Search results

  1. Muting

    The Master Happy Birthday thread

    Happy Birthday, Billy. How can I miss this? Haha
  2. Muting

    The Master Happy Birthday thread

    Happy B-day!! Enjoy the school, haha : )
  3. Muting

    IAFE Endorsed Event: Derivative Securites & Risk Managment Workshop

    The International Association of Financial Engineers is pleased to endorse The 15th Annual Workshop on Derivative Securities & Risk Management Friday, December 5th, 2008 Columbia University, Center for Financial Engineering and Center for Applied Probability Location: Uris Hall, Room 301...
  4. Muting

    The Master Happy Birthday thread

    Hey, Maggie: Happy birthday!! All the best to your work!!
  5. Muting

    The Master Happy Birthday thread

    Happy birthday, Bob!! Thanks for all the joy and wisdom you brought to us last semester!!!
  6. Muting

    Singapore: Finance Career Fair, New York, Oct 11.

    Note: You have opted-in to receive messages from eFinancialCareers. If you prefer not to receive these, you can be taken off the list by visiting here, logging into your account and then visiting the My E-Newsletter section and setting "I want to receive employer highlights & other promotions...
  7. Muting

    Payoff of Hedge fund strategies

    I think the answer for first one is A since you look for directional movement.
  8. Muting

    QuantNet Picnic In Central Park on Sat 9/20

    Woody, these are fabulous shots, good job!!!!!
  9. Muting

    The Master Happy Birthday thread

    Thanks a lot. Time flies but I feel I have a fulfilling year and get the chance to know so many awesome friends. Cheers, Muting
  10. Muting

    Morgan Stanley considers merger

    GS closed at 154 on last Friday, and now is traded at 106...... MS is down around 37% today. What is going on? Is it really a doom for independent IB?
  11. Muting

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    It is a time to test the power of private sector almost without the backstop from the government. Also, it will test the theory of investors' short memory in a few years.
  12. Muting

    Pricing exotic interest rate derivatives

    The workshop is lectured by Mark Joshi, who has published many interesting math finance books and is also a long-time friend of Quantnet. Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi 25-27th February, 2009 The Ada-Lovelace Room, The...
  13. Muting

    The Master Happy Birthday thread

    Happy Birthday, Alain!!!!!!
  14. Muting

    Fleckenstein's views on algo trading

    I am curious to know the meaning of variations of same algorithm. My take is that the risk of quant methods is that these methods cannot make any consideration of whether they can find the other side of the trade when things suddenly change. They are playing with their own assumptions. The...
  15. Muting

    China's Impact

    I would doubt whether you can do it in that way since PCA gives you numbers rather than qualitative interpretation. You might see, in the yield curve PCA movement, can be categorized into parallel, steepen/flatten and humped. But that is because we can interpret the meaning from the pattern of...
  16. Muting

    Where to live???

    If you are willing to pay $1500 for the rent, you have a lot of options in some nice places. You can try west 20th ~30th 6th or 7th Ave, as well as places above east 80th ,3rd ave, my opinion. Muting
  17. Muting

    CMO Valuation

    I am interested to know what kind of stochastic interest rate model they gave you. Is it a LIBOR model? Or a spot rate model? What is the correlation between the stochastic factors in these two models? Do they already calibrate the parameters?
  18. Muting

    Graduate entry to derivatives trading?

    The process is the general recruiting process. But it will have more behavioral questions than technical questions. Not any specific questions related to sales&trading. If you can understand Heard on The Street quite well, that will be fine. It sometimes has basic numerical calculations (similar...
  19. Muting

    Does anyone know whether school is open tomorrow?

    Thanks for help. :tiphat:
  20. Muting

    The Master Happy Birthday thread

    Happy Birthday, Mike!!!!!:D:partyman:
  21. Muting

    IIT Stuart

    Just like in the world of fixed income.
  22. Muting

    Quants and Trader?

    Quants' job is to support traders and provide them with trading analytic tools. Not every desk needs quant skills (but quick math is very important to all of them). However, if you work in derivatives trading or exotics, you must know all the important ideas conceptually. And you also need to...
  23. Muting

    Has anyone used Lehman Point before?

    Lehman Point is a portfolio analytics designed for portfolio manager. An web-based application of Lehman Point is called Point Online/PointWeb. Does anyone know where the website is? Or it is an internal website?
  24. Muting

    Credit Derivatives Research Papers

    John: Do you have any papers related to using iTraxx to hedge iBoxx portfolio? Or anything about using CDI to hedge bond portfolios?
  25. Muting

    The Master Happy Birthday thread

    Happy Birthday, professor. Enjoy the sabbatical in France.:birthday:
  26. Muting

    Congratulations Jake and Sarah

    Congratulations, Jake and Sarah!!!:D:smt006
  27. Muting

    The Master Happy Birthday thread

    Happy Birthday, Woody. Also thanks for the study notes you make for everyone :band:
  28. Muting

