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And perhaps a lightweight version of QN for phone browsers.

Now there's a word you don't hear everyday! :D

:dance: Happy Birthday, RussianMike!!! :dance:

Classical as in classic pop music? e.g. MJ, the King of Pop :)

Attach your code to the post or use the 'code' tags and embed your code; that'll make it easier to diagnose the problem

I really like that new bar on the bottom of the page; it's very facebook-ish.

I don't think Britney to Michael Jackson is at all a fair comparison.

By the way, I recommend Ubuntu.

Shlomi wanting to install Linux? What's going on here?

For those who are interested: http://people.math.gatech.edu/~cain/textbooks/onlinebooks.html

I've found that books, for the most part, tend to be cheaper on half.com. If I had to guess, I'd say my book purchases are split 70/30 on half.com and Amazon, respectively.

42

As Plato said, "wise people talk because they have something to say; fools, because they have to say something."

Well said, sir. Well said.

The late Salih Neftc's The Mathematics of Financial Derivatives <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0125153929&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0"...

You know who else doesn't have an MBA? LeBron James.

Same goes for Pidgin on Ubuntu and I believe also for Empathy.

I use it quite often; it is a good alternative to sending messages. Although, a lot of people don't want other to 'see' when they are online, which means they won't show up in that chat window.

You're absolutely right, it's not a true GPS; it's more of a triangulation. I've actually used it very good results. Just a few weeks ago, I drove from Florida - Boston using the GPS in the iPhone with very good results. I had a Magellan GPS along with me, just in case, but I never once...

Are you sure about the no GPS? I have the current generation of 3G iPhone and I have GPS. Nowadays, GPS is pretty much standard on all phones. http://www.apple.com/iphone/why-iphone/

Why not just state your opinons regarding Wolfram Alpaha here, instead of trying to draw traffic to your blog?

I've also heard that the butter production in Bangladesh is often an indicator of future stock market returns.

Speaking of Twitter, Conan O' Brien had this to say about the social networking sites Facebook, Twitter, and MySpace: http://www.youtube.com/watch?v=Bmk9CjEha8A

http://twitter.com/spquant I'm on it, but I don't really 'update' very often.

some linux humor

I just added a subscription to the feed via Thunderbird and I'm having the same issue. I only get the first post in each new thread - none of the replies, just the very first post. ' The most recent post in my feed is "NYU Courant has 3rd Abel Prize winner in 5 years."

And how exactly did you arrive at that number? Also, perhaps, that level of compensation for quants isn't the norm in the industry?

Because Chuck Norris told it to do so

:birthday:

As Ross pointed out, equity returns are anything but normal - they have excess kurtosis. You'll get a better fit using t-distribution.

hi chira, just a word of caution, u mite want 2 avoid slang n uze proper english. also, u shld search dis forum. other ppl have asked similar ?s.

happy birthday greg!!! :band: :birthday:

I've been primarily working in Ubuntu for the past couple years. I have a small XP partition for the times I need Excel/VBA and also for times when I just feel like p3wning noobs in Quake and Battlefield. :D

I say we go for dinner then drinks.

I agree

Can you be a bit more specific? i.e what topics were covered, how in-depth were the topics covered, how well did you do, etc.

Happy Birthday! :birthday:

Unless ETS has changed it's policy, I don't think you're allowed to go back to prior questions. That is, in effect, one reason why they use the 'adaptive tests' where the questions being asked depend on your performance on prior questions. As a result, unlike the paper-based test, each...

If haven't already done so, you may want to consider purchasing one of GRE prep books. The are immensely useful, as they expose your to the type of questions generally asked on the exam. I, myself, bought the one published by ETS.

You don't need calculators. If you feel you require a calculator for a particular problem, you're approaching the problem in an incorrect manner. While a calculator would make the test easier, the test then in turn would be testing your ability to use a calculator. As a quant, you may be...

Take the paper-based test: http://www.ets.org/Media/Tests/GRE/pdf/gre_0809_tclist.pdf

Bigbadwolf, This is somewhat of an aside, but just out of curiosity, is this your blog?

