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To put it briefly: markets are efficient but not in the sense that nobody can beet them but in the sense that even if you have a system that beats the market, the market will (rather sooner than later) adapt and beat you (unless you adapt more quickly). Edward Thorp (after beating casinos in...

I find Triana's metaphor "Virgins teaching sex" both appropriate and expressive. IMO a professor, who never traded a bond, does not know which stocks DAX / DJ30 consist of and never tried to calculate optimal Markowitz portfolio in practice cannot write a books for professionals. In no way I...

According to my personal experience, most of them don't. However, you should clearly understand that quants (unless working in trading) live in the risk neutral world (Q-world) and have to do with derivatives. And an ideally (or at least properly) hedged derivative can bring neither profits nor...

According to amazon: author, lecturer, trader. Be careful by arguing ad hominem since it can easily hurt yourself like this: "Daniel Duffy is neither a professional quantitative analyst, nor a renowned academic and possesses no peer reviewed publications in the field of finance."...

In other words, you are looking for a P- (not Q-) world book. In most of books there are something on P-World but more or less strictly mathematical and just P-world ... no, sorry, no ideas.... Probably because P-world is a little bit boring for those, who what to make math, not money ;)

Have a look at mine: http://www.amazon.com/dp/3000465200/ Contrary to many scientists (according to Pablo Triana, "virgins, sitting in ivory tower and teaching sex / lecturing birds on flying"), I know what I am writing about (my track record proves it: Somewhat better than DUCKS)

First of all you should of course try. But as to "door openers", do not overhope and overestimate it. First of all your [a-priori] chances to win tend to zero. But even if you win, what does actually "win" mean in this context? To get the largest terminal wealth? Well, in a game (when you don't...

Yes. Moreover, calculation and reporting of VaR is required by the most of regulatory frameworks, so this alone is a good reason to learn VaR. However, the fundamental (and generally unsolvable) problem is how to collate the pairs of expected (excess) return and the risk measure. Since I...

As I heard about CUDA I was, myself, very excited about it. Here is my poster what it can be used in quantitative finance for: http://www.yetanotherquant.com/misc/EF2013_Poster_Nekrasov.pdf And here is my paper, for which I used CUDA (source code is available): Kelly Criterion for Multivariate...

... IMO the only realistic way is to apply for a position of a quant-developer, which sometomes even does not imply any knowledge of quantitative finance (the the latter is always a big plus).

check your private mailbox

http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-15a.pdf

Oh yes! First of all do not blindly rely on computation (and model behind) an do engages common sense! Given your 8 stocks, do they all come from different economy sectors?! Have you took into account that the stocks in a diversified portfolio grow more or less independent but in crisis time the...

Do they teach you to crunch an undocumented, badly written VBA and C++ code? This is the main skill a (junior) quant developer needs (unless s/he had luck to land by a brand new project). The second aspect - you will benefit if you learn the domain specific (i.e. finance) know-how. How many...

http://www.markjoshi.com/downloads/advice.pdf

Then I would also say prop shop. They are (normally) really cool and agile, and it is performance (and not a suit with necktie or power point skills) what counts.

How about prob bank? Or investing shop? ;)

But generally, generally, generally, it is so :) Of course deviations do exist. @topicstarter. do have a look at Ken's reading list

http://dealbook.nytimes.com/2013/04/03/uncovering-the-human-factor-in-risk-management-models/?_r=0 "Regulators have reduced risk managers to box checkers, making sure they take every measure of risk and report it dutifully on extensive forms" And yes, salaries are lower than in the FO but the...

you are welcome :) P.S. Have a look at your private mailbox

No they are not (and these two are the most wanted). But you can also press buttons and crunch Excel sheets to generate risk reports (the advantage working in risk is that your job is relatively safe) or debug a legacy code. Once again, being quant is not more as sexy as before! Of course there...

But what is your goal? Money? I don't know your context but I would say that in Germany (where I live) an ambitious person from corporate finance has more chances to make a career upto to CFO than a quant. Why? Simply because many small- and midsize companies hardly need quants. Fun? Not really...

For what?

