Search results

You are still making assumptions about how the industry will operate. Specifically, that there is going to be a big machine putting out new products all the time. That is not a given, as today it seems the independent investment bank has gone into temporary or even permanent hiding. Nobody is...

I think evil and newtoquant are missing the forest for the trees. Of course there are little niches in which quants will survive under any circumstance. But the current market of quants can more than fill those niches; will your skills be lucrative and in-demand? By analogy, are we entering the...

Woody, that is the implication of this article in WSJ: Business - WSJ.com And the original statement: Real Time Economics : Fed Statement on Goldman, Morgan Stanley Perhaps that version of Wall Street is done, as you say, however this does not prohibit some other player from entering this...

Hello, and welcome to the forum. Questions like yours have been a hot topic lately; please take some time to look at the various forums for the answer. You might also find the FAQ (in my signature) helpful.

Requires a subscription :( (You can get a trial, though)

The authors of the paper very sweetly wrote a kind of summary:

Some of these are duplicated, but here's another reference with other sites. Wilmott Forums - Where can I find free financial data?

That cool blog, for the curious: train of thoughts

Happy birthday!

bigbadwolf: You're consistently very cynical and particularly negative on quants. The first is understandable, the second is more puzzling. I wonder why you keep coming here for that sport? :)

I also was at that info session, and I noticed that there were many questions about improving the application. Such questions are answered in the Baruch FAQ Andy linked to. (As a side note, people sometimes people lose sight of why they are doing something, and get caught up with the thing...

It doesn't sound like you know what's out there. Read up on the industry, job functions, memoirs, etc. For the small portion of the universe that is quantitative finance, we can help you there (see the FAQ in my signature for links on that) You say you would like to get a bachelors? Does that...

I was going to say something to that effect; it's a chicken-egg problem still. They need to raise cash before writing down the assets, but the price at which the new equity comes in would be selling the company, in effect.

Most of the article is old hat: bad risk models, securitization means a dash for trash, etc. The last section is the most interesting:

I believe the technical explanation is that trading was halted, and when it resumed, the shares had gapped up. It shouldn't have a line connecting those points.

No, the SEC only regulates US markets. Many countries have standing rules that restrict or prohibit short selling altogether, though.

I still don't buy this shorting spiral theory as its own component. There's a saying that you "can't fight the tape" -- shorting more stock will usually just cause you to lose more money if you're trying to manufacture a disaster. That's not to say that with these other legs to stand on...

Isaac, I request that you stick to the conventions of this board and refrain from using confusing shorthand in your posts, and instead spell out words.

It's not so trivial; all of these companies access the equities markets when the **** really starts to hit the fan. If the stock price goes down the tubes, they are basically giving the company away, which we saw with Lehman wasn't an acceptable outcome. As confidence falls, they won't be able...

OHhhhhhhhhhhhhhhhhhhh you are so right! Come one, I'm not that dumb. I was operating under the assumption that international students have to be FT to keep their visa.

Deflation of the commodities bubble is causing oil & gold to move together: down. Treasuries are going down because the dollar was strengthening.

The question is: does your family live in a swing state? If they live in our fine city, they won't be able to do much to turn the tide either way. But you can always help send a message.

Some frighteningly accurate sarcasm: The Big Picture | The Terrible Lessons of Bear Stearns -- we just have to hang around until the next crop of "too big to fail" get up to bat: the JP Morgans and BAC's of the new world order...

Those tables are a lot of fun to look at. I know the people who constitute the 2% in our class... Curious: 28 FT students and 27 international students. I can think of more than a few full-time, not international students. Is an "international student" someone here on a student visa, or is...

You WISH you had a bridge in Alaska; the money got soaked up somewhere else. Someone should have taken my odds; I had Andy as a longshot.

Really? They'd rather have someone overqualified who will jump ship as soon as possible to a fresh graduate eager to please? I can see both sides of the story, but I guess you're saying the huge influx of people into this industry in the last few years means it's basically bottom-heavy.