Let me put it this way: you only really need to know high school level math for the quant portion of the GRE.

For starters, I'd recommend retaking the GRE. The 760 quant score isn't exactly stellar, especially when you consider the level of math on the test.

Is a student discount available? At $2500, I think it might be a bit steep for most students.

Bluechimp is correct - teaching yourself C++ is easier said than done. There is a difference between being to do something and actually understanding what it is that you are doing. Besides, with a language like C++, having prior programming experience is big help.

I just signed up about 10 minutes ago, hopefully I'll be hearing some good news from them soon. :smt024

It's unfortunate that I never got a chance to meet Professor Neftci. After reading his books and speaking to students who took his course has Baruch, I really hoping to get a chance to study under Professor Neftci. It was in fact Professor Neftic's book, The Mathematics of Financial...

No

For starters, try searching on Quantnet.

I believe the OP's question was regarding Financial Mathematics, not Economics.

In that case, they can publish (\frac{1}{Ranking}) and make a note of the methodology somewhere in the fine print.

For starters, you may want to try that link I posted - the one that says "Read This..." Here are some of my posts on global derivatives that you may find useful: this and this

Shlomi is absolutely correct. Trust me, you don't want to go to BU. Read this for more info.

Have you tried contacting school and asking them to put you in touch with current/former students? That would be the ideal place to start...

Doğum Günün Kutlu Olsun! :drinkers: :cheers: :birthday:

Yes, smp04c is user name on Global Derivatives. As far as I know, I'm the only student who has been allowed to transfer into the Baruch program.

I am not at BU right now. I'm currently at Baruch. There is absolutely no way cost of the BU program can be justified. As for the degree being respectable, I'm inclined to say no. But a better gauge of the degree is how well it prepares you for the industry, not necessarily the prestige of...

No, instead of the MFE.

Just so you know, we don't exactly have access to the placements stats of all the programs across the U.S. Talk to the current students at both programs.

That sounds more like a homework question.

That's when you can bring in a firm like Moodys to certify the quality of the meat. ------- By the way, I love the Barney Frank comment!

I assume the lightning cooked the cows to a nice medium to medium-rare, so how about selling steaks?

You should aim for about 4 hours ;)

You may want to consider using proper English. You don't have to have perfect grammar but don't use words like dats, cud, ull, nuin, shd, knw, dis, etc. Doing so will only make your post seem juvenile and people will be less inclined to reply.

A First Course in Probability - Sheldon Ross Stochastic Calculus for Finance I: The Binomial Asset Pricing Model - Steven Shreve

I used it for a portfolio simulation project as an undergrad. I don't remember too many details but the order execution was better than that of Investopedia still left much to be desired. StockTrak allows you to trade both equities and vanilla options along with the ability to short options...

Have you tried contacting the Help Desk?

At least the internship is paid! :D

I've heard rumors that a candidate was asked to prove that (f(N_t)) is in fact a sub-martingale, where (f(N_t)) is the amount of fun a person has had after (n)attractions.

I think the only the only reason the little girl doesn't have a loan is because she is too young. The fact that she has no verifiable source of income isn't a hindrance at all. After all, she could always get one of those no-doc, liar loans.

Ilya, I take it you've never studied economics and I'm sorry to say but I don't think have any idea what you're talking about. CAPM is just statistics? I'm willing to bet that you that have no idea of the mathematics and economics behind CAPM and the Markowitz frontier. What you think...

Who might these employers be and what kind of jobs would these employers offer? I really only had two "quantitative" courses from each department. Mathematical Economics\Static Optimization and Econometrics from economics and Risk Management\Financial Derivatives and a phd course in Financial...

As an MFE student who went the Finance + Minor in Math route as undergrad, I do not recommend it. The type of Finance you'll learn as undergrad and the type you'll learn at an MFE program is very different. Financial engineering is a highly specialized within Finance, it's isn't really Finance...

Loans

:dance::dance: :dance::dance:Happy Birthday Andy!!!:dance::dance: :dance::dance:

That's a good list. Just add a C++ course and you'll be in good shape. The only thing left now is to actually take those courses and get an A in each one. If you're feeling particularly adventerous, you can always find reading material from the Master Reading List thread. I'd recommend...