Speaking for myself, the answer is positive: Somewhat better than DUCKS I do not run 100% quantitative trading, moreover, I devote much more time to reading news and annual reports than to number crunching. However, due to my scrutiny of the Kelly criterion (Kelly Criterion for Multivariate...

Once it was the case (as the Soviet economy was disrupted), current economic situation in Russia/Ukraine/Belarus is far from being flourishing, so why shouldn't the recent history and a near future rhyme? Not at all. It was an exhaustive attempt to make some money with this book. Exhaustive...

It depends. In Russia in the beginning of 2000s one could hire a top(!) programmer for $500/mo. In India they currently report an oversupply of software developers. In Ukraine and Belarus it will likely also be the case soon. Promote - yes, but selling (in the sense of Vertrieb) - no. It will...

>I have tried interval transfers and nothing has worked Yes, it is not easy because a company wants to engage you where you suits (from their point of view), not where you want to be engaged. My situation is similar to yours (with a difference that I am quite happy with my current job but I...

3) I had a look at curricula, it is rather practically-oriented. "derivatives/calculus" is an undegraduate topic, knowledge of which is implied :) What you meant is likely risk-neutral world / pricing of derivatives. Yes, you can learn it by yourself (e.g. using Shreve's books). But it this is...

Most likely nobody will even read them. It is track record, what counts. Start building it now. I, myself, do: Somewhat better than DUCKS (in German, sorry, but one can still see the return, max.drawdown and other metrics). Even a track record does not help you to move to Trading/PM, it will...

I do it iteratively (like Kissinger did his shuttle diplomacy). So far I have a couple of private investors, each would invest €200 - €500 per month in a promising start-up. This suffices to pay two or three developers in India, probably in Ukraine (in Russia not, so far). As soon as I find...

Hello together, I have (from my point of view) a promising start up idea: ultimately I would create a "financial supermarket", so that a user can manage all his financial issues (from controlling his household expenses to advanced mortgage and investment decisions) on a single webportal. Of...

Hi guys, after a year on wikifolio I have yielded about 30%, have a look: Somewhat better than DUCKS I call my strategy semipassive (or semiactive, it depends on what one wants to hear :)). On the one hand I try to stay invested in DAX (thus passiv), on the other hand I use (irregular) market...

Surely it fits. One can (and should) read about algorithms/data structures but real learning comes by doing. QuantLib provides an excellent opportunity to play with the implementation by profis. The only problem: entry barrier is prohibitively high, even the library compilation is a non-trivial...

So guys, since firstly there was not too much [ready-to-pay] interest in the book and secondly I have little time to write it. So I decided to put the notes on my webpage (http://www.yetanotherquant.com) Source code is available too, except the debugger-friendly version of QuantLib:Date. Those...

>use a web publishing tool like wordpress... you will get higher views. Sorry, no time to setup it. >ur webpage gave my eyes cancer You need two screens to read it. Click on a thumbnail image, a full image will be opened in a separate browser tab. Move it to the second screen so that it will...

http://www.yetanotherquant.com/hadoop/ (and if you wanna buy this cluster, http://www.ebay.de/itm/121677764001 shipping only within Germany, sorry :) )

Hi Hob, the QuantLib Project Suite contains a sample project Swap. At best you debug it step by step :) However, QuantLib is not easy. If you are seriously going to learn it, have a look at this thread.

For very seniors it is not necessary. They have juniors to do the calculations (And I am saying this 50% kidding, 50% seriously). Yes. For example those, who study balance sheets. The main skill here is to read between lines.

Hi Alexandre, I do use neural network in practice (for gas consumption prediction), however, these are "shallow" networks with only one hidden layer. They work sufficiently well but they are nothing special: sometimes better than ARIMAX, sometimes worse. But my question is explicitly about...

Introduction to Mathematical Finance: Discrete Time Models by Stanley R. Pliska (I learnt my Financial Math I with it). As to Baxter & Rennie, IMO too superficial.

Hello together, I wonder, whether anyone has experience with deep learning in application to time series? Not necessarily financial time series, I, for one, have an interest in (short-term) prediction of gas and energy consumption. There are some papers on subject, for example this one...

Congrats! In Summary: First of all do your job as well as you did it during internship. If you don't understand something, first try to figure out it yourself but if you do not progress in an hour/day/week (reasonable time span depends on what you problem is), don't hesitate to ask your boss...