    The Master Happy Birthday thread

    Happy birthday, Giampiero! :band::drinkers:
  29. Muting

    The Master Happy Birthday thread

    Happy Birthday, Greg!!:band::drinkers::smt113
  30. Muting

    The Master Happy Birthday thread

    Happy Birthday, Vlad. All the best with your final.
  31. Muting

    A Trader's Train to Wall Street, Connecticut

    In this case, for one thing, I don't have chance to take the summer statistics class. For the other thing, I probably need to sleep early now and begin to adjust my biological clock as soon as possible. A friend told me that in commodities desk, traders are expected to work at least 12 hours per...
  32. Muting

    Credit Derivatives Research Papers

    Hi, John: Thanks for those valuable research papers. Do you have any research papers related to the interest rate derivatives? Muting
  33. Muting

    ABCP: Deutsche sells first Latin American conduit

    ( (c) Euromoney Institutional Investor PLC Mar 2008) "Mexico has a very established structured finance industry and there are a number of deals getting done in the asset-backed lending market" Brigitte Posch, Deutsche Bank ABCP conduits suffered a reputational battering as a result of last...
  34. Muting

    Baruch MFE misrepresentation and fraud at BARUCH?

    FYI: The students enrolled in Fall 2007 will graduate earliest in 2008 Dec. I am from the fall 2007 cohort. Plus, it usually takes part-time students longer to graduate than full-time students. Full time students are expected to graduate in 3 semesters. The 27 graduates include all the...
  35. Muting

    Bear Mountain Hiking 4-25-2008

    I try to post some pics. But it always said my filesize is bigger than the maximum for jpg. Andy, what should I do?
  36. Muting

    Spring Break Cocktail Hour

    Then we can have a lot of JackDaniel's in Tennessee:D.
  37. Muting

    The Master Happy Birthday thread

    Happy Birthday, Vadim!! I am sooooo glad to know you in Baruch:band::band::partyman::smt113
  38. Muting

    IAFE Event: The Need for Second Generation Models for Structured Credit Products

    I really want to participate in this event. Below is what I read from an old article: Although valuation models for defaultable securities date back to Merton (1974) and researchers have improved considerably on the basic Merton framework, problems remain. Table 1 highlights some of the...
  39. Muting

    Bear Mountain Hiking 4-25-2008

    The time for this event is April 25th, 2008, the coming Friday. I forgot to change the date of event, unfortunately...
  40. Muting

    Bear Mountain Hiking 4-25-2008

    Hi all, Good things in life always last too short, and to extend the life of this dying patient called "spring break", let's take a trip to our neighbor Bear Mountain on the coming Friday. Below is the general schedule: 8:45 am: Depart from Port Authorities of New York 10:15 am : Arrive Bear...
  41. Muting

    COMPARE Princeton MFIN vs Columbia MSOR

    Go to Princeton. I have known a friend from there. One of their program's chairmans has worked in Merrill Lynch for 10 yrs before she went back to school. And she is very dedicated to helping students find jobs. As far as I know, Princeton has good placement record.
  42. Muting

    COMPARE Princeton MFIN vs Columbia MSOR

    Go to Princeton. I have known a friend from there. One of their program's chairmans has worked in Merrill Lynch for 10 yrs before she went back to school. And she is very dedicated to helping students find jobs. As far as I know, Princeton has good placement record.
  43. Muting

    The Master Happy Birthday thread

    Happy birthday, Andy, the anchor of our quantnet:D=D>=D>=D>
  44. Muting

    Regarding Mth 4500 project

    The instantaneous rate function turns out to be the zero rate curve function. Please use that function and you will get the right price.
  45. Muting

    The Master Happy Birthday thread

    Happy Birthday, Jacob!! Happy birthday and all the best for your new baby :):band::drinkers::dance1::birthday::cheers:
  46. Muting

    What is going on at Bear Stearns ?

    Price is renegotiated up to 5 dollar and maybe more. I guess there will be more competitive offers showing up after these days' sentiment is over.
  47. Muting

    What is going on at Bear Stearns ?

    It seems people are betting that Lehman will be the next one...
  48. Muting

    commodities, another bubble ?

    There is bubble in the commodities. But the current economic fundamentals couldn't provide enough forces to let the bubble go bust. The financial market is so volatile and in the coming years, inflation will turn to be a very big issue confronting the central banks. Agreeing with bigbadwolf, I...
  49. Muting

    What is going on at Bear Stearns ?

    It is not interesting and not fun at all. I heard that many Bear's employees unwound most of their holding on Bear Stearns at paltry 3 or 4 dollars per share on last Friday. One lesson they learnt, is that never holding too many stocks in the compensation package. They might walk away with...
  50. Muting

    What is going on at Bear Stearns ?

