Recent content by euroazn

Congrats on the (semi) retirement!

Glassdoor and Wallstreet oasis have large compilations of interview questions for many of the quant shops.

Of course, Bloomberg requires a subscription. If you're doing this for an "at home" style project, you're SOL

It's trivial and canonical. People buy and sell the strip literally every VIX expiry (which is now weekly)

That doesn't look like a payoff, that looks like a price (as it seems to be a constant). The payout component is presumably $$(\int_0^T S_t dt-K)^+$$ In which case, yes, this looks like an Asian option. If you are concerned that there is no 1/T term before the integral, note that you would...

Python... the daddy of AQR's programming team because they are really really really proud of their library

Or he can learn a useful language like C++ like the rest of us did

My life advice is to know your limits and stay humble. For internships just do some software development for now.

Here's how it will most likely work: 1) You pursue a PhD since you believe the people who tell you you *need* to have it to work in industry. 2) You will then work ~5 years doing predominantly programming work, making more money than the average but still not satisfactory to preconceived notions...

lol

It validates itself... computer science is a subset of mathematics. Computer science is true because results are predicated by axioms. If we begin to argue that mathematics isn't a science, we venture into philosophical ground and it is completely irrelevant to the discussion at hand anyhow...

Not at all. Software development is not a subset of computer science. Computer science can be done entirely with paper and pencil, and is as much of a science as mathematics is. Math is maybe 10% aha moments (of course, by time/beauty these take up more than 10%) and 90% stepping through an...

No no no no no no no This is incredibly bad for a billion reasons, but the biggest thing it introduces is all kinds of nasty autocorrelations. You can not do this

Eh, computer science is a science, but software development is exactly what you describe it as. Just being honest, mate. In any case, as someone that works in industry... if you can't program, don't even bother.

I'll take the probably unpopular stance and say that if you really got a C in an introductory programming course, you probably aren't as good at math as you say you are either.