>Let's call it a draw. ok! :)

>Can you please give any _real_ applications of measure theory? Of course. In LIBOR model you need to find (and compute!) this f*ucking change to T-Forward measure in order to use this model.

>RIP Soviet Science? Not RIP but rip-off >Lebesgue measure >This is a piece of almost useless maths Well, we have polar opinions on this. And how about the book "Computational Complexity: A Quantitative Perspective" (yes, finally I found it :)): www.amazon.com/dp/B00O4WDQWO/ It uses measure...

Would agree for Italy (Brigo, Mercurio, Ballabio). But France (which totally infected with Bourbaki) and financial math (which is about modeling a real and quickly-changing world) - its an oxymoron! Yes, Russian level has degraded but Chinese has grown (American University is a place where...

>What's new? >The economy drives everything ... >All technology moves in cycles; But it does not just oscillate, it also has a trend component :) And the globalization is its name! It is hard to compete (both in term of costs and math knowledge) with brilliant guys from China, India or Russia...

One of the most famous paper, in which a (really simple) pattern recognition algorithm is applied, is this one: http://www.cis.upenn.edu/~mkearns/teaching/cis700/lo.pdf (cited in more than 800 papers) Can you do better?

Well, I know a guy, who successfully changed: http://www.hedgework.de/schon-wenige-tage-extremer-verluste-können-ganze-portfolios-an-den-rand-des-ruins-führen.html Yes, that's true. The times, as everyone with (some) math knowledge was welcome in quantitative finance are längst vorbei (far away...

Well, brute force will also cope with 3 parameters, esp. if they are integers (like number of days in SMA). If you know CUDA/GPU you can accelerate your code upto 1000 times, have a look at my paper(links to code is available in footnotes on page 9)...

>booming data analytics It would be very interesting to get more specific info on what is booming. Since credit risk becomes more and more significant I can suppose that there are a lot of analytics in scoring. Another area is StatArb... Finally, there is a BigHype about BigData but I doubt that...

>There are strategy backtesting for example sma(6) crossover sma (100) If it is a real-life example, just try a brute force: a short SMA usually varies from 3 to 21 days (common value is 14) and the long SMA from 50 to 200 days (the latter is most common). Totally you have about 3000...

I don't remember whether Taleb himself express the idea that sometimes no tools are better than wrong tool but Pablo Triana, a big fan of Taleb and the author of a (controversal and repetitive but still interesting) book "Lecturing birds on flying" says approximately the following: "give a pilot...

"Optimal Portfolio Optimization" sounds tautological but indeed it is a very good question: which optimization criteria is "more optimal" than (all) others. In a sense it is the Kelly criterion, which beats all other approaches in the long run (But beware, in the long run we are all dead - J.M...

More than 4000 download and soon it gets into 1000 most popular papers!!! I have submitted it to a prestigious journal. If accepted, I will have to remove it from SSRN. So guys, hurry up to download! :)

Risk is paid somewhat worse but it is also less stressful and the job is safer. If I were you I would decide for the desk quant intership. With a desk quant experience it will not be a problem to apply for positions in risk after you graduate. But it is very hard to get a position in front...

Non-constructive? Yes, that's how it is taught, not how it actually is. An axiomatic approach (one begins with Kolmogorov's triple ($\Omega, \mathcal{F}, \mathbb{P}$)) is succinct. But succinct != clear. Some lectures start with Caratheodory construction (NB! construction!), which is still not...

Short answer, no. A longer answer - in Germany it is (was) not possible to make Diplom/Master in pure math, you also needed Nebenfach (minor). In this sense, I learnt not less (and actually more) than a typical German math graduate. I do not do it anymore but I dwelt pretty deeply in measure...

Number Theory. Well, if one can create a better pseudo-RNG then it will be useful, and not only in computational finance (please do not interpret this statement as recommendation to try :)) Algebra. Little can I say. Pure algebra likely no, algebraic methods in functional analysis may be yes...

And which features by your favorite screener are missing or might be improved from your point of view?