    JPM definitely got a bargain. Even BSC's headquarter is worth around 1.3bln....
  51. Muting

    Help logarithm function

    To me, it is a). The informal reason is that lg*(x) goes down faster than lg(x). Does anyone have a more rigorous reasoning?
  52. Muting

    Help logarithm function

    There is something I dont quite understand. Why lg(65536) is 16 rather than 11?Why lg(16) is 4 rather than 2? Do I miss something here?
  53. Muting

    The Master Happy Birthday thread

    Happy Birthday, Dmytro!!! Have a good weekend and cherish the golden 30:):drinkers::band::rock::cheers:
  54. Muting

    Viet Hoang's thread

    Now I pay to work hard :)
  55. Muting

    The Master Happy Birthday thread

    Happy Birthday, Akino!! All the best for you and your career, cheers!!:):band::cheers::birthday:
  56. Muting

    Viet Hoang's thread

    Hi, Viet: Welcome to join us. For your first question, I suggest you focus on the coursework of this program. Generally speaking, homework and assignment might take you around 40 hours per week. But we have to read a lot of references in order to get a better grasp of the stuff we learn. For...
  57. Muting

    Interview with Tim Grant

    I totally agree what Tim said, especially on the part of leadership. They are looking for someone who can lead rather than follow. The culture of UBS is entrepreneurial and open to change. When I was interviewed by them, I was totally impressed by the way they built business from scratch. This...
  58. Muting

    How to build up the negative gamma position?

    You can either sell a large number of OTM options or sell a smaller number of ATM options to have extremely large gamma. But since the curve for gamma is very steep around the strike, it will be safer to invest in the tail of the curve. It will be easy to maintain your gamma position over a...
  59. Muting

    Jason WU's Thread

    Jason: I am currently a TA for an undergraduate fin math course. I got into this program directly out of college. I knew some other students got TA from Zicklin and there are also students got on-campus job from Subotnic center. As long as you achieved good scores, and also applied for those...
  60. Muting

    The Master Happy Birthday thread

    Happy birthday, Adam :):dance::dance:
  61. Muting

    Jason WU's Thread

    Hi, Jason, welcome to here : ) Yes, workload sometimes goes crazy. But if you like it, it is still a lot of fun and a great learning experience. By the way, could you post your profile? Hence students here can know more about you.
  62. Muting

    Baruch MFE MFE Admitted Fall 2008

    Anshul: Have you been to Mars? Where are you, man ;) Look forward to seeing you too.
  63. Muting

    Baruch MFE MFE Admitted Fall 2008

    Hi, Sachin: Congratulations : ) It was indeed great excitement when I was told being admitted by Baruch on the phone. I still remembered that midnight last year. We will be happy to be bothered by you : P Look forward to seeing you in this summer.
  64. Muting

    Who you want to win the Superbowl ? Giants or Patriots

    Giant, definitely!! Actually I want to wear a hat which has giant's symbol on that day to show my support.
  65. Muting

    Why is C++ good for Quantitative Finance? Top 3 reasons

    I think the additional features are not the main advantages of Java. The main advantage of Java is that it provides a virtual machine that is intended to run code on different platforms. Back to C++, the most powerful feature of C++, in my opinion, is that it is the reflection of real world...
  66. Muting

    Why is C++ good for Quantitative Finance? Top 3 reasons

    This is what I saw in Willmott. Indeed, it is a very interesting and important question. Dr. Duffy's answer is: 1. C++ is highly flexible an interoparable with everything on the planet. 2. Mature: supports multi-paradigm development. 3. It is an ISO standard (this means it will be around...
  67. Muting

    Quantitative Interview questions and answers

    My reasoning is slightly different. Consider the last person (but not the 100th person) whose seat is taken by someone before him. Then this person has two choices: One is choose a seat which belongs to someone before him, the other is to choose the 100th person's seat. In this case, the...
  68. Muting

    List of good books for IT/Quants

    There is one thing I am curious. It seems that Lehman requires so much finance knowledge for IT position. Is there any reason behind it?
  69. Muting

    Nick Leeson - 2 (a trader looses $7.16 billion)

    It is very interesting to look at the comment by NYtimes--"too middle to be considered a loser"
  70. Muting

    Quantitative Interview questions and answers

    I would agree with nbz's answer.
  71. Muting

    Quantitative Interview questions and answers

    I think the price of B under no-arbitrage argument is a little higher than A. First, B has higher probability finishing in the money(the price path can be above 100 during some period of 2 year and then go below 100 at 2 year end). And the payoff is just 1 dollar when it is in the money and...
  72. Muting

    Are you readyyyy for some football ?

    Yes, go Eli, go Giant !!!:thumbsup:
  73. Muting

    Greetings from Alex Wang and My First Question

    Andy: Even I use Chinese, a computer geek like you can still turn it to what you can read ;)
  74. Muting

    Greetings from Alex Wang and My First Question

    Glad to hear that my post helps you. You have strong programming background. I think this program will fit you very well. Looking forward to seeing you in this summer. By the way, I am curious about this: How do you know that is my post in Chasedream......
  75. Muting

    Greetings from Alex Wang and My First Question

    Hi, In Baruch, we have quite a lot of opportunities to do that. Now we are doing a project on algorithm trading under the mentor of Prof. Donefer. Besides, you will have opportunities to work out some projects with our alumni who already worked in the industry. Finally, some of our faculty are...
  76. Muting

