Serving the Quantitative Finance Community

Search found 472 matches

by spv205
October 3rd, 2012, 10:54 am
Forum: General Forum
Topic: implied volatility from heston?
Replies: 7
Views: 12176

implied volatility from heston?

1) yes - standard, also there is market implied volatility etc etc.2) no software (or math) to get it directly you write code to price blackscholes option then use a search procedure to find corresponding vol
by spv205
September 27th, 2012, 8:14 pm
Forum: Programming and Software Forum
Topic: OpenCV
Replies: 7
Views: 12393

OpenCV

<r>I 'm afraid I'm probably? the source of this!<URL url="http://www.wilmott.com/messageview.cfm?catid=34&threadid=92157Quotejust"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... 7Quotejust">http://www.wilmott.com/messageview.cfm?catid=34&threadid=92157Quotejust</LINK_TEXT></URL...
by spv205
September 20th, 2012, 11:49 am
Forum: Numerical Methods Forum
Topic: Conditional Stochastic Volatility Simulations
Replies: 25
Views: 14167

Conditional Stochastic Volatility Simulations

alanthat sounds wrong....could you clarify what you are doing?"The covariance of B(s) and B(t) is s(1 − t) if s < t. The increments in a Brownian bridge are not independent." - wikipediaso i thought you have to do it the other way
by spv205
September 20th, 2012, 8:16 am
Forum: Careers Forum
Topic: Switching from quant dev to Market Risk
Replies: 5
Views: 11884

Switching from quant dev to Market Risk

it depends on the exact role. I would expect it would require less technical skills (maths & programming) and more financial knowledge...some understanding of stats from var. I would believe it would bring you closer to trading- since you are analysing daily risks and P&L.
by spv205
September 18th, 2012, 8:15 pm
Forum: Numerical Methods Forum
Topic: SABR pde method/code
Replies: 40
Views: 17584

SABR pde method/code

<t>mtsm you might also want to look at freefem - it does finite elements , but you program it with a script representing your pde problem...it has 2d and 3d... ( I haven't used it much beyond trying their 2-d black-scholes demo)free fem page 5perhaps OTT/slow? but if you want to avoid programming th...
by spv205
September 7th, 2012, 10:11 am
Forum: Numerical Methods Forum
Topic: Neural Network - Basic Question
Replies: 4
Views: 12621

Neural Network - Basic Question

<t>countblessingsmake sure you understand linear regression before you look at non linear regression which is all neural networks is.there is no optimal set of weights for a single training sample. it is like saying there is an optimal set of linear regression coefficients for 1 data sample ( there ...
by spv205
September 5th, 2012, 8:06 am
Forum: General Forum
Topic: The randomness of a random variable lies in what?
Replies: 5
Views: 11306

The randomness of a random variable lies in what?

think of tossing 1 coin basically you have two sigma fieldsa) before event sigma field is the prob 1/0 events : eg H U T - so heads is not measurableb) after event you have {H,T} ... so heads /tails are measurable
by spv205
September 3rd, 2012, 11:28 am
Forum: General Forum
Topic: risk neutral measure in an insurance company
Replies: 9
Views: 12849

risk neutral measure in an insurance company

<t>to add to what dvse said. In the "real" financial world, traders know that the market is incomplete. eg volatility is stochastic , spread options require a correlation assumption. typically a conservative correlation will be estimated from historical data, and the option will be hedged conservati...
by spv205
September 3rd, 2012, 10:15 am
Forum: Numerical Methods Forum
Topic: Heston calibration ASA
Replies: 65
Views: 74017

Heston calibration ASA

don't know about better, but i thought vega weighted difference in price squared was quite popular - basically you get the implied vol difference without having do implied vol inversion...
by spv205
August 30th, 2012, 5:33 pm
Forum: Technical Forum
Topic: Question for mj
Replies: 6
Views: 12999

Question for mj

somehow seemed to remember piterbarg advocating the spot measure.... i think in the thread for his book
by spv205
August 29th, 2012, 9:03 pm
Forum: Careers Forum
Topic: Science vs Industry
Replies: 205
Views: 26427

Science vs Industry

i wonder what frenchx is doing ... did he ever get a french physics research job?
by spv205
August 28th, 2012, 7:39 pm
Forum: Careers Forum
Topic: Science vs Industry
Replies: 205
Views: 26427

Science vs Industry

<r>carinaderivative quants are oversaturated - basically the quants described here ...<URL url="http://www.markjoshi.com/downloads/advice.pdf">http://www.markjoshi.com/downloads/advice.pdf</URL> this means that effectively banks are cutting down staff so there is a pool of experienced people looking...
by spv205
August 28th, 2012, 6:14 pm
Forum: Careers Forum
Topic: Science vs Industry
Replies: 205
Views: 26427

Science vs Industry

<t>what about an academic career in other countries? My understanding was that it is impossible to get professor in germany [from postdoc in germany]. I wonder if it is easier from say the UK/US? eg UK you have lecturers so you have a kind of junior professor position...of you want to leave academia...
by spv205
August 28th, 2012, 5:58 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 15580

Bianchetti's Formulas - Are they actually used?

mathmarc I can assure you that banks were doing a consistent valuation around 2002/3. surely the only step missing from the lehman's paper is solving a simultaneous equation. The standard way of building a yield curve is with discount bonds- even though they do not trade.
by spv205
August 28th, 2012, 7:29 am
Forum: Careers Forum
Topic: Please help me guys!
Replies: 12
Views: 12918

Please help me guys!

<t>goal - wrong - the mfe is just there to get your foot in the door... if you manage to get into a bb firm you don't need to leave to get one.similarly - you don't need a PhD - you just need your CV to stand out ... top mark in your year/ maths olympiad etc... paper published etc1) apply for both.....