As an undergrad, I double majored in Finance and Economics and I minored in Mathematics. You should able to take whatever course you want from the math department provided that you satify the pre-reqs. You should also be able to substitute the Mathematics for Economics with Calculus classes...

Take math courses from the math department. The "math" course you'd take as an Econ major are generally watered down - I speak from experience. At a minimum you'll need: 3 Semester of Calculus Ordinary Differential Equations Partial Differential Equations Linear Algebra - something beyond...

Thank you. I was having problem because of the Application.Run "ATPVBAEN.XLA!Mcorrel", I couldn't figure out the proper syntax for it. I'd found a couple variations online. But I think my problem was largely due to the fact that I had written ATPVBAEN.XLS! instead of "ATPVBAEN.XLA!.

In the process of writing some code to automate some calculations, I need to estimate a correlations matrix. I know I can use Application.WorkSheetFunction.Correl but that I have a huge range of returns and I don't feel like writing loops. I also don't feel like writing code to manually...

Here is a nice little slide-show of the Subprime mess. I think it's been around for a while now, but in case you haven't seen it, it is definitely worth a look.

Who was this someone? This is the third time you're asking the same thing. Alain already recommended R. If you're really that torn between SAS and R, flip a coin and start learning one or the other.

If you're inclined, another option would be to simply get a book like Walkenbach along with something like Hull or Carol Alexander's book on pricing financial instruments and code all the models. You'll learn Excel + VBA + pricing models all in one shot.

Wow, turns out that not even Simo-, I mean God, is infallible.

Ahh, its for sale! I thought he was being altruistic and was going to let someone borrow it.

Paintball trip sounds fun! I've shot paintball guns a few times in the past but never actually played paintball. I'd definitely be interested in going. Alain, if no one else has already done so, I'll take up the offer of borrowing your gear.

As far as I know, XKCD isn't really an acronym. I think it's something the founder of xkcd.com, Randall Munroe, made up.

Is there generally an informal dress code for these types of talks? Business casual?

I take it you speak from firsthand experience?

Good Luck!!! But be on the lookout for polar bears. I hear they run rampant through most of Canada. :)

I'm not sure I fully understand your question: are you trying to determine which of the two programs at Oxford would be more conducive to a career as quant? The difference between Financial Economics and Financial Engineering isn't exactly a subtle one. Financial Economics is necessarily a...

I've got mixed feelings about that article. The author is jumping back and forth between an executive and a family of four. Unless I'm mistaken, I don't think most families of 4 have chauffeurs, bodyguards, wear $1000 suits, own houses/condos in exclusive areas of the city, attend charity...

Now that's a novel idea! =D> :D:D:D

You may find this useful: http://tutorial.math.lamar.edu/ Contains notes for College Algebra, Calc I - III, Linear Algebra, and Ordinary Differential Equations.

I just ran across this website - Project Euler - which contains over 200 programming problems. They range in difficulty from simply finding the (n^{th}) prime number to finding Minkowski sums. If you're looking to brush up on programming or perhaps explore a new language, Project Euler is a...

happy birthday!

Those are all answers that can be answered by drawing at random, an ( x \in \Omega) - where (\Omega) = (\{Google\}\cup\{Search Quantnet\}\cup\{Schools' Websites\}\cup\{Doug's Signature\}) (\forall x \in \Omega,\hspace{2} \mathbb{P}(\text{finding an answer}) = 1)

For those in Prof Raynes' Structured Finance class, it reminds of the short excursion last night on qualitative vs quantitative - perhaps Verzion is trying to do math qualitatively.

That is great. My favorite part is:

Why do I get the impression that you think everyone at Leigh and everyone around you, in general, is a complete and utter moron?

Good question. I think the financial engineering program is more applied and the financial mathematics program is more theoretical but that's just me speculating.

Turned out to be a decent game. I thought the first 3/4 of the game was pretty boring but it got interesting in the last 6-7 minutes of the game. I still think Ben Roethlisberger is overrated as a quarterback.