    FT REPORT - FT FUND MANAGEMENT: Trading with the help of 'guerrillas' and 'snipers'

    The techniques used by fund managers when dealing in equities will be the focus of greater attention as three new developments come together. The first is the implementation, from November 1, of Mifid, with its new pre- and post-trade transparency requirements for equity markets. Second...
  77. Muting

    Artificial intelligence applied heavily to picking stocks

    NEW YORK: : Ray Kurzweil, an inventor and new hedge fund manager, is describing the future of stock-picking, and it isn't human. "Artificial intelligence is becoming so deeply integrated into our economic ecostructure that some day computers will exceed human intelligence," Kurzweil tells a...
  78. Muting

    Algorithmic trading

    Below is a general introduction to algo trade from Wiki. The reference link is also very helpful. In electronic financial markets, algorithmic trading, also known as algo, automated, black-box, or robo trading, is the use of computer programs for entering trading orders with the computer...
  79. Muting

    The Master Happy Birthday thread

    Happy Birthday, enjoy your work in London : )
  80. Muting

    The Master Happy Birthday thread

    Happy birthday, Chris : ) Good luck with your job too.
  81. Muting

    Winterfest 2008

    Thanks, Jake, the cookies are fantastic. Thanks hien, too. We really have great time today : )
  82. Muting

    The Master Happy Birthday thread

    Happy Birthday : )
  83. Muting

    Baruch College President Rejects $2.4 M. Fifth Avenue Condo, Prefers to Rent

    by Max Abelson | December 11, 2007 This article was published in the December 17, 2007, edition of The New York Observer. The rejected penthouse came with a 30-foot living/dining room and a 25-by-27-foot corner terrace. Considering...
  84. Muting

    Interview with Tim Grant

    Here we go: 1.Could you briefly introduce the alternative investment management business and what kind of people it needs to work there? 2.When can we receive the first round interview notice for the graduate training program? Is the application on a rolling basis or not? Can we apply for more...
  85. Muting

    Congratulations Alain and Wendy!!!!

    Congratulations, Alain.:):)=D>=D>=D> We have a new quant member now.;)
  86. Muting


    Hi, I take it in the fall semester of my junior year. You can take it early, and you can have chances to take again if you dont get a good score for the first time. I dont think math sub is necessary but if you can get a good score for it (at least 80%), it definitely makes your profile...
  87. Muting

    Longstaff-Schwartz on GPU

    Hi, Are you doing the least square monte carlo(LSM) ?
  88. Muting

    Dividend price with respect to American Call Option and European Call Option

    Hi, The value of American call option cannot be less than european option. When there is dividend, as long as it is worth early excercise(There is a formula in Hull identifying the situation), the american option has more value than european because it can excercise immediately before...
  89. Muting

    RSVP: Trade Simulation at Wasserman Trading Floor/Subotnick Center

    That experience is terrific! Especially the part for making the market. I am wondering whether we can have such trade competition regularly. I was told that there are some more sophisticated systems for fixed income in Subotnick. Attending such events will be educative and have a lot of fun.
  90. Muting

    Diversity Job & Internship Fair

    Friday Nov. 16, 12-4pm in the NVC Gym; will include employers seeking all students, for both jobs & internships. I am not sure whether it is a serious one, but just in case.
  91. Muting

    Banks Said to Agree on Credit Backup Fund

    By ERIC DASH Published: November 11, 2007 The country's three biggest banks have reached agreement on the structure of a backup fund of at least $75 billion to help stabilize credit markets, a person involved in the discussions said yesterday, ending nearly two months of...
  92. Muting

    Citigroup Names Chairman and Plans Write-Downs

    The board of Citigroup today accepted the resignation of its embattled chairman and chief executive, Charles O. Prince III, and appointed Robert E. Rubin, the former Treasury secretary, as its chairman, according to a person briefed on the situation. Skip to next paragraph...
  93. Muting

    The Master Happy Birthday thread

    Happy Birthday, Jason!! Happy Birthday:smt113 PS: so many people have birthday today;) Muting
  94. Muting

    The Master Happy Birthday thread

    Happy birthday!! I really like reading your post and insights. It is informative and educative. Good luck with your business!! Muting
  95. Muting

    China Bank to Buy $1 Billion Stake in Bear Stearns

    I totally agee about the internal control issue. The most urgent thing for Chinese banks to do is not to employ state-of-art math model but to improve its internal control system. This problem is especially severe in branch banks where is far from the bank headquarters. Most of the big loss...
  96. Muting

    China Bank to Buy $1 Billion Stake in Bear Stearns

    By ANDREW ROSS SORKIN Published: October 22, 2007 Citic Securities, a top state-controlled investment bank in China, is planning to invest $1 billion in Bear Stearns and form a joint venture with the firm in Asia, the companies said this morning in a statement. The deal comes amid...
  97. Muting

    How PDE is applied in FE? You can search for the subject you want to learn.
  98. Muting

    How to Become a Successful Financial Engineer?

