November 17th, 2006, 7:13 pm
Thanks for your response.I've just completed a model (for futures trading) of a currency index that behaves as though it has an embedded option (well, actually several). It's driven by a monte carlo simulation. The heavy lifting is done in Excel, because it is so easy to use.I further completed a currency arbitrage app that includes hedge ratio calculation, limited modeling capabilities and order entry for electronic execution. Again, the math is done in Excel but the user interface was VBA -- really easy to use and effective. This app is currently in use by a large trading operation, and is run on a tablet. I am anxious to sink my teeth into more modeling projects and was looking to tune up the CV in order position myself to take them on -- although in my heart, from a sheer number-crunching and execution perspective, can't see what CAN'T be done in Excel, at least in principal. I suppose the larger datasets would drive you to something a bit leaner.Thanks again. *** I add this: I'd like to port my work to a better platform (if one exists) as a means of gaining the relevant experience.
Last edited by
chazw on November 17th, 2006, 11:00 pm, edited 1 time in total.