Recent content by John

RIP Dr. Carr, had a chance to interact with him picking up some materials for the school. You will surely be missed.

Hi Alberto, Is there a particular country that you are looking to move to professionally? or are you thinking about pursuing further education (Master perhaps)? A disclaimer, I work within the LATAM space (in US) but not specifically in quant finance. Since I am in the US, my understanding is...

It depends WHICH program? There are a number of programs that have this subject as part of the curriculum. Some even place a good number of grads into these positions. Do a lot of research in this regard.

Plenty of people with engineering undergrad degrees get into these programs. So from that perspective you've got a chance. Still in the running. Having no finance experience, no problem, plenty of people make a successful transition to. Average/low GPA? then you need to take a non-traditional...

http://www.prmia.org/civicrm/event/info?reset=1&id=6562 Managing Emerging Systemic Risks Tuesday, February 3, 2015 New York Life Insurance, 51 Madison Avenue, New York, NY 10010 In our interconnected world no emerging risk can be ignored. Multiple marginal risks today can amplify and cascade...

try Nelson-Siegel extrapolation

Depends where your interest lie. The work on FX hedging could eventually lead you to a corporate finance hedging job with multinationals. Cross-currency swaps, FX NDFs, would be some of the products you will be dealing with. The FX algo trading gig would probably be dealing mostly with spot...

I would take the online C++ for FE course, or any equivalent course, to get your "derivative pricing in C++" to a decent level, even if you were to get the internship position. You will be that much further along than the average MFE applicants, in terms of understanding what it takes to be...

The high-tech start-up scene in Seattle is getting better and better. Something to think about. Taking that gig could lead to a big break. Just my humble two cents.

Definitely, all these are needed for quant jobs nowadays.

C/C++ for production work, Excel VBA for R.A.D.

I think you would probably need to know about the cash flow models inherent in the MBS/Agency/subprime ABS (the waterfall; the deterministic part of the model) structured securities. As to valuation, familiarity with prepayment models, market-consistent pricing is probably needed (the stochastic...

Cra$hmaker, it is a two-volume monster of fiction. http://www.amazon.com/Cra-hmaker-Federal-Affaire-Novel/dp/0967175909/ I am -slowly- going through it. Good thing is that each chapter is short. Highly recommended.

The IV for OTC options (In general, not necessarily the FX options) are always difficult to obtain. I gather that your model is using the difference in IV between OTC and listed options as basis for calculating the counterparty risk. I don't know if such data is readily available, but I would...

both CMU' MSCF and Baruch's MFE have machine learning as part of the curriculum. Probably a few others as well.