John: that article on Reserve Primary Money was chock full of goodies. RPM has joined an elite group, you can see. If you read down a little, that this group of MM funds that have broken the buck is a ruse: The parent usually takes the hit so that the MM can avoid it; Reserve just didn't have...

I will resist the strong temptation to bash candidate I dislike. But I am giving odds on who will take that gauntlet and start a flame war... I mean political discussion.

... it's funny because he boasts about not knowing computers. He should get together with Ted Stevens and talk about the Tubes, which are not a dumptruck.

Thanks! I made this thread sticky so it will be easy to find. Perhaps some frequent posters can also link to it in their signatures.

I just wrote: Forum FAQ - Quantnet Wiki Anything I should add? It's a wiki, so you can add what you want, too.

Google is your friend. Check out the GRE website; if it's anything like the general test, they will have preparation material there.

I know they come to some workout value when there are more contracts than notional covered. From wikipedia (Credit default swap - Wikipedia, the free encyclopedia)

I heard a buzz about covered bonds; I'd love to read an intro on them.

There was a big thread on the benefits of the programs recently: some truth about the Columbia OR - QuantNetwork - Financial Engineering Forum That might help.

Makes sense, but reading the article, they refer to "graduates" as opposed to "applicants", which makes me think otherwise.

What does this mean? 70% of job offers are accepted?

Actually, if the paper seminar bombs, I'll just roll that time into organizing D&D... or WoW if that's more your style... ;)

It's a somewhat rarefied list of public master's schools in the Northeast... still not bad. :)

You should do more research before posting; look around these and other forums (see my signature for several links), and program websites, as many questions are answered. 1. Is the MFE for me? I mean i dont really know what else to do since quant was kinda my thing. The other thing i can look...

It may be inappropriate, but you could use a wiki page for that. Then each person can "claim" an item by editing an putting their name under it.

Just came across this article on a blog (http://quantinvestor.blogspot.com/2008/09/greenspan-versus-buffett-forbes-2003.html) The Great Derivatives Smackdown - Forbes.com And, of course

I don't live very far from there, so I can reserve us a spot. I can probably also find some blankets to sit on (will post again if I do).

Makes total sense. The options are there to hedge the futures, whereas the index is not tradeable (is it?)

Check out links in my profile. We don't really do these "what are my chances" threads on QN.

Algorithmic Trading Conference - QuantNetwork - Financial Engineering Forum

Where are you getting the quotes? Are both the VIX and option prices delayed or both real time? Are you looking at last trade or bid-ask on the options? Use the latter, especially when trades are not getting executed. Look also at when the last trade was made. When I go to the CBOE website and...

Isn't the buy side by definition the only place with the traders? Or are you differentiating it from brokerage and, e.g. IB hedge funds?

Happy birthday!

That is inspiring, but you have to also recognize the reality that 100,000 more qualified people have lost their jobs on Wall Street. That is an extremely tough market to break into.

That's a strong statement that people consider their days numbered... really putting your money where your mouth is.

You have raised more questions than you have answered... I hope to hear more about this at some point.

Don't you mean trading, not market making?

Last week we went to Rodeo on 27 & 3rd. It was a bar, and it was a little too loud to talk comfortably. We can all meet again outside class, and go over at the same time, either there or a different place.

I was in high school a few blocks up West Street at the time. I wrote something down that evening, I think (there was nothing to do, and I was at loose ends). It is here with many others from my high school: World Trade Center Memorial Site: Eperience You can also find a special edition of my...

I believe: Hull, Shreve, Stefanica are common starting points from a financial instruments perspective Emanuel Derman's book for a flavor of the industry Can you be more specific about your interests in mathematical finance & knowledge?

I believe many funds leverage their investments up at least 3-to-1, sometimes 5-to-1 or more. That means for your $100, they will invest $500. They do this because their strategies (and this is many quant funds I am talking about) return only a few % with low volatility that needs to be...

I would say it is high stress, high pay. It also depends on where you are in the hierarchy; if you are a trader, you will have to avoid bathroom breaks during intense times. If you are a programmer in the back office, it will resemble your engineering job. I would suggest reading some of the...