    David Li is a good thinker. He did some anology from the "broken heart" phenomema to default correlation. I think major part of financial engineering is more like a science rather than an arts. One of very important scientific method is to observe, make hypothesis and then prove it. This kind of...
  99. Muting

    Banks May Pool Billions to Avert Securities Sell-Off

    By ERIC DASH Published: October 14, 2007 Several of the world's biggest banks are in talks to put up about $75 billion in a backup fund that could be used to buy risky mortgage securities and other assets, a move designed to ease pressure on a crucial part of the credit markets that...
  100. Muting

    The Master Happy Birthday thread

    Happy Birthday, Bob!!
  101. Muting

    "MFE program profile evaluation" master thread

    I think indian students in this program might have more authority for your question. GPA system in my country is different from yours.
  102. Muting

    "MFE program profile evaluation" master thread

    Hi, To be honest, we really dont know how to access this profile even though we want to help because we are not in admission office. To me, your profile looks good, but that doesnt necessarily mean that people in the admission office hold the same view...
  103. Muting

    Recommendations - engineering or math profs?

    Hi, Welcome to this forum. Not necessarily. I dont have any recommendation from math professors. I think a high grades in your math courses should demonstrate some kind of ability in math. Plus, even some of your professors in EE might also have strength in math. One of my referees is a finance...
  104. Muting

    Interested in Trading simulation at Subotnick Center?

    Professor Holowczak: Can we postpone the tutorials to early November? Because we have three mid-terms due on the last week of October. What about others' opinions? Muting
  105. Muting

    MLB Playoffs Thread

    I love Yankee's while with dark blue streak shirt and the "NY" symbol on its hat. Now I have to wait for next season to see that.....
  106. Muting

    MLB Playoffs Thread

    Yankee is out......
  107. Muting

    MLB Playoffs Thread

    Nice, finally Yankee won its first game. Hope it can win this series.
  108. Muting

    Where would you rank Baruch MFE with top programs ?

    Hi, I think Ivy League schools became Ivy League school because they provided excellent education first. So as long as the MFE program provides constantly high quality education and ouputs highly qualified students to the industry, it will establish its reputation eventually. Many of students...
  109. Muting

    Deutsche Bank to Write Down $3.1 Billion in Loans

    By MARK LANDLER Published: October 3, 2007 FRANKFURT, Oct. 3 — Deutsche Bank finally put a number on its losses from the home-lending crisis, saying today that it expected to write down $3.1 billion in loans and mortgage-backed assets. Its disclosure — after two very public...
  110. Muting

    New 'kid' on the block

    Hi, Cristian: I hope the posts in this forum are helpful to you, no matter they are about application, finance, sports or other fun stuff. I am looking forwards to reading your posts in this community in the future. Since you already have work experience in the industry, I would like to listen...
  111. Muting

    I fly a desk...

    Hi, Sam: Nice to meet you. And I am looking forward to seeing you in NYU career fair. You are right. I think a friendly environment is a much better way to promote efficient communication and discussion and prevent posting from turning to cursing and spamming. I am curious about one thing...
  112. Muting

    Citigroup Warns of 60% Earnings Drop

    By ERIC DASH and JULIA WERDIGIER Published: October 1, 2007 Citigroup issued a profit warning today, estimating a 60 percent drop in third-quarter earnings because of write-downs for securities backed by subprime mortgages and loans tied to corporate takeovers. Separately, UBS, Europe's...
  113. Muting

    What was your undergrad major?

    I am from finance : )
  114. Muting

    2008 Interactive Brokers Collegiate Trading Olympiad

    Gus: Thanks. It is very informative and educative. Muting
  115. Muting

    From Russia With Cash: Seeding a Hedge Fund

    From NYtimes: By RON STODGHILL Published: September 23, 2007 ANDREI VAVILOV — Russian multimillionaire, well-connected energy magnate and nascent hedge fund manager — smiles broadly in a Manhattan restaurant as a lawyer, a lobbyist, an economist and a former congressman praise him over shots...
  116. Muting

    Dollar Declines to Record Low Versus Euro Before Fed Meeting

    Kean: I think China and US should be partner rather than rivals. China is really a special case in the history of economy development. There is not a case that a country with such a huge population grows at such a fast pace. The main difference is we have a huge population and we incline to...
  117. Muting

    Dollar Declines to Record Low Versus Euro Before Fed Meeting

    I know we are trying to diversify the suppliers of important resources, like oil and ores, but I dont think the purpose of buying hard assets in US is to repatriate the money. We have already learnt a lot of lessons from negotiation with raw materials suppliers from Australia or south America...
  118. Muting

    The Master Happy Birthday thread

    Hi, all: Thank you for all your wishes. I really enjoy the time in Baruch. I firmly believe the choice to go to Baruch is right. It really is a great family. Like what is said by Dan, I will keep cheerful and work hard. Matt, Vadim, Akino, Andrey, thank you again for buying me a drink. It is...
  119. Muting