Though I cannot give you a concrete advice, this book might be a starting point for you. However, I find your idea generally suboptimal, since (almost) noone wants (over)complicated models in practice. BTW, I like mathematics, in particular I have written this tutorial on measure theory.

You are welcome! A general remark: there are a lot of papers on quantitative finance, that are written just to be written. Academic guys (who never traded an option) need publications to make career. They develop rigorous mathematical models (that still often contain errors since almost no peer...

Forget this paper (unless you really have to study it). It is written in 2000 - a pretty outdated stuff. And believe me, this Markov chain approach is not what every quant must know. Well, I am not a guru of numerical finance but I am in business for 8 years and I have never seen that suchlike...

IMO you are trying to get an answer to a wrong question. Markov processes (roughly said, these are the Markov chains in continuous time) are very comfortable to work with (for option pricing as well). But there is no fundamental relation between them and option prices (there is such between the...

Have a look at OpenGamma. Not only will you see how a financial software is written in Java, they also provide an excellent documentation from financial mathematics and practical finance point of view.

Welcome in club! :) (I mean, I managed to migrate to Germany via Ulm-University MFE Program). In this context I definitely recommend you to gather some working experience and then (re)-apply for MFE. I believe, I (by that time a foreigner with limited German) have found a job after graduation...

I would even say, after a year of work experience you may even not want to apply anymore. Finally, we normally make an MFE to get a job, so if you already have (a good) one... If you want to learn the stochastic calculus (at MFE level), just read Shreve (may be difficult if you have to work 10h+...

https://www.quantnet.com/threads/poll-for-how-much-would-you-buy-a-book-on-getting-started-with-quantlib.18766/page-2#post-145559

Well, there are plenty of books. But I would not mix up Stochastic Processes and Time Series. The former is used to be pretty formal and often measure-theoretic (and it is good so). My first book on continuous stochastic process was Shreve, vol II. At undergraduate level you may start with very...

http://www.markjoshi.com/downloads/advice.pdf

Next teasers: 1) Calibration of the HullWhite and LIBOR models (alpha version, also have a look at http://letianwang.net/Codes/HW_Calibration.htm) 2) An overview of IR Models in QL1.4.1 (quiz: what T stands for? ;))

Yes, exactly! It maximizes the expected growth rate, the median of the terminal wealth and has some other nice properties. But be careful with volatility ;) The larger it is the smaller growth rate you can achieve in the long run. Have a look at http://www.yetanotherquant.com/teaser.pdf (pp. 25...

Good. Actually, I also mostly studied by myself. But then you do not necessarily need to be enrolled at the university :) "to excel" is probably a little bit too ambitious. The learning is long and the competition is high. On the other hand you have experience in financial branch, which is a...

Labdien, Dmitrijs Fernuni-Hagen has an extra-mural bachelor program in math. http://www.fernuni-hagen.de/mathinf/studium/studiengaenge/bachelor/mathematik/welcome.shtml It is in German but you need not to be fluent in German in order to cope with it. It is not what you exactly want but believe...

Unfortunately this is true. @horseshoe But if you are invited to the 2nd round (and meet this interviewer again) you may tell him that his answer was incorrect, but tell it him as politically correct as possible :) I once had a similar situation: I was offered an algorithmic brainteaser, the...

Nothing directly. But indirectly I would expect that those who have completed the course would be eager to get the first hands-on experience with real-life problems and real-life library. P.S. Wondering whether 15 CPE credit hours by GARP is crucial I in no way doubted the quality of the...

>Time is scarce... Yes, it is. As I was a student, I also sometimes needed to learn what brings Credit Points. I wonder how many would do C++ Programing for Financial Engineering Online Certificate if it were not Approved for 15 CPE credit hours by GARP :) >Do you already know the TOC of your...

As promised, a solution for the 2nd exercise (with some hints from Doxygen). ...And guys, to be true I do not understand the lack of your interest to my code snippets (just a few downloads). And this in spite of the fact that many of you complete The "C++ Programming for Financial Engineering"...

@All over and over again I see such questions. There is only one more or less universal answer: it very depends on lecturer. Do not take any course if a lecturer is bad (s/he may be a great scientist but still a bad lecturer). @tuanvo I would take (in order of preference) Machine Learning and...