I will try to work on Risk while watching. :D

All of the schools require either the GRE or GMAT but I think only Chicago requires the Math GRE along with GRE. Why don't you just contact the schools and ask them directly? In doing so, you will save time and get an official answer.

Steelers 17 Cardinals 28

Your application will be given a fair evaluation, just like all other applications. Your admissibility ultimately will depend on the strength of your background - specifically, your mathematical and programming background. As Shlomi indicated, you will need to take either the GRE or GMAT in...

The application process should be fairly straightforward and for most part, you should be able to apply online. While the general process is the same across schools, each is likely to have its own special requirements. You should be able to find all the information you need their websites. If...

That depends. As far as I know, most school don't require the Math GRE. If you don't have a quantitative background - physics, engineering, mathematics, etc - then it might be good idea to take the Math GRE to prove your quantitative abilities. But it will help only if you get a high score (...

I'm still waiting for book to arrive but I'm pretty sure it'll get here by Saturday. I'll have to give it you sometime during the upcoming week.

For those of you taking MTH 9842 (Linear and Quadratic Optimization) this semester I accidentally purchased an extra copy of Optimization Methods in Finance by Cornuejols and Tutnucu. <iframe...

Boston University Math Finance Having read the experience a QN member had during his/her first semester at NYU, I feel compelled to share my experience at Boston University. First, it seems the program admitted virtually anyone that applied. Sadly, there were students in the program who...

I like how the new layout cycles thought various lists in main forum page: top posters, blogs, newest members, most popular threads, etc. Neat stuff!

What's wrong with Wilmott and what makes him a lowly 'book-peddling academic?'

I think most places will still accept the materials. In my opinion, though sending in materials past the deadline isn't likely to impress the admission committee. As to whether they will actually accept the materials, why don't you just call them and ask?

As far as I know, the book has been out of print for some time. Your best best is likely to be some place like Amazon or Half.com

http://online.wsj.com/article/SB123051100709638419.html

Merry Christmas and Happy Holidays to all! ...and now back to modeling Santa's arrival at each chimney as a poisson process...

* had to delete the post - just realized someone had already posted the same article :D *

I'm sure the word "Active" is an accurate representation as one would actively engage in shuffling money back and forth.

This suicide faintly reminds me of J. Clifford Baxter - an Enron executive - who also committed suicide soon after company had imploded.

If bags are allowed to be placed inside of other bags, then I believe it is 14 marbles. If not, then I believe the answer should be 105 marbles.

The accountant, David Friehling, who did the auditing for Mr. Madoff has been issued a subponea.

Investor Who Lost Money in Alleged Scheme Seeks Relief From SEC An article in the Journal today: Investor Who Lost Money in Alleged Scheme Seeks Relief From SEC - WSJ.com

You probably won't find much, if any, information on the NC State program. Quantnet concentrates, primarily, on the NYC-area programs. You should try to contact current and former students - they are likely to be your best source of information.

What are the new chapters? I checked online and both books, according to Barnes & Noble, have the same chapters. 1st Edition 2nd Edition I have the 1st edition and I'm just wondering whether the 2nd edition is a significant update of the 1st.

Is there a significant difference between the 1st and 2nd editions?

I believe the author of Fixed Income Attribution is mistakenly listed as Carl Bacon - the correct author is Andrew Colin. Or perhaps title is referring to Bacon's Practical Portfolio Performance Measurement and Attribution?

Or perhaps this might help

For those of you with jobs in the industry, I have the following questions about UML: How important is it for one to know UML? Is UML primarily something that those with pure software\development roles use? Have you ever been asked about UML at interviews? How much, if any, UML is necessary...

Have any numbers? It'd be interesting to see the magnitude of the decrease.

That's a brilliant blog. The (Oct 24th) picture of Bernanke is classic.

Reminds me of the adage "in a crisis, correlations go to 1."

Adding on to what Doug said: * How has the perception of an MFE versus PhD changed? Do PhDs still command a premium or has the gap somewhat narrowed?

Isn't that a bit like trying to compare apples and oranges? Regardless though, why not pursue something you truly enjoy? There is little to be gained from just to grad school just for the sake of going to grad school.

