Search results

  1. A

    Portfolio Performance Attribution Model API / DLL

    What portfolio performance attribution packages are available for purchase? I am looking for a simple and not expensive library. Let me know if you know some. Thank you.
  2. A

    Quant Developer

    Speaking of quant development, if someone is looking for a job, there is an opportunity available:
  3. A

    Developer -- Financial Services Software Company

    I do the quantitative software development for financial institutions (Banks, Hedge Funds, other) and I lead a current project connected with high frequency applications for traders/fund managers/other. The client is expanding and is looking for a help. If interested, send a resume for...
  4. A

    Stopping Time for T

    If T, X_n are r.v. and A = {T >=n} is specified by X_n then is T a stopping time? How can this be proved?
  5. A

    Columbia MAFN Columbia MAFN, who has got decision?

    Looks like Columbia is going to welcome new students with a 25% jump in tuition for 2013-2014.
  6. A

    Total self study program for building automated trading systems

    If you are zero on a math/finance part then going to a school is a plus since there you might get help with the studied topics; some of them cannot be easily aced at home. Also, if you are a developer and you want to build the system then start working on it today - with the school you might end...
  7. A

    Calculating Sharpe ratio for a long short portfolio

    For a simple model you can do the following: take a year long treasury returns for a RF rate proxy. Next, use quantities to express holdings vs market value of positions. To compute position return, use the following formula: q * (Position Close Price - Position Open Price) * I, where I E(-1...
  8. A

    How do I get into a financial engineering Master’s program with a weak mathematical background?

    With this background the changes are close to 0. Enroll into the math program at a school where you would be interested in doing the MFE.
  9. A

    Bloomberg - All bonds for one ISIN: Not possible ?!?!?

    There is a non-zero probability of doing that - use the Bloomberg API in Excel if you have ISINs in Excel and if the whole work is to be done for Excel analysis. Otherwise, if it is for some expert system, use the Bloomberg API with C++/C#.
  10. A

    What are the Age ranges for the top MFE programs

    Your age is not important as a close to a 100% score on a quant math of a GRE exam, a lot of math, probability and statistics classes done which, along with some lump sum, will get you there.
  11. A

    Laplace Transform of 1/(3 + x)^2

    I need the derivation, not the answer, I am getting some exponential integral.
  12. A

    connecting C++ and SQL Server

    Answer to original question: include <sqltypes.h> #include <sql.h> #include <sqlext.h> and the procedure call: SQLHANDLE sql_event; SQLHANDLE sql_connection; SQLHANDLE sql_statement; if(SQL_SUCCESS!=SQLAllocHandle(SQL_HANDLE_ENV, SQL_NULL_HANDLE, &sql_event)) goto...
  13. A

    Euler Summation of an Infinite Sum

    What is the Laplace Transform function for the Euler Algorithm of the infinite series sum: [(-1)^t]/(3+t)^2?
  14. A

    Laplace Transform of 1/(3 + x)^2

    What is the Laplace Transform of 1/(3 + x)^2
  15. A

    Difference between Heston model and "Schöbel & Zhu" stochastic volatility model

    First of all, the first model is the extension of the Ornstein–Uhlenbeck process - a mean reverting process. With Heston you have a drifting process with some dynamics for a volatility. With the O-U model you have a reverting process that does not take a look at current values of s(t) while the...
  16. A

    Convexity of a Perpetual Bond

    I got 1 + 1/x for duration and then I calculated 2/x^2 for convexity. Thanks.
  17. A

    Convexity of a Perpetual Bond

    Can you prove it, (1+yield)/yield?
  18. A

    Convexity of a Perpetual Bond

    Would it be correct to calculate the convexity of a perpetual bond paying $1/year in a market with x as a yield for all maturities as 2/x^2?
  19. A

    The Proof of Innocence

    In English:
  20. A

    Conditional Prepayment

    The actual reason why high CPR pools are not desired in the case mentioned above is the following: certain MBS investors will not get cash flows as they are holding certain tranches (interest-only, for example) that will get wiped out by the prepayment event. When rates are going down, certain...
  21. A

    Are MFE programs only for rich kids?

    Few interesting things: A person in a first link graduated in 1981 with only a BS degree from the MIT The majority of professionals at the IB-place where he lost a job have MA/MS+ at a minimum They earn with some number of years of experience (non-junior) 300k+/y If a person from a first link...
  22. A

    Native Image Generation

    You probably have seen this,
  23. A

    MSSQL vs Oracle SQL

    That price is for a scalable multi CPU solution. One example: "Data Tier . MSC has some 22 terabytes of information stored on multiple instances of SQL Server across its global operations. The data tier has...
  24. A

    NYU MSMF need advise about NYU MATH FINANCE....!!!!