Firefox doesn't sit idly by... many of the features touted by Chrome, including seams tab dragging and fast Javascript are coming to a browser near you: http://arstechnica.com/news.ars/post/20080905-first-look-firefox-3-1-alpha-2-officially-released.html

Google maps to the rescue! Google Maps I have the location marked on the map. The picnic area is called the "Great Hill", if you want to seek other web resources. Ways to get there... 1. B,C to 103rd street. (There are stairs right where you come in on 103rd street; walk up those and keep...

Probability is 1. He is a magician, so the ace was up his sleeve.

Do many people have leeway to install this software on the office computers? The reason I ask is that my colleagues and I tend to agree that there is IE and then there is everything else. That is there are three types of people in the browser wars: there's the people who can't install (office...

Not so much google's style, but I could see them trying to subvert such a thing. After all, their revenue is almost completely derived from ads.

Many of your questions have been discussed on these forums before. Please take a look at the "MFE Candidate Profiles" in my signature, as that is where those answers tend to live.

Forgive the question: do you have a main in your prjoect?

...and the debugging! Oy!

Has anyone else downloaded it? (Google Chrome - Download a new browser and Google Chrome) It seems pretty fast to me in comparison to Firefox 3, although I think it's psychological (all at once vs. as the elements get done). (I like to think the my plugins on FF3 speed it up, but maybe they...

There are several posts on Birbeck on these forums: QuantNetwork - Financial Engineering Forum - Search Results

You should also consider that employers are more likely to hire locally; you will have an easier time both finding companies and scheduling interviews if you are going to school where you want to work. (This is also a topic somewhere on these forums...)

I suppose I didn't like being in school that much, so seeking another degree without a firm understanding of where I was going with it was very undesirable to me. FWIW, the Baruch program has significantly more American students; it's probably a function of visibility and brand recognition...

It's under the "visa" search tag now, so that should help...

Thank you both for an enlightening discussion. After thinking over my position more, I realized I was looking at it only through my own eyes: American-born, raised, and educated. Someone coming from another country would not have the chance to evaluate their options as I had, and so they have to...

Sounds like a question for an immigration lawyer.

My mistake: I had assumed that if you are going to grad school you know exactly why. In that case, wouldn't you save yourself a lot of time, money and effort by doing some informational interviews with quants? Some of them, either people you cold call, friends, acquaintances, or alumni of your...

Where would you suggest?

Hairy Monk is on 25th & 3rd on the east side, correct? That one looked pretty busy for our big crowd to fit in.

I scouted out Bull's Head -- they have a band and a $7 cover on Thursdays. Fitzgeralds on 25th & 3rd on the southwest corner is all right -- a little small for our crowd, but the best of those I checked out.

FinanceGuy: Thanks for your informative post. It's great to get this kind of information from someone first-hand. Your appraisal of the OR program is a very limited endorsement, at least as far as MFE goes. That is, MFE students get picked first by the school and by the employers. As a...

I was only saying that while your pretax, pre-expense income is $100,000 (a "payout"), that's not comparable to the $36,000, which is paid for with the after-tax, after-expense dollars.

Browsing newsletter archives does not work. I get a 404 error when I view messages.

100K isn't really 100K though; actual pay after all your expenses (taxes, housing, food, utilities) is going to be much less, maybe 20K. You'll still make back that $36K, but only after a couple of years.

I guess this doesn't meet your criteria, but I'll throw it out there: Now that you mention it, our trading platform (Knight Direct) provides RSS for company news (I think). Something like that might work as well, but obviously you want to platform independent. Don't think you can get historical...

I have an embarrassing story about the great hill, location of last year's picnic, from my childhood. I will tell it to you if you go to the picnic, and if you ask me to.

I scheduled one of those Subotnick tutorials on the 13rd, so I prefer the 20th, but that can obviously be canceled.

Although bloomberg doesn't provide a good API for the news, I discovered the macro recording recently that may do the trick. Press Alt-R to record your keystrokes on Bloomberg, and you can write a simple program (look up macro recording in WAPI) to "play" the keystrokes back in the terminal...