We apologise for the fault in the subtitles. Those responsible have been sacked. Mynd you, møøse bites Kan be pretti nasti We apologise again for the fault in the subtitles. Those responsible for the sacking the people who have just been sacked, have been sacked. The directors of the firm...

I am religiously listening to what Jim Cramer says and doing the exact opposite. :D:D:D

At first, I thought the article was somewhat genuine, but so much for that. GDP (purchasing power parity): $31.13 billion (2007 est.) GDP (official exchange rate): $14.86 billion (2007 est.) GDP - real growth rate: 5.5% (2007 est.) GDP - per capita (PPP): $1,400 (2007 est.) source: CIA...

I wasn't sure what to think of this - I read the article then just at there staring at my computer screen. Ghana unveils $14 economic stimulus plan : The Leveraged Sell-Out

If only I had money in the first place... :)

You may want to take your post elsewhere - this community neither evaluates profiles nor assesses one's chances for admission. You would be better suited making this request on Global Derivatives. The profiles of the 2008 class, though, should provide some indication.

An old (Dec 07) but still fairly relevant article from the Wall Street Journal:

I wonder whether the yield on the 1-month T-Bill will go negative or even down to 0 in the near future. Last I checked, it was sitting at a mere 0.041%.

You could take a look at some of the Schaum's books. But you have to keep in mind, they're mostly outline/review type books which pick and choose the "key" topics. They're inevitably bound to leave out certain topics. For a derivatives book, I think Hull's Options, Futures, and Other...

I'm not too familiar with the myriad of calculus books in print, but I, myself, used James Stewart's Calculus: Early Transcendentals and Morris Kline's Calculus: An Intuitive and Physical Approach. As for linear algebra, I think you'd be in good hands with Gilbert Strang's Introduction to...

What's your reasoning?

http://www.reuters.com/article/ousiv/idUSTRE4AI96T20081119?sp=true By Kristina Cooke and Dan Burns NEW YORK (Reuters) - One hundred and one. No, that's not Dalmatians but the number of stocks in the U.S. benchmark S&P 500 index now trading for less than $10 a share. In fact, $10...

Interesting article and a good read. I never realized people performed such diligent analytics over the scores in football games. I thought the 'math' ended with the bets on spreads. Bowl season for college football isn't too far away...maybe I should spend a month calculating regressions...

A Visual Guide to the Financial Crisis

Have you even tried to find out yourself? Every school lists its minimum requirements and choice of test on its website. That would be a good place to begin.

I don't think you'll be able to find a collection of such charts anywhere - for free that is. The closest thing would be to use a data service like Bloomberg or even some thing like Yahoo Finance and to get the charts. You would probably be better off writing a VBA script to grab the raw data...

The brilliant Sarah Palin:

Personally, I would like to have seen more cowbell, but otherwise its brilliant!

Obama wins!!! :dance:

Does anyone know whether "Applied C# in Financial Markets" by Martin Worner is worth reading? I couldn't find much info on the book, in terms of reviews and such - I suppose that's one indication. <iframe...

Seems the Rays just ran out of steam going into the World Series. Despite their success, I'm still not fully sold on the Rays as a legitimate contender in the AL East for years to come.

Perhaps an MBA would be more fitting...? Both MFEs (financial economics and financial engineering) are very different from an MBA - the "finance" you learn as an undergrad is more akin to the "finance" you would see in an MBA. As Doug pointed out, if have a keen interest in the CFA and...

Greenspan got grilled by the House Oversight Committee: Greenspan Admits Errors to Hostile House Panel - WSJ.com Greenspan Admits Errors to Hostile House Panel By KARA SCANNELL and SUDEEP REDDY Alan Greenspan, lauded in Congress while the economy boomed, conceded under harsh questioning...

They are fairly straightforward but never hurts to get some practice.

Touche.

Anyone watch game 5 of the ALCS? I know most of you here are yankees fans, but game 5 was one hell of a come back. If the Sox end up winning the ALCS, the come-back will rival a certain series a few years ago... :D:D:D

Finally, an IAFE event in Boston! Count me in!