    Usually the chances are non zero since the faculty will know you by courses you will complete; you can probably transfer completed credits later on toward your degree if you will get accepted. You can contact the department with these questions.
  25. A

    GARCH Parameters Estimation

    Was the MLE procedure used?
  26. A

    MSSQL vs Oracle SQL

    Just a few I would give right now would be the replication/mirroring functionality (Merge), Reporting Services that allow building reporting solutions in a matter of hours with no extra cost, business intelligence studio to do the DTS and many other tasks (and one can be a business manager, not...
  27. A

    MSSQL vs Oracle SQL

    Each of these DBs has its own niche and a market. Oracle, as per comparison doc, can cost 110k while MS SQL can be at around 20k for a comparable set of features. As number of CPUs in a system grows, so does the overall price; a 6-core system based on Oracle will cost 570k while MS will be at...
  28. A

    MSSQL vs Oracle SQL

    SQL Server can be used for warehouse, TerraServer is an example of a warehouse. Oracle can cost 5 times more of what MS product gives; the performance of both is comparable while the pricing is...
  29. A

    A film about var?

    Sports - another area where some quant skills could be applied; somewhere interesting movie.
  30. A

    MSSQL vs Oracle SQL

    $100+k for Oracle VS <20% of that for MS product.
  31. A


    The SQLite locks a file making it unavailable for other users when it applies changes; if you will have some online users, it will become a bottleneck at one point in time. However, the SQLite can be a bit faster and simpler to deal with for a 1-user app.
  32. A


    Look further and go with SQL Server express, at least it won't be a shame to put it on a resume. Also, server-side processing will be locking your file with SQLite so there will be plenty of angry users waiting, waiting and waiting.
  33. A

    Unfinished Gambler's Ruin

    Solution for P(W(t) = a) is the same as above, replace b with a (by symmetry)
  34. A

    Unfinished Gambler's Ruin

    P(W(t) = b) = P(W(s) >= b for some 0<=s<=t) = 2*P(W(t)>=b) = 2*Integrate[exp[-x^2/(2*t*sigma^2)]/sqrt[2*pi*t*sigma^2]dx] from b to infinity, sigma^2 - BM variance, a < b, t > 0.
  35. A

    Is Digital Signal Processing useful in FE?

    Its statistical part, yes, especially in a time-series analysis.
  36. A

    Hitting Time on a double barrier

    Expected hitting time, E[T] = ab.
  37. A

    Hitting Time on a double barrier

    Probability of W(t), W(0) = 0, hitting a before b is b/(a+b) and a/(a+b) is a probability of hitting b before a; a and b are positive values.
  38. A

    Hitting Time on a double barrier

    Would the probability in case 3 be 1? since by definition, T is a stopping time when the BM hits either a or b, hence W(T) is either a or b, given T, P(W(T) hits a or b) = 1.
  39. A

    Stochastic Differential Equation and a Martingale

    R(t) is not a difference of BM values - it is W(t) which is valid for t<T
  40. A

    Stochastic Differential Equation and a Martingale

    R(t) is defined as above and it is valid for t<T.
  41. A

    Charlotte Quants : I seek your advice

    A true Quant position ( at minimum will require a quantitative background in Statistics, Mathematics and a Finance and some experience. The educational level will also matter - at least a MS/MA level in engineering...
  42. A

    Conditional Expectation and Probability, Independence

    Let's say the domain of Y is [1, 2]. Under what conditions, the right-hand side of equation above for Y=1 and Y=2 will be equal? Are there any specific probabilities for P(Y=1) and P(Y=2) that can make this happen? If yes, then why, otherwise, why not?
  43. A

    URL read in c++

    Asset time series reader and parser from the web using the curl.
  44. A

    Stochastic Differential Equation and a Martingale

    W(t) - 1d Brownian Motion W(0) = 1 r: R T = min[t>0;W(t) = 0], Let: (R(t)%20=%20W_{t}^{T}) 1) Find a(R(t)) and b(R(t)) such that: (dR(t)%20=%20a(R(t))dt%20+%20b(R(t))dW(t)) 2) Find function F such that M(t) is a martingale: (M(t)%20=%20R(t)*e^{\int_{0}^{t}F(R(t))ds})
  45. A

    URL read in c++

    I did this in VS2k10 using the curl.
  46. A

    Terminal Vs. Immediate Payoff for a Barrier

    Values are going to depend on time, prevailing discount rates and on underlying dynamics. Trees can be used to model this and MC.
  47. A

    Physicist -> Quant. Do I need more education?