In attachment there is a solution to the 1st exercise in Post #16 (for which we actually even do not need QuantLib). Simple?! I will soon publish the solution to the 2nd exercise ;)

Next teaser: generating schedules and coupon bonds

Thanks! Here is the second part of the code: a "manual" verification of the results //and check the results manually double yearFraction2014 = (Date(31, December, 2014) - Date(7, October, 2014) + 1); yearFraction2014 /= 365; double yearFraction2016 = (Date(4, October, 2016) - Date(1...

One more teaser: QuantLib :: Date represented in VS-Debugger in a readable way :)

Hi there again, I use my Christmas - NY vacation to write the book, so far I have 20 pages (well, there are a lot of screenshots). Here is a good teaser (esp. for recent graduates that are looking for quant-developer jobs). Find the yield of a German zerobond issued on October, 2 2014 and...

PhD is not required but it may be helpful to apply for scholarship and make it in a country, in which there are quant jobs: US, UK, to less extent Germany. I do not know whether there are many quant jobs in India but in Russia there are (were) very few, so I made MFE in Germany and stayed there.

Soon - unlikely. But I think the topicstarter wanted to discuss it in mid/long-term

And yet another risk (in context of this thread) that HFT will eventually be banned ;)

Thanks for factual input and encouraging comment. As to HFT algos, unfortunately I never did it, so I would rather avoid a danger of being Irene Albridge II:LOL: And as far as I know from papers and from the guys who did, CUDA/GPU find limited application to HFT. FPGA are much more common but I...

Very likely since this bank indeed went bankrupt a couple of years ago :LOL: Ok, seriously, in theory it is relatively easy to construct arbirtrage from a (mis)interpolated yield curve but in practice (bid-ask spreads, limited ability of bonds) it is much harder ... On the other hand I witnessed...

By the way, as I was a recent graduate and looked for job, I got a homework after a phone interview (s. attachment). The 1st exercise was a piece of cake for me (due to "round" maturities). But the second one was the barrier I did not pass ... I do not mean that I failed to solve it. I offered...

Following a hint on Wilmott here is a very approximate book plan: 0) How to build Boost + QuantLib 1) (optional) brief review of OOP fundamentals 2) Boost-based components of QuantLib, in particular smart pointers. How to visualize them in VS-debugger.Design patterns (Dimitri Reiswich has...

Most likely, yes

>for whom? First of all, for MFE graduates and advanced undergraduates. They are most numerous and some of them are (still) curious for knowledge. >cookbook? Yes, mostly (what else can one write for graduates?!) However, I will also try to show the way for a cook, who wants to become a...

Unfortunately, my experience speaks against it. I wrote some good stuff, in particular the LIBOR Market Model Tutorial (s. attachment). I didn't even ask for donation but I expected people will at least say "thank you". Very few did, though I get several downloads every day. BTW, Luigi himself...

>Developer role with Java experience and no MFE possible? Yes, but do not expect a big surplus to your salary without knowledge of Fachgebiet

Let us count a little bit :) An hour of a professional like me costs at least $100. Since writing/teaching is my hobby, let's set it to $50. Experience shows, I need ca 1 hour per page. Ok, the book in question will likely contain a lot of screenshots, so let's say 2 pages per hour. The book...

Unfortunately no :( I would really like but our teamleader is on vacation and I have to deputize for him. Achtung! This is very interesting question. Short answer in context of this poll: good enough to solve my tasks by means of QuantLib as well to extend it in such a way that it works for me...

Hello together, I am thinking about writing an introductory book on QuantLib. I am going to assume only the basic knowledge of financial math and C++ (or even C, without OOP). I am not a core developer of QuantLib but I have a long experience with it. In particular, in this thread I am the...

Let us put it so: if you are able to do MFE (i.e. you have no fear of math), do it. After the graduation it is much easier to learn the non-math stuff (accounting, regulatory requirements) with finmath background than to learn the basics of stochastic finance with non-math finance background...

The only problem (however, it is a big problem) with grades is to pass thru the first filter: a trainee HR, who has a directive to throw away the candidates with an average grade less than x. But not every company engages such filter. So if it is there, your explanation will not really help. And...