There is no 'official' and objective ranking of the various FE/MF programs. But if do you some research, you should be able to discern the good ones from the not so good ones.

Interestingly enough, http://www.bloomberg.com/apps/news?pid=20601087&sid=aDVgqxiT9RSg&refer=home# Taleb's `Black Swan' Investors Post Gains as Markets Take Dive By Stephanie Baker...

An article in defense of quants by none other than Steven Shreve: Don't Blame the Quants

Thank you! That's been bugging me all morning.

I remember reading sometime ago that one of the reason LIBOR is used is because many institutions are required to hold US gov't debt to fulfill regulatory requirements. This effectively (and somewhat artificially) drives up demand and yields down. Thus, even though, the US gov't debt is...

Hahaha :iagree:

I fail to see what this has to do with the socialist nature of European nations. I'm no economist but I think this situation is more than just another hiccup in the business cycle. As for what Bill Gates said and the other unknown source you quoted, quotes like that are dime a dozen...

But one must keep in mind the sheer magnitude of the current crisis. Given the level of integration across markets globally, the current situation has the potential to make the recession of the 30's look like child's play.

That is easier said than done.

I just ran across this Mortal Kombat type election fighting game. It's actually quite funny, here's the link: Atom: Kung-Fu Election

Touche.

Take a look at the attached PDF. It's a tad sloppy, but it should get the point across.

I think that sums it up quite nicely.

"I french-kissed a homeless man for an egg mcmuffin. Where's my bailout?"

Thank you, short bit was actually quite helpful. And now, off to get the book from the library. :)

And it has also been rumored that Black, Scholes, and Merton stole their formula(s) from my 3rd grade project.

Anyone happen to know any good papers or resources for the theory behind simulated annealing? I'm specifically looking for a thorough (mathematical) treatment of the Metropolis-Hastings algorithm. Most of what I've found has been either a general overview or simply pseudo-code. Thanks.

While I agree with what you are saying, it is easy for us to point out the seemingly nonsensical acts of these firms. But in the face of greed and fear, even the most rational man/woman may throw caution out the window. Besides, throughout the course of history, greed and fear have been the...

The speculative buyers are probably loving the current conditions. Hopefully the sellers had the common sense to hedge. But then this bring up the issue of the enforcement of position limits...

That is correct. The swap buyer - the party seeking to insure - in the event of a default, receives the notional amount and delivers the defaulted securities.

Touché

Time to usher in a new era of risk-management

I love New York because if it wasn't for New York, there would be no New York Yankees. And without the Yankees, of course, there would be no competition for the Red Sox. :D:D:D

Is there any chance of recording the session and making it available here on Quantnet? :D

A question of Alain and/or Gus, As far as the 'Description of Trading Strategy' portion of the application is concerned, how explicit must one be?

I'm waiting for Linux version of Chrome. Although, as with most Google products, a Linux version won't be out until Chrome leaves the Beta stage. I did, however, watch the videos Google posted and I'm especially fond of tab with most visited sites, history, bookmarks, recently closed tabs and...

If you spend some time searching, you will find numerous posts identical to yours. As a word of caution, no one here will do 'case evaluations' - that is not the function this community. You are more likely to solicit responses by making a post like this on Global Derivatives. In the...

Thievery Corporation Minus the Bear Michael Buble Jamiroquai Zero 7 Tool a collection of some good House music (e.g Calabria, David Guetta)

BBW, Just out of curiosity, how many books do you own? I'm very impressed with your knowledge and familiarity with textbooks and books in general. There must be an impressive collection of books go with along with that, eh?

I'm not too familiar with various textbooks, but my PDE class also used Strauss. I highly recommend supplementing Strauss with another book - I found Strauss to rather dry and vague. I prefer texts that are thorough and develop concepts with several examples. In my opinion, Strauss fell short...

Another good book to look at would be "Measure and Probability" by Patrick Billingsley. But since you've already picked up Capinski and Kopp, I'd recommend sticking with that book. I would suggest working studying Billingsley once you've finshed Capinski and Kopp. Also, as ctassen pointed...