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  1. Ilya W

    What books are you currently reading?

    Midnight Tides (Malazan Book of the Fallen #5) Midnight Tides by Steven Erikson ;)
  2. Ilya W

    2018 QuantNet Rankings of Financial Engineering (MFE) Programs

    My guess it is very hard to give arguments when all numbers are right in-front of your eyes. Great job Andy! The only discussion we can have is how much weight should be there for peer assessment score or selectivity score ( just imho there are too much :) ) .
  3. Ilya W

    What Quants make what money?

    In the article, it is said: "Anyway, here’s what we know about the base salaries (not including any bonuses)"
  4. Ilya W

    2018 QuantNet Rankings of Financial Engineering (MFE) Programs

    Andy, I surprised that Princeton with 100/100 job placement ratio is only 5th. Is it because of peer assessment score is lower than for other programs?
  5. Ilya W

    What Quants make what money?

    Hey guys, just came across this article regarding pay base in top seven New-York hedge funds... Here's what seven top New York hedge funds pay
  6. Ilya W

    Different types of quants

    dhruvk, read What do quant do ? A guide by Mark Joshi. You can find all info about different type of quants there.
  7. Ilya W

    7.8 Credit Risk Methodology Quantitative Analyst

    Cracking the Coding Interview: 150 Programming Questions and Solutions: Gayle Laakmann McDowell: 9780984782802: Books
  8. Ilya W

    2017 QuantNet Rankings of Financial Engineering (MFE) Programs

    I think a lot of guys working on risk side might disagree with you :) Again just for me, quality job == job that allows you to live by your own standard (which of course very subjective)
  9. Ilya W

    2017 QuantNet Rankings of Financial Engineering (MFE) Programs

    To say true, totally disagree with that statement. Just tell me please which employer with "bad quality" can pay you more than 100K on average? Also just IMO selectivity is kind of very biased estimator. But in any case average GRE score for all top programs is almost the same so does not...
  10. Ilya W

    2017 QuantNet Rankings of Financial Engineering (MFE) Programs

    you can find it here: GRE was 15% as it is in the 2017 Just IMHO, I would put even more weight into the placement success because at the end it is the only unbiased component.
  11. Ilya W

    Help me choose between two offers for summer internship (Europe)

    super_adun, DO what is better for YOU, and I do not think you are a dick becuase of that. Do not think that they will not find another candidate if you decide to let them go. You were fair with them letting them know that you have another interview going on, but they forced you to give them a...
  12. Ilya W

    NYU-Poly Rejection

    Francis, the problem is I graduated a long time ago (back in 2007) a lot has changed since that times :) I knew about poly certificate only, and now it is closed. So I just look at the schools you were trying to get into and look if there is any certificate available. I think you can do the same ;)
  13. Ilya W

    NYU-Poly Rejection

    Looks like you are right. They closed it. What about same approach in Columbia? Looks like though it just an advanced math classes... try to find out what are the chances to get into their MSFE after that.
  14. Ilya W

    NYU-Poly Rejection

    Just as suggestion, try to check their Financial Engineering Certificate program I think they might give you a chance to enroll there and if you are really good transfer to master program after. Not sure...
  15. Ilya W

    Game of Thrones

    I really love both seasons of Game of Thrones by HBO but to enjoy this show you have to read the books first (just my 2 cents :) ). I had to admit that all actors are an exellent fit for their book prototypes (especially Tyrion and Daenerys) and that show going step by step after Martin script...
  16. Ilya W

    Where to buy a SUIT

    I bought mine KK in Lord&Taylor couple of years ago. Original price was 700$, the sale was 20% + coupon 25% + open credit card with them 20% so the final price with 65% discount was 245$ :) Be smart ... :)
  17. Ilya W

    From a Goldman Sachs Quant interview

    Hey Lighty, darth is right, let say 1st mice drink from 1st bottle, 2nd from second, and both of them from third. So you can check three bottles, but if after 24 hour none of mice is dead it means that poisoned bottle was 4th one :) it is indeed 2^n power problem, I got similar on my interview...
  18. Ilya W

    Username change request thread

    Hey Andy, could you change my username to ilyaw77? Thanks.
  19. Ilya W

    Please help!

    take a look at my post here: it explains how to send array from VBA to C++
  20. Ilya W

    Please help!

    crazymath, you can send it as one dimensional array of simple type (double or int). if you want to send matrix (2 dim array) just convert 2 dim into 1 dim and convert back in C++ code. If I remember right you may find this approach in Dalton book I gave you link to last time.
  21. Ilya W

    Any recommended C++ readings?

    Anything could be helpful, but it is very specific area, so hard to say here... Also worth note that there are many products on market using which you can really simplify your life, couple of examples are:
  22. Ilya W

    Any recommended C++ readings?

