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Recent content by maciek

  1. maciek

    Prof. Salih Neftci (1947-2009)

    This is very sad news. Prof Neftci was a great lecturer. I will never forget when during the calibration class he first wrote a complex formula for local volatility, and then he rewrote the same formula in pictures and charts. This was understandable to anyone, even with very limited knowledge...
  2. maciek

    The Master Happy Birthday thread

    Happy birthday, all the best!!!!!
  3. maciek

    The Master Happy Birthday thread

    Happy Happy Birthday Nalin ! :D
  4. maciek

    The Master Happy Birthday thread

    :D Andy, Happy BIRTHDAY !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! :D
  5. maciek

    What is a typical schedule of an average Quant?

    I don't know what is the average workload but I can tell mine. My job is not "pure quant". I work on the buy side with a small team trading equity volatility. I start between 7.30- 8.00. I finish between 5.30 and 10.00 depending on my class schedule at Baruch. My colleagues usually leave around...
  6. maciek

    Credit Derivatives Research Papers

    Great thread, very usefull and interesting pdfs, thanks guys!
  7. maciek

    Need help in getting historial data

    Maggie, PX MID doesn't work for all tickers (not real time for sure). To get PX MId just get PX ASK and PX BID and take the average =(BDH("IBM Equity", "PX ASK", "08/31/2007", "08/31/2007")+BDH("IBM Equity", "PX BID", "08/31/2007", "08/31/2007"))/2 if this doesn't work try to use the...
  8. maciek

    Gaussian copula and credit derivatives

    Good stuff, I attach Mr Li's famous article which changed the world. I wrote my master thesis on copulas and when I was searching for a job Mr Li invited me for an interview at Barclays. Of coarse I failed the the interview (It went really bad). That was before I started Baruch MFE program.
  9. maciek

    Aaahh!!! This volatility is killing me

    VIX Index is I think a good way to start trading volatility. VIX is based on the weighted average of implied volatilities of S&P 500 options accross a wide range of strikes and different maturities. There is a pretty complex formula behind the VIX. The idea is that VIX should reflect the overall...
  10. maciek

    The Master Happy Birthday thread

    Happy Birthday Adolfo!!:tiphat:
  11. maciek

    The Master Happy Birthday thread

    Happy Birthday Mike!
  12. maciek

    The Master Happy Birthday thread

    Happy Birthday!
  13. maciek

    The Master Happy Birthday thread

    Happy Birthday!
  14. maciek

    CDO Boom Masks Subprime Losses, Abbeted by S&P, Moody's, Fitch

    An interesting article I found on Bloomberg- interesting for those who already have taken classes by Prof. Sylvain Raynes
  15. maciek

    The Master Happy Birthday thread

    Happy Birthday!
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