    Consider bringing a cake

    Hi, all: Thank you for all your wishes. I am considering bringing a cake and share with you this evening. But I dont know when we can eat the cake. Now I am thinking that there is a reception between 5 and 6. Maybe we can eat the cake then. Any suggestion?:)
  120. Muting

    Smoothing forward rate curve

    Steve: This is actually a bonus project from OOP:). The first one who get through this problem will be rewarded a 500-buck Amazon coupon. Greg has already given us some clues in the OOP and you can find related excel files in 9845's thread. I believe Greg will post detailed requirement for this...
  121. Muting

    Smoothing forward rate curve

    I test my code and compare my number with a sample number provided by last semester's 9845 homework, excercise 8.10. I get the same number as the answers. 0.04000000000000 0.00686506162590 0.00000000000000 -0.00004464359628 0.00000023159482 0.04033070894876 0.00642411636089 0.00022047263250...
  122. Muting

    Bye, Bye B-School

    Friend, please dont do that. If you really want, please state your purpose in advance.
  123. Muting


    question Sandy: One question: Why do you write Strike price K on your x-axis? The x-axis should be the spot price. Muting
  124. Muting

    Numerical Analysis - What is it?

    I just finished reading this article. It is quite helpful for our understanding towards some concepts covered in numerical linear algebra class, i.e. machine epsilon.
  125. Muting


    My initial input is european call option K=30, r = 0.06, sigma = 0.3. The spot price range from 1 to 100, 0.5 a tick. Below is the greeks I get for different spot prices at different maturity. I cannot upload the pic. So I attach the file.
  126. Muting

    Bye, Bye B-School

    Calvin: If you get offenced by the article, I feel sorry. I did not intend to offence anyone. And I think this article mainly focuses on the choices of whether to have a MBA in the course of one's work. Indeed, it talked about something about math or engineering. But I dont think it brags about...
  127. Muting

    Bye, Bye B-School

    A very long article from New York Times, but it is worth reading. By LOUISE STORY Published: September 16, 2007 MOST people who knew Gabriel Hammond at Johns Hopkins in the late 1990s could have predicted he would rise quickly on Wall Street. As a freshman, he traded stocks from his dorm...
  128. Muting

    Goldman Hedge Fund Had Worst Month in August

    For years, Goldman Sachs Group Inc.'s flagship Global Alpha hedge fund could do no wrong. Over the past year, it has been able to do almost nothing right. August was the worst month in the fund's 12-year history; it was down 22.7% last month alone, according to a recent letter to investors. So...
  129. Muting

    The Master Happy Birthday thread

    Happy birthday, Alain!!
  130. Muting

    A good site for C++ reference

    Hi, I find this useful site for c++. It is a very powerful reference site. - The C++ Resources Network Muting
  131. Muting

    How Market Turmoil

    Dmytro: Actually this is Vadim's recommended reading. It is a very interesting reading. We should thank Vadim for sharing this article. And I have totally no idea how I did it, maybe by magic;). I just use copy and paste. Muting
  132. Muting

    How Market Turmoil

    Peter Muller, a 43-year-old trader at Morgan Stanley, is used to markets behaving more or less as he expects. But in late July, some unusual patterns perplexed him. Certain investing strategies that historically had posted steady gains started faltering for no evident reason. Soon, the unusual...
  133. Muting

    The Master Happy Birthday thread

    I guess I am a little late. But still, happy birthday, man!!
  134. Muting

    Arbitrage any takers? C++/Java solutions Only

    Alain: I got the same result for m3. I havent moved on to m4 and m2. Input Matrix: 1 1.2 0.89 0.88 1 5.1 1.1 0.15 1 0 to 1 and 1 to 0 1 to 0 and 0 to 1 0 to 1, 1 to 2 and 2 to 0 1 to 2, 2 to 0 and 0 to 1 2 to 0, 0 to 1 and 1 to 2 My method does not use that advanced skills Alain used. My...
  135. Muting

    friend function

    Steve: I didnt realize that using "friend" is an inferior way to do programming(actually, I use friend function to overload the binary operator when setting up the matrix class ). I also talked to Alain this evening about the problem of using friend. In fact, I want to set up two kinds of...
  136. Muting

    friend function

    I seems not, because if we define virtual, we need to define the two functions in different namespaces. But if we define a function as friend, how do you differentiate them in different classes?
  137. Muting

    friend function

    Hi, I have a question when learning the inheritance property in C++. I have a base class, say Parent, and a derived class, say Child. I declared a function to be the friend function of Parent, and I also want to keep the function's name and just change its content in Child. Should I need to...
  138. Muting

    The Master Happy Birthday thread

    Happy Birthday, Sunny!!
  139. Muting

    The Master Happy Birthday thread

    Yes, I am from China. I know Vic and we live not far from each other. The 9815 class is canceled but the refresher is not. I suggest you contact with Dan. He wants to meet you soon. Looking forward to seeing you, too.
  140. Muting

    The Master Happy Birthday thread

    Hi: Laptop is not necessary. Pencils and papers are enough.
  141. Muting

    what do employers really need?