    It will increase your chances of getting into good quant places since you will get the appropriate for this industry training. You can try applying today and see what happens.
  48. A

    Free Harvard University Online Courses Courses: Abstract Algebra : Bits - Sets, Counting, and Probability -...
  49. A

    An Ethical Question !

    Example? The company doing international transactions with goods and services like Colgate needs to reduce exposure to different risk factors that vary from currency volatility to future production costs.
  50. A

    An Ethical Question !

    Financial Engineering in ones hands is a set of tools, skills and knowledge that can be used in different ways. In most places they can be used to reduce risks and keep the company afloat.
  51. A

    Computing the IRR for floating rate notes in VBA

    There will be few ways how to solve this: if you are using Excel, you can use the built-in function, IRR. If you are using .net VBA, then will help. Finally, if you are reinventing the wheel, then implementation of...
  52. A

    How to compute the present value of a liability

    Here is why: All these formulae are for simple calculations since in real life one needs to account for interest rate risk, reinvestment risk, credit risk and other risks.
  53. A

    How to compute this integral numerically ?

    How about reduction to an initial value problem for an ODE and then solving a problem on a new domain using a Runge–Kutta type method?
  54. A

    Matlab vs Mathematica Eigenvectors Calculation

    Both tools produce values conforming to the A.v=l.v equation; however, I need a way for Mathematica to produce the numerical answer not using symbolic notation with complex numbers, if possible. Also, does it produce normalized eigenvectors?
  55. A

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    You should think of this ranking as of ranking of cars from different manufacturers; cars have different parameters and each potential owner is looking for specific set of characteristics that meet his or her needs. There is no single top car in all parameter categories - there is always a trade...
  56. A

    Matlab vs Mathematica Eigenvectors Calculation

    It appears that Matlab and Mathematica are calculating eigenvectors in their own way that results do not match; what methods do exist in Mathematica to control presentation of eigenvectors?
  57. A

    Probability of Discovering (N-1)st Point on a Circle

    The circle has N points equally spaced where a transition from one point to one of the two adjacent ones is done with p = q = 1/2 - the symmetric random walk. Let there be ordered points r - 1, r, and r + 1 located somewhere on a circle with r E {1, ..., N}. What is the probability that the...
  58. A

    Artificial Intelligence for Algo Trading

    The AI has a huge advantage by determining dynamic trends on the fly and applying the learnt knowledge in trading; think about neural networks or Trees. FYI, Renaissance Technologies and Rebellion are using AI heavily making profitable trades.
  59. A

    .NET Importance in Quantitative Finance

    Life is not easy when it comes to performance. Every case is different.
  60. A

    .NET Importance in Quantitative Finance

    as opposed to pre-compiled SPs... with a nice execution plan ready...
  61. A

    .NET Importance in Quantitative Finance

    LINQ to SQL is a performance killer.
  62. A

    Long Term FX SWAP

    The other options are the Money Market Hedge and the currency options. A currency futures hedge will result in hedge errors when rolling contracts.
  63. A

    What books are you currently reading?

    Bond Markets, Analysis, and Strategies
  64. A

    GPA, MFE and interviews
  65. A

    What books are you currently reading?

    Artificial Intelligence: A Modern Approach
  66. A

    Book for brushing up Maths

    It has what one would be doing for the next year-two or more in the MFE program and it is a pre-requisite in some programs. It has both the theory and financial applications. The Shreve's book is a good one too but it might not be the easiest one to start with; however, the knowledge of...
  67. A

    Book for brushing up Maths

    Do not forget about the Linear Algebra - gilbert Strang's book is a good one.
  68. A

    Book for brushing up Maths

    The following one is considered to be a pre-mfe book: If you can do problems then there is a chance you can do well in a program.
  69. A

    How many programmers are on Quantnet?

