Gyongy Theorem

<r>have a look at this Here we extend Gy¨ongy [14] in two ways. First, we remove the conditions of nondegeneracyand boundedness on the covariance of the It?o process to be mimicked, requiring onlyintegrability of this process and thereby extending the result to cover popular stochasticvolatility mod...
by spv205
November 12th, 2012, 10:59 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11123

Recalibration vs estimation of option pricing models

<t>APabloPaul's point applies equally to any (parametric) stoch vol model. you are linked to a cycle of recalibrating the vol of vol parameters etc. ( precisely because the model is misspecified)heston's model and others are criticised because they are misspecified - the parameters are relatively st...
by spv205
November 7th, 2012, 5:39 pm
Forum: Student Forum
Topic: It is convenient for a internation phd student to transfer another school
Replies: 11
Views: 10046

It is convenient for a internation phd student to transfer another school

<r>Admin- this should be moved to careersi don't know what area of "computational finance" you are covering. I am assuming you are doing the Phd to get a job ( rather than go into academia).Why then don't you go straight into looking for a job - is it visa issues?If its monte carlo for derivatives p...
by spv205
November 6th, 2012, 2:03 pm
Forum: Careers Forum
Topic: Winton Capital
Replies: 14
Views: 16192

Winton Capital

Another way to get an interview at Winton - just find the universe's dark matter!https://www.kaggle.com/c/DarkWorlds/details/prizes
by spv205
November 5th, 2012, 9:14 am
Forum: Technical Forum
Topic: Recalibration vs estimation of option pricing models
Replies: 12
Views: 11123

Recalibration vs estimation of option pricing models

<t>ApabloYou do not understand paul's point - which is simply that essentially all the parameters in ,say, the black scholes model are stochastic ( interest rates, volatility, dividends etc) and should be modelled as such rather than deterministically and recalibrated each day. Taking it to the extr...
by spv205
November 2nd, 2012, 9:29 am
Forum: Technical Forum
Topic: callable range accrual pricing
Replies: 5
Views: 14644

callable range accrual pricing

kelang - why are you pricing digitals on tree rather than in closed form at time t? that is surely the problem
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