Reuters? I assume you are looking for something more than what a trading platform provides (i.e. pricing data). You can also get Compustat XPressfeed, e.g. depending on what you want, that is somewhere above $20K per year, I think.

See the OP: he's not going to school; he's working at a start-up.

...due in no small part to your "posse's" determination. ;)

The title says it all. Location is Grand Saloon, 23rd between Lex & 3rd around 8:30 We'll plan on doing this every week; just putting it up here again for people who weren't in the refreshers.

I think in the original link (.NET4Office : Writing user defined functions for Excel in .NET) from which you wrote your tutorial they say how to make it portable. Rather, they imply how to make it portable, and then say "buy my book" to get the real secrets. (See the "improvements on the code"...

Thanks guys, these are all great pages. Please keep them coming!

Since this thread first came up, I spent much more time looking at WAPI -- if you look around there, it explains what the different limits are on data use, and how you can minimize your hits by using the API calls wisely. EDIT: They describe the limits and how to stay below them in the...

In the past there has not been as much expertise on this forum about Australia, as this is a New York-centric forums. However, I encourage you to search the forums for such questions, as some have come up from time-to-time. As for preparation, there are quite a few such threads; please look at...

NYU has a program in which you can get an MFE and MBA at the same time. Courant Institute of Mathematical Sciences NYU

What are some good websites with quant finance papers? I have a short list mostly garnered from the forums up at Category:Paper - Quantnet Wiki If you have any more to add, you can just put them on that page, or reply in this thread.

I think you're talking about a job board; the guide is for informational purposes of a more qualitative manner (what do employers look at; how does this or that look on your resume; trends in hiring; interview material). I doubt you'd get this level of depth from reading forums. I should...

I really like this new tag cloud. It is now my goal to make the tags more balanced to reduce the size of Baruch MFE and MFE Candidate Profile :) If anyone wants to help tagging old posts, please PM me; I'll help coordinate forums/topics. Even if you spend an hour opening up threads; scanning...

Depends. For a few bucks, I don't see why I wouldn't pay someone to do something menial but important to my business. But, I don't have a business, and I don't see it being helpful in my daily life. After all, why would I have someone read my personal email; I would take steps to reduce that...

I tried it as an experiment to help me find a moving company. I didn't feel it was particularly helpful, although it put my mind at ease that I had already found the best deal. Four hour workweek - -that's where I heard about it: The 4-Hour Workweek and Timothy Ferriss and 301 Moved Permanently...

I'm not so sure about that; I think he's backed up is all. Look down the thread a little; people at various points ask about it and are told someone else got it recently. Dominic, have you considered hiring an outsourcing agency to handle this kind of task, i.e. screening resumes, organizing...

I can't help you there. I suppose you'll either have to fork over the dough or suffer with the Express edition. What features do you need from Visual Studio Professional? It is my impression from your post that you are just learning to use Visual Studio, so you won't need such advanced features.

If you are a student, you can get the software for free. This is from our Quantnet wiki: https://downloads.channel8.msdn.com/Default.aspx

Hey Charles, I don't know of any such tutorial except for what I've figured out from looking at projects/solutions myself and playing around piecing things together here and there. If you do happen to find such a document, I would be curious, though. My understanding is that the directories...

Curious what you did. something I suggested, or another option?

See my edit. I did use an example without an issue in which the product and count do not incorporate blanks. There are two ways to do this easily, quickly, once. Either: 1. Assuming your returns are in column A, insert a blank column B and fill (either highlighting and fill-down OR copy one...

I don't believe your formula needs to be an array function; both PRODUCT and SUM expect arrays. The functions you are using already ignore blanks. I am unclear on what your desired function would do that this does not. You appear to be assuming that your input is on a monthly basis from the...

It is pretty much the same interface: http://msdn.microsoft.com/en-us/vstudio/aa700921.aspx Certainly as a beginner, you won't miss those features. It's likely that the examples skipped some steps or applied to a different version of VS (and therefore needs some additional changes not covered).

