Recent content by Alexei

What portfolio performance attribution packages are available for purchase? I am looking for a simple and not expensive library. Let me know if you know some. Thank you.

Speaking of quant development, if someone is looking for a job, there is an opportunity available: https://www.quantnet.com/threads/developer-financial-services-software-company.12967/

I do the quantitative software development for financial institutions (Banks, Hedge Funds, other) and I lead a current project connected with high frequency applications for traders/fund managers/other. The client is expanding and is looking for a help. If interested, send a resume for...

If T, X_n are r.v. and A = {T >=n} is specified by X_n then is T a stopping time? How can this be proved?

Looks like Columbia is going to welcome new students with a 25% jump in tuition for 2013-2014.

If you are zero on a math/finance part then going to a school is a plus since there you might get help with the studied topics; some of them cannot be easily aced at home. Also, if you are a developer and you want to build the system then start working on it today - with the school you might end...

For a simple model you can do the following: take a year long treasury returns for a RF rate proxy. Next, use quantities to express holdings vs market value of positions. To compute position return, use the following formula: q * (Position Close Price - Position Open Price) * I, where I E(-1...

With this background the changes are close to 0. Enroll into the math program at a school where you would be interested in doing the MFE.

There is a non-zero probability of doing that - use the Bloomberg API in Excel if you have ISINs in Excel and if the whole work is to be done for Excel analysis. Otherwise, if it is for some expert system, use the Bloomberg API with C++/C#.

Your age is not important as a close to a 100% score on a quant math of a GRE exam, a lot of math, probability and statistics classes done which, along with some lump sum, will get you there.

I need the derivation, not the answer, I am getting some exponential integral.

Answer to original question: include <sqltypes.h> #include <sql.h> #include <sqlext.h> and the procedure call: SQLHANDLE sql_event; SQLHANDLE sql_connection; SQLHANDLE sql_statement; if(SQL_SUCCESS!=SQLAllocHandle(SQL_HANDLE_ENV, SQL_NULL_HANDLE, &sql_event)) goto...

What is the Laplace Transform function for the Euler Algorithm of the infinite series sum: [(-1)^t]/(3+t)^2?

What is the Laplace Transform of 1/(3 + x)^2

First of all, the first model is the extension of the Ornstein–Uhlenbeck process - a mean reverting process. With Heston you have a drifting process with some dynamics for a volatility. With the O-U model you have a reverting process that does not take a look at current values of s(t) while the...