Recent content by Pulco

  1. Pulco

    Interview with Emanuel Derman

    Great interview, good job Andy :)
  2. Pulco

    Bonus Regulation in Europe

    I have some but in french, I look for something in english, but these proposals come from France, so I fear there is no English material available yet ---------- Post added at 08:21 PM ---------- Previous post was at 08:12 PM ---------- This link is interesting. All the regulation measures...
  3. Pulco

    Bonus Regulation in Europe

    As you know, there is a real concern about bonuses in Europe and especially in France. A Bonus / Malus system has even be proposed by French President. I consider that this debate is currently going too far, if we continue this way, there won't be anymore bonus in Europe in finance...
  4. Pulco

    Books on commodities

    Anyone heard about this book ? An Introduction to Models for the Energy Markets An Introduction to Models for the Energy Market [9781906348229] - $145.00 : BooksonBiz.com
  5. Pulco

    Research Topics on derivatives!!

    Just one advice : Don't choose a subject just because it is the current cool thing in finance. Things move fast in finance and it may become obsolete when you finish. Think to students who did their PhD on credit four years ago ...
  6. Pulco

    Investing your own money

    I am currently reading this book "Come Into my Trading Room" from Alexander Elder. It is an interesting book on trading. Especially, it explains why succesful traders in firms, loose money when they begin to trade on their own.
  7. Pulco

    Heston and Nandi model (2000)

    I didn't look into the details but in theory you have to compute the corresponding log likelihood function (thanks to the density of your model), and then set its derivatives, toward each parameters, to zero to find expressions for the estimated parameters.
  8. Pulco

    Market Liquidity

    You can find a bunch of papers on liquidity here : The Quantitative Finance Library If you have some other interesting papers on this subject, do not hesitate to send them to me, and I will add them.
  9. Pulco

    Heston and Nandi model (2000)

    You have an implementation of the Heston Nandi model in VBA in this book : Option Pricing Models and Volatility ... - Google Livres You can see some piece of code and some explainations in this link. It can help you to start I think.
  10. Pulco

    A provocative discussion of Goldman Sachs

    their cover rox lol
  11. Pulco

    Heston and Nandi model (2000)

    may be you can find what you look for in this paper : http://www.quant-press.com/articles/QuantitativeFinanceCollector.pdf Also look in this section, there are a lot of things about the heston model : The Quantitative Finance Library
  12. Pulco

    Quick Deriv. Question

    I bet you are not a quant CFABLACKBELT ?
  13. Pulco

    From France - without cheese and wine

    I did the DEA leaded by Nicole El Karoui this year. Times are tough but most of the class found an internship. Concerning employment, we will see in September, but things seem to improve in finance, so I stay confident.
  14. Pulco

    Will "Thinking in C++ Vol 1+ Vol 2" help me create a good base ?

    I agree with Carl, if you know well C and want to move to C++, "Thinking in C++" is a very good book.
  15. Pulco

    From France - without cheese and wine

    very interesting article, thanks vlad :)
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