As soon as I wrote "it's attached", I went and broke something... putting it back as it was right now. What's very weird is that I changed the code to use a different database... and now I can't insert new rows! However, all I did was change the column names and the file location. I'll play...

I am working through the example Andrey posted. It works for me, but I have to make some modifications, probably due to different Visual Studio versions. See the following for my adjustments; assume otherwise that I closely followed their instructions. (I didn't find their code for download...

You'd be surprised at the variability in price. Depending on amenities (doorman, elevator, floor if it's a walk-up, laundry in building, light) can make a HUGE difference in price. I would say somewhere between 1800-3000 for a 1br in the financial district. But I've never lived there; just...

Don't be so sure; that's exactly the kind of thinking that is the making of bubbles. I'm not going to try making an argument to the contrary, but pricing is a complex machine. Just like in stocks, if everyone gets on one side of the trade, it's going to go the other way. Anyway, for an entry...

It sounded like a whole rigmarole to actually get the software... EDIT: Maybe not, assuming your school is connected to their network. You're right, this was covered once before on QN: Free Visual Studio 8 Professional Edition - QuantNetwork - Financial Engineering Forum and I put it on the...

I think it is hard to make an argument based on "successful trader" outliers. If a PhD can come into the business at $150K, that is pretty good compared to most of the world. If that's all you ever wished for, that's one thing, and there's not a lot to discuss here. Financial jobs pay well. But...

Bendort: I haven't seen anyone approach it that way. I think that would be very helpful to think about. How does Otropablo support his/her position after reading the NYT feature? It explains the solution in a pretty straightforward manner. Also, see...

I thought I would share this article on QN.

This seems to be a common problem; take a look around at some of the mfe candidate profiles to get a feel for what is important (link in my signature). Regardless, you should be able to patch yourself up with self-study, etc. over a year or two if you can't get into your desired program...

Here is an old thread on QN which touches on similar material: Integrate C++ program into VBA - QuantNetwork - Financial Engineering Forum

If you want to do vocabulary, there are zillions of sites out there. I suggest you stick to one site which you can "train" so you don't end up being tested on the same (easy) words over and over again. If you want GRE-format problems, the universe is somewhat smaller. I used the following to...

How do you see this?

Take a look at the links in regarding MFE Candidate Profiles to see other threads on this topic in my signature. Also see the books link in my sig, which, if you go to the "required textbook" link should get you there

Yes, but which do you really want to go to? Why bother with the rest? This isn't college, where one degree is about as good as the next, so long as you get one. See some of the other posts in my signature.

Apparently the job market doesn't care enough for the school to care about it, either.

That is exactly what I was looking for. Something I can wrap my head around as a first approach to the matter. Thanks!

No, 7% is the fraction of people laid off from subprime. It is the people fired and not replaced, as opposed to the number of people fired or who quit and replaced, which is the number you are thinking of.

...if they already have a gym, laundry services, catered meals, it's only a matter of time before IBs expand further to include haircuts, and more...

I don't think Alain was trying to be nasty; there are just a lot of profiles out there (look around these forums) that are quantitatively like yours. I also don't think the profile I posted represents him particularly well; it is a two year old blurb. Having met him, you can easily see he is...

When I download the example and try to compile, I get some compiler errors, (almost) exclusively due to different string types being expected. I changed the types to what the compiler was looking for, and it compiles OK. However, the code throws an exception when I try to connect to the DB...

You don't need VBA to do that. Write add a third cell whose value is 0 if you have nothing entered, 1 if dollar amount only, 2 if % amount, 3 if both. =if( AND( A5="", B5="" ), 0, IF( AND( A5<>"", B5="" ), 1, IF( AND( A5="", B5<>"", 2, 3 )))Where A5 has the $ cell and B5 has the % cell. Then...

Beg all you like; these are never hard-and-fast rules. Perhaps you had something else to recommend you at the time.

Put it this way: 790 is not acceptable, regardless the scale. ;)

QuantNetwork - Financial Engineering Forum - View Single Post - Entering class of 2006

Great! This looks very promising. I was about to say something along the lines of "Why does VBA and PHP, etc. have a simple interface for DBs and C++ doesn't?" Well, someone has thought of it...