    Try this two: XLL development (if I remember right first 4 or 5 chapters dealing with simple dll approach and explanation of difference b/w data types in vb/vba and c++) Excel Add-in Development in C/C++: Applications in Finance Excel Automation approach. C# in Front Office: Advanced C# in...
  23. Ilya W

    How to pass a date to from excel to C++?

    Hey crazymath, I do not think there is a simple way to do that. May be someone here would be able to give you a better advice, but here is the way to think about it. Convert your date type to double type which you can directly send to C++ dll. In vba code do something like 10000*year + 100*month...
  24. Ilya W

    Financial Instrument pricing using C++ - problems?

    Thanks, looking forward for this :)
  25. Ilya W

    Financial Instrument pricing using C++ - problems?

    Daniel, I'm waiting for your another book - C# for Financial Markets When do you think it become available to purchase?
  26. Ilya W

    A Goldman Sachs programmer was found guilty

    Not the law, just internal policy rule :), but again that was just a hypothetical scenario. I agree that taking other people code or project code you are working on for your employer is a crime of stealing. What is really interesting for me is how safe you can be, if you do not take anything...
  27. Ilya W

    A Goldman Sachs programmer was found guilty

    Even though I agree with that, but per law you are innocent until proven guilty and in case of HW, after internal investigation (no one in their mind will pursue charges without it) the max you can get is the warning of using e-mail in your personal use.
  28. Ilya W

    A Goldman Sachs programmer was found guilty

    Just a hypothetical scenario, what if you doing your fe class hw using computer at work and then send the code to your home computer? mail server will have a log, but I seriously doubt someone can claim that you steel something without any proof that code you sent belongs to any of the real...
  29. Ilya W

    Calling C++ from VBA

    Dominic, when you have some time, can you share your lecture notes with pointers please?
  30. Ilya W

    Is hell exothermic?

    just brilliant :)
  31. Ilya W

    Calling C++ from VBA

    Thank you Dominic, it will be interesting. Pointers does not scare me at all even though I do not see how we can pass a vector from VBA directly to C++ method if we can not change method signature, but again there are a lot of things that I do not know, so may be there is a way :)
  32. Ilya W

    Calling C++ from VBA

    Hey Alain, unfortunately here is the case where I can not change the C++ analytic library code which we want to use in add-inns. And I do not know simple ways how to send vectors and maps from VBA code directly to C++ :) Probably there is a way to use xlls but for me wrapper looked as a better...
  33. Ilya W

    Calling C++ from VBA

    There are at least few ways possible. The one I currently work with is VBA->C#->managed C++ wrapper->C++. On other hand if C++ compiled as dll and method you need takes simple type arguments you can try to declare this methods inside you vba code and call it directly. There is also xll way to...
  34. Ilya W

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

    EMalu, I'm still waiting for the alternative MFE ranking to take a look at as Anthony suggested ... will you provide a link or going to blablabla the whole day?
  35. Ilya W

    Singapore hedge fund vs Wall Street aspirations

    Hey Donny, I agree with other guys - take a job :) You can always come back to the wall street dream when you get some years of experience. This will open for you many more opportunities in the future compare to MFE graduate with only academic knowledge.
  36. Ilya W

    Salary History

    Looks like that is very tough market for the people without good experience now. I remember I got 43K while studying part time for my MFE on my first full time job (Market Risk Analyst position) back in 2005. If you really think this job can give you something good to put on your resume within a...
  37. Ilya W

    Salary History

    Hi Ilya, do I understand right that they offer you a salary without even interviewing you yet? To say true I never heard anything like that before.
  38. Ilya W

    Wall Street new round of layoff

    Just for case of clarity, let's take an example of my friend who lost his programmer position in a big wireless company provider back at 2004. He got his unemployment for 9 month, and different offers from unemployment office to retrain as a clerk or computer technician. Unfortunately both ways...
  39. Ilya W

    Where do you stand politically?

    interested test indeed, I came at: Economic Left/Right: -1.25 Social Libertarian/Authoritarian: -2.51
  40. Ilya W

    C++, what else?

    Guys, I think you are talking about different worlds :) Tsonte, KaiRu is right, Java is the most popular platform as of now for the BO and MO systems in most of the IBs. FO of course is the different world, based on my FO experience the rulers here are C++ as development tool for researchers...
  41. Ilya W

    Excel #value error that isn't one

    Agree with Alain on this one, but as a shortcut try to use Ctrl+Alt+F9 on your boss computer, it will force full recalculation. Usually in case of your kind of problem it is working :) Also you can try to put a line of code on Workbook_Open event : Application.Calculate, this may help as well.
  42. Ilya W

    PhD in Mathematics?

