SERVING THE QUANTITATIVE FINANCE COMMUNITY

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Paul
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December 27th, 2002, 11:50 pm

Let's hear some suggestions...P
Last edited by Paul on February 14th, 2011, 11:00 pm, edited 1 time in total.
 
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mj
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December 28th, 2002, 7:49 pm

why does risk-neutral evaluation work?MJ
 
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mj
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December 28th, 2002, 7:53 pm

what are low discrepancy numbers? how do you construct them and use them?MJ
 
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Paul
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December 28th, 2002, 9:27 pm

So now we've got a few questions...let the answers start rolling in!P
 
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monkeyA
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December 28th, 2002, 9:44 pm

Q. What are the links to the webpages of good Msc and PhD quant coursesQ. Where can I find explanations of how to derive BS equationQ. Where can I find models for valuing credit derivativesQ. What are good Quant code libaries to use (e.g. quantlib, nag)Q. What does a Quant do all day?Q. (for 'famous' quants) Who is Paul Wilmott/Ed Thorp/Merton/...Sorry to only provide questions and no answers! (yet...)
 
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Veegan
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December 28th, 2002, 10:22 pm

My all-time favourite thread (I do pursue other interests, honest) was Omar's legendary 'Paths to Enlightenment...' It cost me a small fortune in books but helped me to sort the wheat from the chaff when I was first venturing into QF and equipped me with the necessary basic texts and, of course, the classics.A similar thread here seems appropiate but the original thread had too many sub-discussions debating the relative merits of esoteric (to a beginner) stochastic calculus texts and the like. Omar's original framework would be more than adequate but hopefully in an updated form...As a tentative first suggestion, maybe three threads could be started: beginner (student), intermediate and pro? With the beginner thread kept nice and simple. Just like me.BTW, an excellent and worthy project.RegardsVeegan
 
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Omar
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December 29th, 2002, 2:37 am

"My all-time favourite thread (I do pursue other interests, honest) was Omar's legendary 'Paths to Enlightenment...' It cost me a small fortune in books but helped me to sort the wheat from the chaff when I was first venturing into QF and equipped me with the necessary basic texts and, of course, the classics." Thank you. Thank you. I feel guilty fr having neglected that list. I want to go back to it, update it, split it into smaller sections, and add short commentaries on some of them. Trouble is that it all takes time, and I'm particularly worried about the last part of the previous sentence "A similar thread here seems appropiate but the original thread had too many sub-discussions debating the relative merits of esoteric (to a beginner) stochastic calculus texts and the like. Omar's original framework would be more than adequate but hopefully in an updated form..." There is no way, and hardly any reason to avoid the proliferation of the sub-discussions. One cannot say anything meaningful about a book without actually using it. I cannot say anything meaningful about each one of them. Comments from actual users are highly appreciated. "As a tentative first suggestion, maybe three threads could be started: beginner (student), intermediate and pro? With the beginner thread kept nice and simple. Just like me." That's a very good idea. Split the list on 3 seperate threads: beginners, intermediate, and experts. It will be very difficult to classify certain books into one bin or the other. It will be even more difficult to get anyone to say something about books in the 'experts' category, but we can try.
 
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plessas
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December 29th, 2002, 2:54 am

1. What is this Black and Scholes equation2. What types of math are involved in Quantitative Finance3. What numerical procedures are used4. What is this put-call parity all about5. When is an option said to be at the moneyThe list is going to be endless... good luck PAUL! rgds,DimitrisPS. I suggest in order to help Paul or whoever transfers the question from here to their own threads not to use this thread for comments but for posting questions only in plain messages.
 
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TheInvestmentBiker
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December 29th, 2002, 5:15 am

Omar,I must say your 'Paths to enlightenement thread' was truly enlightening !Could we also provide some kind of a 'math-friendliness' rating to the books mentioned so that people from different backgrounds would be able to pick & choose the book/study path that is appropriate for them ?Another suggestion is that we should have some kind of a road map which lists out the sequence of books one shold read e.g. In a 'thread' for the 'PDE approach' one should read Paul's student intro book before moving to PWOQF (for maximum utility) etc.Cheers,Vikram.
 
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TheInvestmentBiker
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December 29th, 2002, 5:17 am

Allow me to add another beginner question....Q) Provide the gist of the Martingale approach in 10-20 lines ? (Without using any kind of abstract thinking etc stressing mainly on the changing the drift/Girsanov etc). This should ideally help somebody to understand what he is actually doing/going to do/why it works before diving headlong into something like Baxter/Rennie & getting lost in the details.Vikram.
 
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VforVodka
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December 29th, 2002, 6:02 am

Glad to see that the "Path to ..." thread is being brought to life again ... And I guess the best news that I have heard in long time is that Omar is feeling guilty about neglecting it. That means, he is going to start on it again - did i hear a scream of delight in the forum ?! I know it is going to be very tough on his and the other senior members' time; but, I am sure it would be of high value-addition. The problems is if such a thread wasnt there, we will have to go by whats written in amazon's review section and honestly, ahemm !!! ?! So, the seniorz, lets hit the road !!!As I mentioned in one of my previous posts, two things that would be of real value addition is putting together a matrix of books-rating. And the other is the FAQ. Glad to see that the ever-prompt Paul has started this new Quant FAQ project. Hope the other too will kick off.cheerio,
 
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Paul
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December 29th, 2002, 8:58 am

I've added one from plessas...I won't be posting any more new questions until people start answering the four questions that are already up there!!! (But feel free to keep the suggestions coming anyway.)P
Last edited by Paul on December 28th, 2002, 11:00 pm, edited 1 time in total.
 
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Anthis
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December 29th, 2002, 1:15 pm

What are the Finance reserach gaps and practical problems that havent been resolved yet?RegardsAnthis
 
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Anthis
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December 29th, 2002, 1:34 pm

Since i cant edit my last post i have to rewrite it What are the Finance Research Gaps and Practical problems that havent been resolved yet?RegardsAnthis
 
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quantman
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Joined: February 6th, 2002, 12:22 pm

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December 29th, 2002, 1:57 pm

What are the differences between the local volatility and the stochastic volatility framework, in theory and most importantly in practice (implication on valuation of vol surfaces) ? Best Regards,Quantman.
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