I was lulled into a false sense of security by the ease with which VBA does it. I'll take another crack with that COM/ADO as you suggest. The bindings for the API I am using are only in C, so I guess I'm stuck with that. I also have to export a C library, but I'm guessing you can do that in C#...

While ENROLL seems like a good example, it is so far form what I am used to (I haven't written a windowing application before; haven't used MFC or COM before), I don't even know where to begin looking. Do you know of anything that's perhaps, 5 steps below that? I'm not averse to learning these...

Hi Christian, Although they call it C++ code, isn't that really C code (the headers & procedural nature)? I was also hoping for something with a little more explanation; i.e. what are the headers doing? The dll import line? This one in main: ::CoUninitialize();(I don't understand that syntax...

I have to write a DLL that makes a call to an Access .MDB database. I think I have the DLL part down (I found http://msdn.microsoft.com/en-us/visualc/bb838687.aspx very instructive), but I can't find a good tutorial on using OLE DB (optimal, they tell me), ODBC (suboptimal, they tell me) or even...

We'll make an exception: 70 shots. Super power-hour. I think it's fair.

"After class drinks -- FREE a" and then people click thinking "what is 'FREE a'?" Only to find out that it got cutoff and "a" is "admission". The thread might get more hits than the MFE programs, Quant interview questions, etc. threads! Genius.

You're taking this very seriously, Naing! ;)

No problem, Dan :)

Incidentally, non-drinkers are welcome too; don't consider this to be some kind of exclusive event.

It's (O(1)), although the coefficient can range rather large. It is a weeknight, though...

The way it's stated, it sounds like you could very easily save all the people: each person tells the person in front of them what color that person's hat is. The last two people switch, and the former "last" person is told what color his hat is. "Collaboration"!

I believe the distinction Ilya is trying to make is between strongly typed and weakly typed languages, as compiled versus scripted languages don't make a meaningful difference, IMHO. If you already have programming concepts down then learning new syntax should not be so difficult. FWIW, I...

Sorry I was just in a probability course and wanted to remind myself I could do the math... :)

It's the same game: the probability the coin came from the first draw given you picked a gold coin is 2/3 (2 of 3 gold coins live there), and from the second drawer, 1/3. Or, P( 2nd coin is gold | 1st coin is gold ) = P( 1st coin is gold | 2nd coin is gold ) P( 2nd coin is gold ) / P(1st coin...

I'm telling you, go to your friend and play it verbally. (Person A: OK, I'm thinking of a number between 1 and 3. Person B: 2? Person A: It's not 1. Person B: ____ ) and see how often person B gets it by doing one strategy or the other. It becomes fairly obvious that person B is being told which...

I am surprised to hear that people are still using fortran. This must be a result of legacy code, no?

I don't follow your reasoning. A poor return on 1 share is the same as a poor return on 10,000 shares, unless you are leveraged. I didn't think you were trading just 1 share; I am thinking percentage-wise.

If you get filled at 10.07, the only difference in your P&L is the cost of executing the trade. If you put the order in when you see 10.07 go across the tape, that's another question, and it depends on how quickly the price is moving.

Bid-ask spread. Tight spread means that there is a a lot of liquidity, and it is very cheap to get in and out of the position Making 7 bps in the entire trading day is a poor return on your money given the risk. Institutional brokers charge per-share in the US. I believe in Europe (and...

Those are high frequency statistical strategies, and they are out there. However, they will have some additional constraints (mean reversion, momentum, resistance, etc.). One thing that becomes very important here is speed, trading costs, and the spread. Even if a strategy exists, it may not be...

CFA Level II and III are only given in June; Level I is in both June and December. I will gauge the amount of time I have after the 1st semester, but I'm 90% sure I won't take the next level until after I'm out of the program. The amount of time you need for studying is a function of what you...

What's actually really funny about the story is his diatribe about the model not fitting life... however if you just PLAY the game (which is very easy to do), you see immediately that the math works out! (That was the best way to persuade my boss the math worked.)