    Weicked, based only on my experience I have not seen quants without a PHD degree. Most of the guys with MSFE degree I met were holding quantitative analyst positions in various research teams and mostly were kind of programmers who implemented models and math algorithms and worked as assistants...
  43. Ilya W

    Dark Secrets of 'Prestigious' Programs: Caveat Emptor

    Agreed with Dominic and bigbadwolf. By the way his way of writing reminds me our old friend Leroy :)
  44. Ilya W

    Beer gardens in NYC

    Nice place indeed Andy, I was there couple of times. For anyone who love beer and visit Brooklyn I definitely would recommend this place: Guys have more then 300 different beers, around 50 different draft.
  45. Ilya W

    Customized Excel

    Hey Guys, as a person who programs on VBA for about 7 years I will defend it a little bit. VBA as I see it, is just part of VB 6 to use with different applications in Microsoft Office Package; it is not OO language and was not intended to be despite ability to create classes which in any case...
  46. Ilya W

    What books are you currently reading?

    Hey Steven, of course I did, as of now I read the first three books of Malazan series, just never had time to continue with it, always there were something more interesting to start first :)
  47. Ilya W

    What books are you currently reading?

    After almost 6 years of waiting, 5th book of Song of Ice and Fire will finally be in stores, release day is July 12. As of now I'm finishing last book of Joe Abercrombie trilogy "The First Law". One of the best dark fantasy books I read after...
  48. Ilya W

    "Awkward" situation at work due to my graduate school application...

    Hey man, is the school you are trying to get into have a part time option? If the answer is yes, then given today's job market I would not quit the job but instead study and work for the same time. It could be difficult but definitely manageable (did it myself).
  49. Ilya W

    Partials PV01

    Hey Guys, question on partials PV01s. The picture below is a book example: Unfortunaetly there was no explanation in this book how the partial PV01s were calculated for the swap, for example for stress for 1bp in 1m cash rates we got PV01 = 8 for the swap (5.5 years, 100M notional). How...
  50. Ilya W

    A Day in the Life of the Former Rates Operate Team Developer

    Thanks for posting this Andy, I was in similar situation myself and know what it is and how it feels -:) Regarding goes to sleep at 12, I can speak only for myself but usual home activity could be very different for everybody, spend time with the family could be very time consuming :) I guess...
  51. Ilya W

    Algorithms For Interviews

    regarding first problem I solved this problem using MC simulations. Probably a little more applied approach but works good :) For 10,000 times I generated the sample until all 6 numbers were hit. Then using Sum of these sample's sizes devided by number of sims we come to average equal to...
  52. Ilya W

    Graduated Rutgers (a while back)...job hunt still sucks

    I think how difficult to find the job in NY you can see right away from for how long you can receive unemployment benefits. Do not know for other states but in NY now it is 99 weeks...
  53. Ilya W

    Where to watch World cup for free

    Yup, I was really disappointed yesterday how <?xml:namespace prefix = st1 ns = "urn:schemas-microsoft-com:office:smarttags" /><st1:country-region w:st="on">Germany</st1:country-region> played, <st1:country-region w:st="on"><st1:place w:st="on">Spain</st1:place></st1:country-region> was better...
  54. Ilya W

    "MFE program profile evaluation" master thread

    Hey man,<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o:p></o:p> There are plenty of Financial Engineering Certificate programs now where you do not need passing GRE score or really good GPA to get into. I think if you take one of these program, and then will apply...
  55. Ilya W

    The Master Happy Birthday thread

    Andy Happy Birthday :))):birthday::weedman::rock::cheers:
  56. Ilya W

    VBA question

    Hi Sanket, as I undestand your question just make sure that in the tools->reference in vba editor you have atpvbaen.xls checked. After that you should be able to use all fncs of that library.
  57. Ilya W

    CDO and morgage backed securities

    In my opinion we should not blame any financial engineers or rating agencies because (as far as I know) there just do not exist model which takes “greed” as a volatility factor. Big guys (investment banks and mortgages houses) needed these new debts to construct complex credit derivatives and...
  58. Ilya W

    Bad time to get into financials?

    I think it also depends on what are you looking for, even a year or two ago when market was not that bad to become a quant with only MFE and no PHD in any other hard since was almost impossible. But if you look for close to quant/research or traders positions like for example model...
  59. Ilya W

    Question for the Part-timers . . .

    Hi JSTAR, My experience is that I completed MFE as Part Time student within 3 years. Probably the most difficult year is the first one when as already been said you have to study all the weekends and nights and even take books and write some code on the job. But I can say this only regarding my...
  60. Ilya W

    Integrate C++ program into VBA

    Hi Bridget, My name is Ilya I'm a part time student on the program since september 2004. I'm working on the same problem now, and can show you simple example how to integrate c++ dll file and vba excel. I'm working with and vba embedded in excel 2003. Here is simple method how to import...