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by punkfanatic3000
May 30th, 2012, 1:15 pm
Forum: Careers Forum
Topic: Should I study MFE in London or US?
Replies: 3
Views: 13960

Should I study MFE in London or US?

I think UCLA would be more benefitial. The Msc in Imperial is in the business school, so it would be less mathematics. Plus I think you'll have more chance to find a job in the US than in the UK due to change in visa regulations in the UK.
by punkfanatic3000
May 29th, 2012, 5:15 am
Forum: Student Forum
Topic: Acceptable PnL unexplained?
Replies: 17
Views: 15620

Acceptable PnL unexplained?

<t>Thanks MCarreira, BramJ and davidangel. The difference is on the whole portfolio. And I dont think it is the basis, but I might recheck. The thing that I have noticed is that the residual is actually small towards MTM. But the difference appears when PnL is relatively small.Also the cumulative re...
by punkfanatic3000
May 25th, 2012, 12:13 pm
Forum: Student Forum
Topic: Acceptable PnL unexplained?
Replies: 17
Views: 15620

Acceptable PnL unexplained?

Thanks all for the answer. I am also including hedges. I am suspecting the non linearity in vols, to be my issue but even with some small moves, it can have big impact.
by punkfanatic3000
May 25th, 2012, 11:07 am
Forum: Student Forum
Topic: Acceptable PnL unexplained?
Replies: 17
Views: 15620

Acceptable PnL unexplained?

I haven't tried those. The options are on energy futures.
by punkfanatic3000
May 24th, 2012, 8:53 pm
Forum: Student Forum
Topic: Acceptable PnL unexplained?
Replies: 17
Views: 15620

Acceptable PnL unexplained?

<t>I am trying to calculate the explained PnL of a portfolio of vanilla options using a Black model. But somehow after calculating trying different changes in vols, prices and time, I get quite high unexplained PnL (10-20%), when I would want it to be below 5%, or even 2%. I am wondering if my calcu...
by punkfanatic3000
May 24th, 2012, 8:45 pm
Forum: Student Forum
Topic: Low Pass Zero Phase filter
Replies: 3
Views: 12553

Low Pass Zero Phase filter

Thanks for the reply FrenchX, it did help me to use the FFT. But still some noise in my results, which was not as expected. I'll look into multi resolution signal decomposition
by punkfanatic3000
May 22nd, 2012, 6:15 pm
Forum: Student Forum
Topic: Low Pass Zero Phase filter
Replies: 3
Views: 12553

Low Pass Zero Phase filter

I am now using a butterworth filter, which is in Matlab. But when I use a cuttoff less than 0.5, what I get is a lot of noise, which I do not understand why. Does anyone knows why the lowpass with cutoff<0.5 gives me noise rather than a filtered data?
by punkfanatic3000
May 20th, 2012, 3:55 pm
Forum: Student Forum
Topic: Low Pass Zero Phase filter
Replies: 3
Views: 12553

Low Pass Zero Phase filter

<t>Hi,I am trying to filter time series to understand the low frequency (Long term trend) and high frequency (short term trend) of those series.I am using a butterworth filter, zero phase on N daily points for each series. But I have a problem determining what frequency and order should I use.For ex...
by punkfanatic3000
March 30th, 2012, 6:11 am
Forum: Careers Forum
Topic: MSc Statistics/math fin
Replies: 6
Views: 14782

MSc Statistics/math fin

<t>Maybe you should just talk to one of the professors there or the admission office, to see if your grade meets the minimum criteria. Or if they can make you pass any test to see your level.But to be honest, since you admit yourself that you afforded yourself a bit of slack during your uni years, t...
by punkfanatic3000
March 26th, 2012, 1:44 pm
Forum: Careers Forum
Topic: MSc Statistics/math fin
Replies: 6
Views: 14782

MSc Statistics/math fin

<t>What's your grade in Russian value? Maybe someone here can see whether it is more a 2:2 or 2:1.To be honest, most students enter with a first class for the MSc Math-Fin in Imperial and a few with good credentials enter with a 2:1. I dont know anyone who entered with a 2:2. Not that I want to make...
by punkfanatic3000
March 8th, 2012, 7:30 pm
Forum: Student Forum
Topic: perpetual bermudans
Replies: 19
Views: 14801

perpetual bermudans

last email was found Here
by punkfanatic3000
March 8th, 2012, 7:26 pm
Forum: Student Forum
Topic: perpetual bermudans
Replies: 19
Views: 14801

perpetual bermudans

Here is another email of Muroi: ymuroi@econ.tohoku.ac.jpI think on his tohoku uni page, it might have missed the "Y" out.
by punkfanatic3000
March 8th, 2012, 7:22 pm
Forum: Student Forum
Topic: perpetual bermudans
Replies: 19
Views: 14801

perpetual bermudans

by punkfanatic3000
March 8th, 2012, 7:10 pm
Forum: Student Forum
Topic: perpetual bermudans
Replies: 19
Views: 14801

perpetual bermudans

and not quite sure if he is the takeshi yamada you are looking for: http://www.adelaide.edu.au/directory/takeshi.yamada
by punkfanatic3000
March 8th, 2012, 7:06 pm
Forum: Student Forum
Topic: perpetual bermudans
Replies: 19
Views: 14801

perpetual bermudans

and here is another email of his from another paper: roomjing@ybb.ne.jpPaper
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