Given that, I would say the best thing to do is come up with a few heuristics, e.g. break the name into individual words, search in each word; compare directly; look at underlying stock price... and the item with the most matches is guessed to be the issuer. Bloomberg or some other data...

http://geekswithblogs.net/bloesgen/archive/2008/08/02/124201.aspx This section really caught my eye: Their description is everything I have heard about New York prior to 1993 (if we have to date it). Ambition, energy, "can do". The paragraph about not telling people how tall the Burj al Dubai...

Can you get a data dump of issuers + codes? Then you can go into excel and do a vlookup to match them up. Alternatively, you can leverage excel to generate a long boolean query (company = "XYZ" OR company="PQR" ...) and copy and paste -- doesn't solve the fundamental problem, but makes it much...

Telecaster: i put your reply on the wiki (unedited); it seems to be a very good explanation of the issues involved.

Category:Qualifications - Quantnet Wiki There are some links here. Look in the PhD and MFE/MSCF subsections. If you have a good answer, you can take a stab at writing this into a real article. (If you find more links that are worthwhile, add them there.)

Everyone is from Goldman Sachs, don't you know? Even my mother and unborn son.

I have always found this to be an interesting dichotomy. Did you find out these peoples' stories? How did they land the job? One thing is for sure: Ivy League graduates are very persuasive.

It was not required for 08 admission, can't say about next year.

Dude, enough with the sauce analogy. The point is that the MFE doesn't teach you how to trade, it teaches you how to value derivatives, and there's a million ways to get between the two.

Why not? It's not clear what you're asking here... Just fix yourself at the time (e.g. 1/5/1990), and run your model on the data released prior to that day. You have to make sure you don't use data that wasn't available at the time you make your simulated trading decision. For example, if you...

Marmite? (Marmite - Wikipedia, the free encyclopedia)

I think he's trying to edumacate us slowly, Andy!

Jared: substitute blsput wherever you see blscall in the code royalbitbol posted and that should be it. (That is, in any code you have, use the Black Scholes price of the put in place of the BS price of the call to change from computing Call implied to put implied vol).

Andy, that camcorder sounds amazing... what's the catch? What more could a person want? Image stabilization? Zoom lens? Better quality lens? Maybe it has those...

Bravo, and good luck with your application!

There is a "recommended books" forum. At the top of that forum is a thread called "Master Reading List for MFE". You should start there. EDIT: You're already in the recommended books forum... just look for the sticky thread.

The better question is, are you the CFA materials, Alain? ;)

I wouldn't say that. I think they are a good summary. I studied most of the curriculum from the Schweser notes, but for things I wasn't getting (like economics), the CFA notes were much more thorough and made a huge difference. Similarly, trying to learn accounting principles from the Schweser...

To add to Dmytro: he gets a chance to interview the group, and should ask for an opportunity to sit with them for part of the day and watch the work flow, talk to some of the team members, whatever will satisfy him.

Part time and full time are treated the same at Baruch. They do not make a distinction on the application, if I recall, and the only difference is the tuition (set by the college) and the number of classes you take. Tuition and Fee Information - Baruch College Specifically look at Graduate...

You're here, aren't you? :)

I started with Schewer, but ended up using the books the CFA sends, plus any practice tests I could get my hands on. With the CFA books you have to be careful not to study wayyy too much and not cover the test material. Schweser was a little light on explanation, especially for someone who has...

I believe that is still computational; it's the "sledgehammer" method.

I've used both Bloodshed and VC++. I find the debugging in Bloodshed to be a pain. (e.g. adding breakpoints while running isn't possible and getting locals, especially from objects, is quite difficult) Creating a project is a 30 second exercise, and pulling up an old one is instantaneous so I...

The Google strikes again. This is for 2005, but should apply: Compiling Programs in C with Microsoft Visual C++ 2005 Express Edition Why not upgrade to the newer, cooler C++ language?

