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Joined: November 7th, 2006, 3:20 pm

Prerarations for starting up as rm/quant in energy sector

June 20th, 2008, 10:17 am

Hi all,I am taking the step from the University to the industry and have some time (a month, give or take) available. How should I spend my time until start-up?My position is mainly focused on RM, but also some structured products and ad hoc analysis. Basically I'll be the only person doing quantish stuff there; the rest of the staff have economics/engineering background and do very little quantitative analysis. I don't expect the job to contain any level of C++ programming or the like, but perhaps some Excel stuff like VBA.My background is M.Sc in mathematics, but also electrical engineering, with emphasis on the power market (forward contracts). I'm familiar with:* SDE's (driven by BM or more generally Levy-processes) - have read Øksendal, Cont+Tankov, Protter* Monte-Carlo methods in some extent * Numerical methods for solving PDEs such as FDM and FEM* Arbitrage-free pricing and general mathematical financeHowever, I feel my knowledge of time-series and statistics could be improved. I have been exposed to basic statistics: linear regression, one- and two-sample tests, correlation etc. and have been reading up on time series lately. So I have been looking at the books by Brockwell+Davis and Tsay, but have yet to plunge deeply into this stuff.The question now is: am I wasting my time? Should I spend more time learning to calibrate SDEs using ML, SML and the like? Anything else? How valuable would it be to have serious knowledge of time series?Cheers, Stale
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Posts: 94
Joined: February 7th, 2005, 5:35 pm

Prerarations for starting up as rm/quant in energy sector

June 20th, 2008, 12:24 pm

Travel, see the world, go backpacking. Chunks of time of that length become scarce once you start work. Your motivation is admirable, but anything you'll need to know, you'll learn far more efficiently and quickly at your job.
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Posts: 18
Joined: July 19th, 2004, 4:50 am

Prerarations for starting up as rm/quant in energy sector

June 20th, 2008, 12:54 pm

Ditto. Enjoy your free time.

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