    Steve: How excellent your speech is!!=D>=D> Vistabond: People here like Steve are so nice that they will spend their time looking at your post and giving you such a good reply. Do your homework and google what you want, PLEASE. There are numerous job description related to the positions...
  142. Muting

    What courses are you taking this semester ?

    Dmytro: What can I say.....:wall Just enjoy the programming feast everyday;)
  143. Muting

    Debugging problem(help needed)

    Problem solved Steve: It works!!=D> I clean my project and then rebuild it. AND IT WORKS. Thank you so much!!I have spent countless time on this thing since last day:wall. Thank you again!! Vadim, Alain and joe: Thank you so much for devoting time for helping me. I really appreciate that...
  144. Muting

    Debugging problem(help needed)

    Alain: I can click on Debug->Start Debugging but it still outputs that information. Vadim: I am using the SP2.
  145. Muting

    Debugging problem(help needed)

    Hi, Joe: I cannot debug because when I press F5, it always output those messages. But I can use "ctrl+ f5". I am not sure whether it is a setting problems because I have looked for the msdn forum and change my setting as the same as that in the forum. Yes, I can step into. Muting
  146. Muting

    Debugging problem(help needed)

    Vadim: I am not quite sure. I guess my VS Epress can debug. My professional edition also cannnot debug when I just installed it. Then I googled the problem and change some setting like optimization, runtime libraries in configuration properties. And it can debug in my professional editions. But...
  147. Muting

    Debugging problem(help needed)

    Steve: I am running the Debug version and my C++ is professional edition. I dont know what exactly is the reason for my computer's crash. But I opened many application programs(i.e. MS word, VC++, msn, IE....) when it crashed. Actually, I have seen the BSOD before on my computer but not this...
  148. Muting

    Debugging problem(help needed)

    Alain: This is what I get from the Output window: 'hello_world.exe': Loaded 'C:\Documents and Settings\ASUS\My Documents\Visual Studio 2005\Projects\hello_world\debug\hello_world.exe', Symbols loaded. 'hello_world.exe': Loaded 'C:\WINDOWS\system32\ntdll.dll', No symbols loaded...
  149. Muting

    Debugging problem(help needed)

    Hi, I face some debugging problems with my VC++. When I use debugging, it always reminds me the following information: 'Mtx_Vtr.exe': Loaded 'C:\WINDOWS\system32\ntdll.dll', No symbols loaded. 'Mtx_Vtr.exe': Loaded 'C:\WINDOWS\system32\kernel32.dll', No symbols loaded. The program '[3596]...
  150. Muting

    A place to find used book

    Hi, I find a website selling used books. It has different categories of used book, a quite large collection(seems to be). And it is free shipping in US. Buy Used Books to Fund Literacy Worldwide Muting
  151. Muting

    Advice needed...for Fall 2008

    Hi, According to my experience, you need to take the GRE again. The competition for this program now is fierce and this trend will continue. If you look at the data in admission results, you will find your position in this exam. Besides, I think your working experience only gives you...
  152. Muting

    Vector vs Arrays

    Jacob, Steve: Thank you for this information. I also have a question related to these things. There is a valarray class in the STL. We can easily set up the column vectors and row vectors since we can adjust the step parameter in the valarray. But it seems that people seldom talk about this...
  153. Muting

    a student from China says hello to everybody!

    Hi Sunbanker, welcome to this community. I am sure you will learn a lot from here. Muting
  154. Muting

    a student from China says hello to everybody!

    Hi, I just passed CFA level one this june and will take level two next year. I think the knowledge structure in CFA is more comprehensive and it is a good review of various topics in finance. FRM is more focused on quant or statistics side, though not as quant as fe. The real problem is how...
  155. Muting

    The Master Happy Birthday thread

    Happy birthday, Bridgett!!
  156. Muting

    What are you listening to now ?

    Finally find someone listen to T-pain:) T-pain - Featuring yung joc
  157. Muting

    a student from China says hello to everybody!

    Hi, I am a 100% Chinese:) I have interned in some mutual fund in China. I think you should take the CFA. It seems that CFA goes down from a plus into a necessity if you want to join this community since the market is so hot and competition is fierce. I cannot say much better in China...
  158. Muting

    a student from China says hello to everybody!

    Hi, Nice to meet you, so what about your future plan? Do you want to be a quant or do you have any other plan? M
  159. Muting

    Profiting from the meltdown

    Here is the link: Profiting From The Meltdown - A consortium of the nation's leading investment banks have quietly created an index that is not only protecting them against the recent market meltdown but also promising to make them bundles of money in the process. The index, known...
  160. Muting

    Registration for full time student

    Thanks, Claudia!! Muting
  161. Muting

    Registration for full time student

    Hi, When will tomorrow's registration begin? Where? Thanks, Muting
  162. Muting

    Return series comparison

    I am a little confused. You say you want to compare the risk-adjusted return, whcih is return divided by stdev, if they have different stdev, you will get different risk-adjusted return.:)
  163. Muting

    Return series comparison

    When we test whether one returns series is significant higher to the other, we compare the difference between each element in each series. The new series is about difference between the two returns. If the mean of the difference is significantly larger or smaller than 0, we can say they are...
  164. Muting