    C, C++,, CUDA, VB, VB Script,, C# (v1-4), J#, Java, Java Script, SQL, T-SQL, PL-SQL, XQuery, XPath, XML, XSLT, HTML, XHTML, DHTML, CSS. MS .net Framework (v1-4.0) including ASP, ASP.NET; J2EE, J2SE with JSP, PHP. RDBMS: SQL Server 7.0/2k/2k5/2k8, Oracle 9i/10g/11g, MySql, Access...
  70. A

    Density Function for European Options

    I need the final result to compare answers.
  71. A

    Density Function for European Options

    Just to confirm calculations, what would be the density function for a Euro Call/Put in the following case: Thanks
  72. A

    Best Book on Monte-Carlo

    It might not be the easiest one but it is good.
  73. A

    CUDA and SLI

    SLI adds more horse power with additional GPUs but the app needs to be written to utilize them. The current most powerful single-core GPU from NVIDIA has 512 internals cores and it is better(*) than multiple of it on different cards.
  74. A

    FX Tick Data question

    :-), from the source you mentioned...
  75. A

    Markowitz Portfolio (n, m)

    If everyone is curious to see the internals then the best explanation would be in the book of Professor Dan Stefanica on page 260, edition 1. Implementation of the investment engine - under 100 lines of code, the most crucial part is the return predictor - lines of code 1 to infinity.
  76. A

    FX Tick Data question

    So, it appears that the data has the following headers: lTid cDealable CurrencyPair RateDateTime RateBid RateAsk lTid - is some sort of a pk D - stands for dealable
  77. A

    FX Tick Data question

    It is not obvious (you are not counted); one can define anything in D.
  78. A

    FX Tick Data question

    First of all, look at the specs document to be 100 % sure. The first column looks like an ID while the last columns represent bid and ask quotes.
  79. A

    Databases and SQL- where to start?

    All RDMS have a free/startup version including ORACLE. The performance of the app heavily depends on a qualification of a programmer. A current fully loaded Enterprise MSSQL with all tools and a CPU license retails at around 25k while a similar version of ORACLE is at around 125K. This makes...
  80. A

    Why can't I debug wxDev C++

    There will be like that: VS_VERSION E (2011, infinity)
  81. A

    Why can't I debug wxDev C++
  82. A

    What do I do?

    IE 9.0 is RTM since 03-14-2011
  83. A

    SQL book

    Start from here: SQL Server Books Online There are plenty of samples and abundance of materials. It should be a complete source ;-)
  84. A

    Quantnet's Trip to Hunter Mountain Ski Resort

    Skiing Menu: I suggest no I-pods when skiing; it is dangerous. They also have a new lift.
  85. A

    Baruch MFE Reasoning to attend Baruch MFE?

    investment would be the appropriate keyword.
  86. A

    MC vs. Binomial Tree vs. Trinomial Tree

    Risk Latte - Derivatives, Binomial Trees vs. Monte Carlo Simulation-Which one is better?
  87. A

    C# Grid Component suggestion needed

    Look at what a WPF has to offer. It is rich in components and it is used in majority of Hedge Funds. It provides fast rendering using DirectX which in turn uses the GPU to speed up things.
  88. A

    Need C# advice

    The extension methods should be used as a last resort when you have to.
  89. A

    "What salary do you require?"

    My life as a quant book has one strategy...
  90. A

    Need C# advice

    Go with abstract classes and virtual methods implementing common functionality on a low class hierarchy level and adding something more specific in derived classes. The class hierarchy can be built based on your classification techniques.
  91. A

    Basic questions regarding option pricing with FDM

    This is the initial/payoff function and is not a BC, really. You need 2 numerical boundary conditions to make the problem solvable: . when S = 0 (near field) . when S = Smax (far field) I posted an example elsewhere for your same question. Domain truncation can be estimated...
  92. A

    Good Return Predictors for a Portfolio of Stocks

    What might be good future return predictors for a portfolio of stocks?
  93. A

    Happy New Year Quantneters!

    I wish everyone all the best in a new most promising 2011 year. Let it be a year when all your wishes will come true. For some it might mean catching the alpha, getting projects done, getting into the school of your choice, passing exams, graduating from a school of your choice, getting a job or...
  94. A

    Method overloading

    It all depends on what you are going to do with function parameters. If the logic is the same then go with a double and then cast a variable before passing it into the function. Do not duplicate the logic. Remember, System.Object is the king.
  95. A

    Why is Baruch's MS in BCIS program so weak?

    The only way to become and stay competitive as a software developer is to learn new technologies and frameworks; it is a continuous self-guided process.
  96. A

    Examining Maximum likelihood estimation

    Still the OLS is superior to the MLE as the latter one gives the same estimated parameters as the OLS does but at a cost of a greater variance. You might want to use a method with smaller variance.
  97. A

    How do you handle a rejection ?