Yes, a straightforward Monte-Carlo is in either case suboptimal for barrier options. And I used exactly this case to demonstrate Monte-Carlo pitfalls (unfortunately the paper is in German). What I meant is that one often sets the starting value of random number generator (i.e. the seed) and...

By very large number of simulations paths it should do :) If Nsteps = 1 year = 242 trading days, set Nmc=1e9 It should be enough for cent-precise price (for practical financial calculation such precision is insufficient, in Germany it is required by the law to calculate with 5 decimal place...

Hi Ian, many thanks, looking forward to your feedback (and feel free to ask me if you have questions) Sorry, I cannot. As you can see, I always try to provide factual answers, not just refer to my book. But since it contains a lot of relevant(!) info, there is nothing bad if I recommend it...

From trading, yes. As to DAY trading, I know some people who say they do but I doubt they tell me the truth, since day trading actually means trading noise. If you are going to try I highly recommend you to have a look at my book: http://www.yetanotherquant.com Some chapters may be downloaded...

Hi Dtm, Billingsley is though a good book but IMO it is not for the [first attempt of] self-study. I highly recommend you to have a look at my notes at first - and then get back to Billingsley is my notes are not sufficient http://www.yetanotherquant.de/#MeasureTheoryBook

It really depends what are you going to do. For a real time calculation it should be C++ For prototyping Python is fine (I would also have a look at R). Java is very popular for frontends, webservices, etc. Still not very common as a language for computationally intensive tasks but on the other...

or probably the real Kelly criterion (well, from now on - Christina Kelly criterion :LOL:)

Hi, I had a look at their curriculum / core courses, I think you a mature for them. It is funny that they offer the [first course] on probability (STAT W4105) at graduate(!) level. Both in Russia and Germany (where I, myself, studied) it is definitely undergraduate domain. But it either case it...

Job stability, better work-life balance, being on good side (not evil speculator but a guy who makes his small contribution to prevent crisis). BTW, read this http://dealbook.nytimes.com/2013/04/03/uncovering-the-human-factor-in-risk-management-models/?_php=true&_type=blogs&_r=0

Asking may mean one minute embarrassment. Not knowing is a lifetime shame :) (Chinese proverb) There are also enough textbooks in which the non-normality of stock returns is exhaustively discussed. The normality assumption is mostly to find not in [modern] books on empirical finance but rather...

Minumum two years but it depends (first of all on your mentor/supervisor/coach). A friend of mine had a nice senior collegue, who sketched on the napkin in cafe, how one can make money with gamma. I was less lucky, as I started I probably already knew more than my direct supervisor. Our head of...

Have also a look at R docu: https://stat.ethz.ch/R-manual/R-devel/library/stats/html/Chisquare.html BTW, there is a short but very clear section on Chi^2 in "An Introduction to Generalized Linear Models, Second Edition" by Annette J. Dobson

>like you I want to strengthen what I lack in Just to make it clear, I did not mean that I lack in regulatory requirements :) I meant rather that I always try to stay upto-date, because it is rewarded by the market. >I have that desire to be involved in the nitty gritty details Do not expect to...

Hi Stan, a very important question (which you should answer for yourself) is why and for what you pursuit a quant role. You have already a not bad job ("in Regulatory analysis"). Yes, from the monetary point of view it is not the best role but it is likely good from work/life balance point of...

Well, if you really wan't to understand what the risk-neutral pricing is (and not just to learn it in a dogmatic way), you need to understand measure theory and in particular the change of measure. Ok, Black-Scholes can be done without measure ... but Black-76 cannot (at least in a consistent...

Hi Menime, All you need is a proper introduction to the measure theory. Have a look at mine: http://www.yetanotherquant.de/#MeasureTheoryBook

Hi Jamal, though I generally also preach for Monte Carlo, I always encourage my "congregation" to learn math, if possible. And I always warn about pitfalls of the Monte Carlo (just try to calculate the price of an European knock-out; let alone the options with early exercise). The problem...

Read this http://dealbook.nytimes.com/2013/04/03/uncovering-the-human-factor-in-risk-management-models/?_php=true&_type=blogs&_r=0

Highly unrealistic. In Germany you shoud be happy to start with €50K. If you are lucky you can grow to €100K in some years + comparable bonus (if you are in front-office).

