January 31st, 2005, 5:07 pm
Sorry to be off topic, but you seem to be very informed in the quant business. Given that econophysics evolves, I understand coding will always be required. But given that so many types of financial instruments have been around, and that their numerical methods have been worked out in commercial products such as Mathematica, etc., why is there so much coding in econophysics? Better yet, can anyone guestimate what the percentage of coding is done to1) input data from some database to some platform for analysis2) re-code old solutions to old instruments (eg. European options, American options, VAR, etc.)3) write GUIs for users4) actually code for new instruments.Lastly, as for coding new instruments, what is the normal process? Do traders cook up a new instrument, and the quants figure out a representative PDE and then code it?Alex Alaniz, PhDPS--Before going back to Los Alamos, I worked at Dynegy (Houston) pricing weather, electricity, etc., and a part of me still doesn't understand what quants do in the world's real financial centers/firms.