    I would suggest gym
  98. A

    Average Part-Time Completion Time ( MAFN/NYU/Baruch/MSCF) NYC

    ...,provided you got an admission. I think there will be a trade-off between performance and the program completion time. Speaking from xp, the Baruch Program can be done in 2 years or less if you will put more effort. The Program features flexible curriculum throughout the year, convenient...
  99. A

    Do all programs start in the summer?

    More programming in your case definitely helps. I doubt that Stochastic or Monte Carlo Simulations classes count as programming; however, they are very helpful as prerequisites for a MFE program.
  100. A

    Which would help my admissions more?

    Look at your future program requirements and plan accordingly.
  101. A

    Excel interop The server threw an exception. (Exception from HRESULT: 0x80010105 (charting in excel)

    Review logs (Event Viewer) on a server/pc; it will give you more details. If you are trying to run the app in a separate process then you might face a COM local activation permission issues (user rights). Review these samples: Excel Charts in C# Applications - CodeProject Walkthrough...
  102. A

    Excel interop The server threw an exception. (Exception from HRESULT: 0x80010105 (charting in excel)

    Looks like you have an issue with COM... You might want to check this: COMException 0x80010105 when retrieving participant event data - Forums
  103. A

    Pricing an exotic IR option

    Hi, you may want to take a look at the Black–Derman–Toy model:
  104. A

    pricing exotic options The Volatility Surface: A Practitioner by Jim Gatheral and Lecture Notes and Modeling the Volatility Smile by Emanuel Derman and IMPLIED VOLATILITY SURFACES AND OPTION PRICES
  105. A

    Understanding Foreign Exchange

    Multinational Financial Management 9th edition Topics of a particular interest: Purchasing Power Parity Fisher Effect International Fisher Effect Interest Rate Parity Forward Rates as unbiased estimators of future spot rates
  106. A

    Wall Street sequel 'to be made'

    I took part in this movie; it is promising to be very interesting.
  107. A

    Wish list of financial functions for a database?

    The solution depends on the task you are trying to accomplish; without these details there is no ultimate magic bullet. Unless required so, you might not want to do all logic on a database level and adding it using SQL CLR or through Transact SQL and SQL objects. However, it is good idea to...
  108. A

    Advice for an undergrad student

    or both options
  109. A

    Which books to get to learn databases design ?

    This will give you both - the theory and practical application: SQL Videos: The Official Microsoft ASP.NET Site Reading books won't help as much as doing something real for your purpose.
  110. A

    Undergraduate Advice

    It was a decade ago... however, the rules are not the same from country to country.
  111. A

    Undergraduate Advice

    This is not true; I got admitted into the top Engineering school, the Electrical Power Engineering department and I studied Economics and Finance at the Business School.
  112. A

    Take unsupported Stony Brook Quantitative Finance PhD position ?

    Be like an American Option ;-)
  113. A

    Covariance Data in a Free Access for Different Assets

    Is there a covariance data in a free access for different assets: FX, FI, Equities and so on?
  114. A

    So how much does a master's GPA matter?

    This is reality... Masters in Financial Engineering (MFE) - Baruch College
  115. A

    So how much does a master's GPA matter?

    Maybe switching program/transferring to Baruch MFE will do the trick ;-) the admission is in progress... I believe you would learn a quant-must-have-skills including design and a hardcore C++ programming of financial models and derivatives... so writing a multithreaded pricing model for a...
  116. A

    Would you attend Baruch MFE or Columbia MFE?

    Was it downgraded in light of recent events?
  117. A

    help decide.. MS-Operations Research at GA Tech or MS-EMS at Columbia?

    I can give you an idea about the course in general which might be different at CU. I took this course at Baruch Honors which was taught by CU professor and it was about scheduling jobs, optimizations of different activities... there was an interesting one with a task of placing a printer in the...
  118. A

    help decide.. MS-Operations Research at GA Tech or MS-EMS at Columbia?

    I remember I read a posting on wall in Math department at Baruch College; It was an article from a Wall Street Journal discussing preference of Wall Street employers. 92/100 were preferring if an applicant had a real degree vs one done online...
  119. A

    Fake citizenship ceremony

    or harms - Raj Rajaratnam and "The edge"
  120. A

    Anyone upgrading to Windows 7?

    Run it for a month with developer's tools; recommend
  121. A

    Nvidia - Cuda Toolkit for options pricing

    I will re-write my LU Matrix decomposition with row pivoting and Successive Overrelaxation algorithms for GTX 295... curious about performance results
  122. A

    Baruch MFE