I would say it depends on your background. I spent a lot, lot more time on Economics & Accounting principles than I did on Quant (barely any), Ethics (mostly cramming), Alternative Investments, or Fixed Income. But I have never taken a finance course before, and I haven't had economics since I...

That's pretty straightforward bond pricing... shouldn't you have known that for your job app?

I would feel like a real jerk if you could pass the CFA in 4 days of studying to my 6 months... I'll be there. Tonight?

It varied: I started studying in earnest in late January with about 5 hours a week; I bumped it up after I got all my MFE apps in late February to more like 10 hours a week; I started doing 10-15 hours a week in early April. Based on that model.... it appears I would have done 150 hours...

The level 1 results came out this morning at 9 am. I believe level 2 and 3 come out in 3 or so weeks. How did anyone do? I passed! Obligatory dancing banana: :dance: I think I did worst on alternative investments :) I recall answering that hedge funds are not usually highly leveraged (it was...

Not all funds are quantitative, and not all money managers are actually doing the work. Some of them are more like salesmen who get the money in the door and hire the smart people to generate the returns.

Plugging that bond into my financial calculator with 7.5% interest rates, I get about $286,000 as the PV. So it seems to be in the ball park by that metric; your answer should be lower with the prepayment risk. The interest rate risk may also lower the value (depends on the model of rate moves...

Surely you can get English language books in the Ukraine? Amazon isn't the only place out there selling books. Perhaps a bookstore can help you out; perhaps you can get them through Ebay dealing with an individual (who is more flexible); perhaps you can work something out with someone in the...

I was actually asked an equivalent question on a job interview. Work backwards. (i.e., Suppose the score is 3-3; what should my current P/L and bet size be to have the required output? What about 3-2 based on that knowledge? How about 2-3, 3-1, 1-3, 2-2, 1-1, 1-0, 0-1, in that order, I...

A lot of academic research goes on towards this end. Just today I was pointed to an article from 2000 on short interest and returns. SSRN-An Investigation of the Informational Role of Short Interest in the Nasdsaq Market by Hemang Desai, S. Thiagarajan, K. Ramesh, Bala Balachandran The...

Before and after taxes? :) In a recent Berkshire Hathaway letter, Warren Buffett observes that Berkshire's tax bill ($4B I think) ran the entire federal government for 5 minutes or so. Take our billionaire earners here, and they each run the government for a minute each... assuming they pay taxes.

Which version of C++ are you using? I played a little with the visual studio to build GUIs, and it seems extremely easy once you get the hang of it. I can't imagine the C# is meaningfully different, especially if you're in VS.

Seeing how word does the equations, I can see why you would do it as you did: it's kind of a pain. It would be quick for me to turn it into latex: is it worth the effort?

Sorry I meant |S| not S in #3 -- I was just talking about a more intuitive description of the number of terms. I knew it didn't quite look like Latex (that and you said you weren't going to use latex...)

Speaking of ver 1. You might make it clearer to use paragraph form for each of your items using Definitions and Theorems. That is, That way, there isn't any looking up and down the page. You might also use footnotes for your notes, but let's not go overboard :) (If you post the tex source, I...

While we're outing ourselves: I just took the CFA I in June, so I have more than passing familiarity with the material. My parenthetical was clearly second hand from a coworker on the fundamental side as well as a PM at his own quant fund; the applicability is to stat arb. However, one can...

Let's not go overboard here: the CFA is a different skill set. The CFA is geared towards fundamental analysts on both buy-side and sell-side. It test skills in stock selection. These are not skills you will use in most quant jobs. (But I am told that there is a premium for someone with both skills.)

See the interview with Dominic Connor, I believe he voices that opinion. EXCLUSIVE: Interview with Dominic Connor of Paul & Dominic (P&D) - QuantNetwork - Financial Engineering Forum

Oh, I was just drawing on general knowledge of plain vanilla options; I don't know about FX in particular.

Sorry, I don't know about FX options. Which thread are you referring to?

Do you want to do software development? How does that fit with your goals? Some people on this board are pretty dismissive of being in a software development role; they say that if you get pigeonholed there at an IB you may just miss the boat on getting to the front office. (I am probably...