Like every author, I would recommend my own book "Knowledge rather than Hope" (R Scripts can be downloaded for free from http://www.yetanotherquant.com)

Wow, 3000 downloads on SSRN!

Just curious: what were these X, Y and Z?

Have a look at this paper, probably it is what you are looking for http://developers.opengamma.com/quantitative-research/Bond-Pricing-OpenGamma.pdf

IMO it should be enough for an entry level. But it really depends. In either case do not expect to cope with these tasks after reading only Baxter&Rennie. Shreve (if you read it with pencil in hand) should do. And they also like testing, so to say, your Passion for the markets. A not uncommon...

It depends. I, for one, was once extensively asked technical questions (and got an impression that I do not answer interview questions but rather solve their real problems for free). Then there was an HR-Girl with usual stuff and finally (after 3 hours) an arrogant quant via Video-Conference...

Likely they really are. But the LIBOR model is also often used in practice. (At least I did use it :))

Hi, my book can be a good start for you. You will not find any advanced models there but you will get the first hands-on expirience with real market data. At http://www.yetanotherquant.com you find first two chapters and all R-scripts.

Hi, The knowlege of Accounting is very helpful. Do you know IFRS? Not every company needs advanced models for derivative pricing but every company needs accounting :) If you understand both, you are very valuable specialist.

And they use it for the interest rate modeling :) http://www.amazon.com/Interest-Rate-Models-Dimensional-Perspective/dp/3540270655/ I saw a book on computability / theoretical informatics, which was heavily measure-theoretic and topological. What I would like to say is that in practice a...

I would not be so pessimistic about measure theory. :) The problem with it is that there are very few lecturers that can teach it properly with financial math in mind. If you are taught by an analysis Prof, he will probably tell you the Lebesque story with a semiring on \mathbb{R}, which is very...

It solely depends on your risk aversion :) After a graduation I have accepted the first job offer because I had only one year to find a job (otherwise my visa would expire). A good friend of mine made an internship in a big bank, rejected an offer in Basel / Reporting dept and became a...

These are rather theoretical (though in no way "ivory tower") books. But you have asked to recommend you a book for a Stochastic Calculus Interview, not for practical application, haven't you? And these are the books that I, myself, used for self-study while doing my Master. I also read Baxter...

Just put an updated version on SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133 Have a look!

Of course these abilities may have positive effect but do not expect they necessarily will. At least in Germany what you first of all need is good grades. And there is a dilemma: either you research and try to understand deeply, or you cram the sample solutions (because most of tests are not a...

It is not [only] anecdotal evidence, this is MY personal evidence. But guys, let us be not too sarcastic to Stefan. Finally, many passionate students go through this stage :) Here is my story in short: I have started doing more or less serious research as I wrote my Master Thesis in...

BTW, the G2 model is also implemented in QuantLib. The implementation seems to be a little bit buggy (at least it crashed sometimes as I did a model risk test and priced one special derivative with many models). But you may probably use it as a benchmark/test for your implementation in Matlab...

The topics you have mentioned imply that you [should] have high-quality intraday data. They are, however, expensive and are not generally available. Do not expect that you can easily get them for free as a student (at least I was not able to get them as I for my Ph.D. thesis). On the other...

Programming is essential. Econometrics/Statistics is very useful, however, make sure that the course is practical. And learn R! (you can learn very advanced models but you will not become a statistician unless you do statistical analysis in practice). If you want deeply understand derivative...

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

Hello together, Based on my Ph.D. research I have written a book for retail investors that want to engage quantitative portfolio management. It is also intended for students as a familiarization with real market [data]. The book contains my original results (first of all on multivariate Kelly...

Hi guys! Have a look at my tutorial: http://www.yetanotherquant.de/libor/tutorial.pdf It covers Black-76 and Vasicek models (both closely following original papers but with "modern style" explanations), change of numeraire with edifying examples and a readable(!) introduction to the...

Hi guys! I would like to introduce my notes on measure theory and its interplay with stochastic processes: Yet another, yet very reader-friendly, introduction to the measure theory I try to make subject as clear as possible, first I consider the simplest case: measure on (0,1) – as...