    Return series comparison

    Hi, You can use one series to minus the other series. Then you can test the P-value of the new series to find out whether its mean is not equal to 0 with certain significance.
  165. Muting

    Reuter 3000Xtra Workshop

    Prof. Holowczak: Your information is of great help. I have already signed up for one workshop. Muting
  166. Muting

    Reuter 3000Xtra Workshop

    Thank you, Alain!
  167. Muting

    Reuter 3000Xtra Workshop

    Hi, I find that our library will run a series of workshop on Reuters 3000Xtra system in Subotnick Center. I want to register for one workshop next week. Is anyone interested in? Here is the link for register: Baruch Home | Newman Home | Services | Workshops But I am wondering whether our...
  168. Muting


    Here is a quite comprehensive explanation about CDS, which I find very interesting. Credit default swap - Wikipedia, the free encyclopedia
  169. Muting

    Wall Street Firms Plan System to Rival Goldman Sachs

    July 23 (Bloomberg) -- Five of Wall Street's biggest firms are planning a trading system for unregistered securities, seeking to compete with Goldman Sachs Group Inc. in a market on pace for record sales this year, according to people familiar with the plan. Citigroup Inc., JPMorgan Chase &...
  170. Muting

    Which statistic software can integrate Advanced Language, say C++?

    Hi, Amy I think you can try Matlab. But the SAS seems to be more useful for financial statistics.
  171. Muting

    LaTeX addin for MS Office (esp. Word)

    count me in : )
  172. Muting

    I reached 2000th post TODAY !!!

    Andy, congrajulations! We all appreciate the great efforts you have made for this forum!
  173. Muting

    Anyone using SAS ?

    One thing is whether baruch provides other database. The other is that whether baruch combines different database (different database focuses on different data, so combined database means great convinience). I know NYU provides combined database of COMPUSTAT and CRSP. If we do not provide...
  174. Muting

    Anyone using SAS ?

    Andy, could you please tell me what specific places (i.e. company name) using SAS? I am curious about that. And do you have more detail about what do they do by SAS? thanks!:)
  175. Muting

    Anyone using SAS ?

    I have learnt a little about SAS in my undergraduate study. I heard that some hedge funds use the database COMPUSTAT and CRSP, with the help of SAS, to create and test strategies that might make money. I do not know whether Baruch provides COMPUSTAT and CRSP. could anyone tell me?
  176. Muting

    Work Experience and early admission

    yes, primarily in the form of internship
  177. Muting

    Work Experience and early admission

    Hi,toiysam: Actually I am admitted for Fall 2007 and the lucky one who just graduated from college:) . I will graduate in this June. And as you have mentioned, I have submitted my application around mid-Dec last year. I got an interview on Jan 25th and got an admission from Prof. Dan after the...
  178. Muting

    newbie here....hello everybody

    Hi all, I am also admitted by Baruch and I decided to go to Baruch. I greatly appreciate much valuable information you share in this forum. Besides, could you please give me some advice about what to prepare for this program in my next semester? I know I have to learn a lot of programming...
  179. Muting

    New Quantnet members say hi

    Hi,everyone Baruch's courses are all arranged in the evening. I was curious about what would you do during the daytime? Doing some interns or being busy with programming work? Besides, Professor Neftci is in this program, but he also has some teaching task in other institutes. Will he stay...
  180. Muting

    New Quantnet members say hi

    Hi,all Thanks for your informative advice. That helps a lot!:D Alain, sure, i will work like a mad man:smt024 Next semester I just have one course. Hence, I will be indulged in programming in most time to feed up programming skills. As I have seen, Baruch pays great attention to programming.
  181. Muting

    New Quantnet members say hi

    Thanks, Andy. could you recommend some books in C++?
  182. Muting

    New Quantnet members say hi

    Hi, maxrum Could you offer me some advice on preparation about C++ or other important programming skills? I am now reading a book "Thinking in C++" by Bruce Eckel, as well as reading some C++ textbooks. I hope you can recommend some useful books or articles for me.:smt100 Thanks
  183. Muting

    New Quantnet members say hi

    Hi, maxrum Thanks for your advice. I have passed a national certificate on C++. But I know that is not enough for FE. So I am still learning C++ this semester by myself. Fortunately, this forum gives me a lot of guide on how to learn C++. BTW: I like the articles you posted on Finance, very...
  184. Muting

    New Quantnet members say hi

    Hi,all I am also a new applicant to Baruch MFE 2007 I really want to join the quant community because it offers scienfic methods and practical means to bring many ideas I developed from what I learnt and experienced into innovative techniques, products and even trading strategies in financial...
  185. Muting

    Options, Risk Management, Implied Volatility & Co.

    Hi, maxrum It is an interesting article. :) From what I have learnt in my class, this is called market-neutral strategy, that is, selling high priced secuirities while buying low priced securities. It is mostly applied by hedge funds. By the way, could the VIX (Volatility Index) traded in...