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by bearish
April 1st, 2011, 3:40 pm
Forum: Student Forum
Topic: Calibration Hull-White model
Replies: 6
Views: 21286

Calibration Hull-White model

<t>If you want to calibrate/test the model with today's market caplet prices you need to compare them to today's model caplet prices. You find these by computing the risk neutral expected discounted caplet pay-off based on the model parameters.OP = original poster. And yes, Gaussian models have alwa...
by bearish
April 1st, 2011, 2:40 pm
Forum: Careers Forum
Topic: RFIC Design engineering PhD --> Quant Finance?
Replies: 6
Views: 22440

RFIC Design engineering PhD --> Quant Finance?

I would stress that you have a PhD in EE (which is a field that many quants have come from) over your specific sub-field (which strikes me as slightly more obscure, but that may just be my ignorance). And, yes, Berkeley is considered a top tier school for quant PhDs in general.
by bearish
April 1st, 2011, 12:18 am
Forum: Student Forum
Topic: Calibration Hull-White model
Replies: 6
Views: 21286

Calibration Hull-White model

@list -- I admire your ability to take an ill-posed question and provide an answer that can only contribute further confusion. This is the first time you have come across Gaussian interest rate models?As for the OP, your question is not clear. At all. What are you actually trying to do?
by bearish
March 31st, 2011, 8:13 pm
Forum: Student Forum
Topic: Simple use of Ito's Lemma?
Replies: 4
Views: 21729

Simple use of Ito's Lemma?

That's pretty much it, except the equation is missing a sigma^2 in the second derivative term, and the sign of F_T seems to be wrong.
by bearish
March 21st, 2011, 1:08 am
Forum: Careers Forum
Topic: Please help me choose among these offers
Replies: 3
Views: 20953

Please help me choose among these offers

<t>If that is the "Inquisitional Technologies Group" at MS, you should definitely pick them. You don't want to upset people who spend their time refining those kinds of technologies...On a more serious note, summer internships are, to a large extent, extended job interviews. If you perform, they gre...
by bearish
March 18th, 2011, 12:17 pm
Forum: Book And Research Paper Forum
Topic: Best books/articles on credit risk
Replies: 6
Views: 26419

Best books/articles on credit risk

The vast majority of bank credit analysts spend all their time looking at single companies. Most of them are pretty far removed from the quant world, though.
by bearish
March 15th, 2011, 11:51 am
Forum: Student Forum
Topic: finite difference, trinomial tree & market (in)completeness
Replies: 5
Views: 23059

finite difference, trinomial tree & market (in)completeness

I would suggest you conduct a small experiment, since in the Black Scholes case you actually have the analytical solution to compare your alternative tree based results with. The PDE crowd here will probably also tell you that you are just using the wrong tool to begin with...
by bearish
March 12th, 2011, 12:59 am
Forum: Careers Forum
Topic: Math. Fin at Imperial College
Replies: 5
Views: 26007

Math. Fin at Imperial College

<t>I know some of the key faculty members involved in this program, and they are very good. That being said, they are theoretically oriented (even if they have a fair amount of industry experience), and operate on a high level of abstraction. This is not to everybody's taste, but could be great if y...
by bearish
March 12th, 2011, 12:46 am
Forum: Technical Forum
Topic: HJM/Cheyette model with non-parametric local vol function ?
Replies: 11
Views: 26837

HJM/Cheyette model with non-parametric local vol function ?

You've seen one Dane, you've seen them all! Jesper and Leif are great Danes, though.
by bearish
March 11th, 2011, 4:39 pm
Forum: General Forum
Topic: Last CDS Premium
Replies: 3
Views: 20910

Last CDS Premium

Yes, it is applied symmetrically. For all the details you could possibly want on the market practice for converting CDS quotes into upfront cash amounts (including source code) go to www.cdsmodel.com.
by bearish
March 11th, 2011, 1:52 pm
Forum: General Forum
Topic: Last CDS Premium
Replies: 3
Views: 20910

Last CDS Premium

<t>The last premium is inclusive of the maturity date. But remember that the maturity date is not rolled, so e.g. the current 5Y contract matures on Sunday 3/20/16, with the premium being paid on 3/21. CDSW is correct in this regard and produces identical results to the Markit calculator, the spread...
by bearish
March 11th, 2011, 1:28 pm
Forum: Technical Forum
Topic: free libor download
Replies: 5
Views: 22744

free libor download

http://www.bbalibor.com/rates would be a good place to start. They seem to take a proprietary interest in the data and only post a little bit for free, but they provide a link where you can ask them for more data for non-commercial use.
by bearish
March 10th, 2011, 5:14 pm
Forum: Careers Forum
Topic: Resign
Replies: 17
Views: 27346

Resign

<t>There are plenty of reasons to try to maintain good relationships with former colleagues and managers as you are leaving a firm (it is a small industry) and telling select people where you are going will usually make a departure less awkward. Your headhunter worries that you can be more easily ta...
by bearish
March 10th, 2011, 1:53 pm
Forum: Careers Forum
Topic: What exactly is an energy quant?
Replies: 4
Views: 21756

What exactly is an energy quant?

Alexander Eydeland's book is pretty good albeit slightly out of date.
by bearish
March 10th, 2011, 1:42 pm
Forum: Student Forum
Topic: finite difference, trinomial tree & market (in)completeness
Replies: 5
Views: 23059

finite difference, trinomial tree & market (in)completeness

<t>I don't think that is quite right. From the perspective of deriving a replication based valuation operator in a discretized Black-Scholes world, you want to use a binomial discretization, since this has the same martingale multiplicity as the continous model and thus allows perfect replication wi...