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Recent content by Sanket Patel

  1. Sanket Patel

    Suggestion for a Good Finance "Funny" Book

    Boomergang - Michael Lewis
  2. Sanket Patel

    Interpolating Option Prices

    Unless you want fit a model to the vol surface, I'd suggest just interpolating the 1m and 2m vol at whatever delta you need. A linear interpolation is a decent approximation.
  3. Sanket Patel

    Startup hedge fund (fundamental research)?

    That's the nature of the business. There are plenty of fund successful funds with < $100mm in aum. If the fund shuts down after two years, the two years of experience and knowledge under your belt will help open other doors.
  4. Sanket Patel

    Baruch MFE Where do Baruch people work?

    I started working at Numerix while I was at Baruch and continued working there after graduation. I'm now working at a hedge fund doing systematic trading.
  5. Sanket Patel

    R to Excel

    I've used RExcel in the past and it worked well enough statconn and
  6. Sanket Patel

    R to Excel

    I haven't touched touched R in what seems like years but a quick google search yielded A million ways to connect R and Excel which seems to be fairly promising
  7. Sanket Patel

    Purest way to trade option skew?

    I can't imagine you'd be able to find good two-way prices for some of these 'second generation' vol products like gamma swaps, FVAs, corridor var swaps. It gets even worse once you move outside underlyings such as spx, nky, eurusd, and usdjpy.
  8. Sanket Patel

    Credit Valuation Adjustment

    The paper by Zhu and Pykhtin is another excellent introduction to CVA. Jon Gregory's book is also a good starting point. For a more technical resource centered around the challenges of actually implementing a CVA engine, check out Cesari et al.
  9. Sanket Patel

    List of Wall Street themed movies

    Why can't a movie just be a movie?
  10. Sanket Patel

    Dear Quant Gurus !! SOS

    I'm going to echo Ken's question - what exactly does "too Americanized" mean? Also, I don't like stating the obvious, but in this case, I'll oblige. You should probably refrain from making making statements like that. If you end up working in quant finance, chances are your environment will...
  11. Sanket Patel

    Dear Quant Gurus !! SOS

    Take it easy with the caps lock.
  12. Sanket Patel

    any book for cva?

    http://www.amazon.com/Counterparty-Credit-Risk-Value-Adjustment/dp/1118316673 and http://www.amazon.com/Modelling-Pricing-Counterparty-Exposure-ebook/dp/B0041N3H02/ref=sr_1_1?ie=UTF8&qid=1383601821&sr=8-1&keywords=counterparty+credit+risk+cesari
  13. Sanket Patel

    2013-2014 QuantNet Ranking of Financial Engineering (MFE) Programs

    I disagree. This introduces far too many variables, not to mention it introduces preferences into the methodology. What one person considers a 'suitable' lifestyle may be vastly different from another. And preferences, as we know, don't jive well with risk-neutrality :)
  14. Sanket Patel

    How to compare models?

    Look at the theory underlying the models. Taking BS, for example, calls and puts can be replicated through a combination of bond and stock. Create a portfolio which is priced with the 'model' and a second 'replicating' portfolio. You can test the performance of the model by tracking the...
  15. Sanket Patel

    What economics books that can help me understand Shreve's Stochastic Calculus in Finance

    But if you are feeling particularly inclined, look for books on financial economics. An example of one is this.