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From Shanghai, from Hong Kong :) I hope that these gentlemen are wrong :)

Well, maybe in the 22nd century :) Maybe at that time people will be able to predict at least 90% of financial events :) I agree that imagination must be very strong :)

Statistics lies in between :) no matter what you do, you can't go above 95% :) Interesting article :) it is always interesting to read what prof. Derman has to say.

It depends on who you talk to :) If people who visit Wilmott.com are mostly PhDs, they'll tell you that PhD is a must :) Maybe it was the case few years ago, but not anymore. There as many Fin Math programs in the US, and many graduates, and most of them find "quant" jobs after graduation.

In my case, languages, history, literature can only a hobby. I don't picture myself dealing with anything else but numbers :)

But you can write essays and resume at the same time as you study :) you still have time :) but keep an eye on deadlines.

This is a difficult question to answer. Since we are not in admissions :) we can only suggest. 90th percentile in Math is very strong. However, it might be strong enough for one school and not strong enough for another. What if everybody else gets into 90th percentile? I'm sure schools like...

Yes, thats what I'm talking about :) He is very famous in the area of Mathematical Finance. However, Dr. Shreve was a German major as an undergrad. And then he did MS in Electrical Engineering and worked in the area of Stochastic Control (wrote a book on that as well). It was only after few...

Andy, that was a very good resolution :)

Russian Stocks Rally for Second Day, Paced by Norilsk, Lukoil By Mark Sweetman and Patrick Henry Sept. 19 (Bloomberg) -- Russian stocks climbed for a second day after interest-rate cuts in the U.S. boosted investor appetite for assets in emerging markets. OAO GMK Norilsk Nickel and OAO...

U.S. Stocks Extend Biggest Rally in Four Years; AT&T Gains By Lynn Thomasson Sept. 19 (Bloomberg) -- U.S. stocks extended their biggest rally in four years, buoyed by speculation Federal Reserve interest-rate cuts will help contain the housing slump and spur profit growth. AT&T Inc...

But I clearly know that I'm a class of 2007 graduate :)

See, thats a problem for me :) I don't know which one I belong to :) I've been around since 2002, but was taking AMF classes as a QMM student. My transcript says I started in Spring 2004, and I was away for year and a half :)

It is interesting to note that not everybody likes copulas :) If I'm not mistaken it was Schonbucher who avoided them in his book. That was pointed out by a professor at CMU who I took credit derivatives with.

Andy, by the way, when you (and everybody else) say "2006 cohort" do you refer to students who started the program in 2006?

Welcome to Quantnet :) and Hi to you too :)

Andy, I think they were talking about The Financial Engineering Reception for new students and the awarding of the Ercolano Prize for the best student of the 2006 cohort which according to Professor Stefanica's e-mail took place on Wednesday, September 19, 2007, at 5 PM in Room 8-210. Too bad...

Ramnik, welcome to Quantnet! It is not a problem that you don't know much about finance now :) when I was in my 3rd year, I was not aware of Financial Engineering at all. So hopefully by the time you graduate, you will be an expert. And maybe we'll help you a bit here in the forum...

I'll try to come next time :) depending on the day of the week.

Happy Happy Birthday !!! :)

Central Banks Lack Tools to Fix `Panic of '07,' Moody's Says Central Banks Lack Tools to Fix `Panic of '07,' Moody's Says By Mark Pittman and Kabir Chibber Sept. 19 (Bloomberg) -- Central banks may not have the tools to restore stability to credit markets amid the ``Panic of '07,'' and...

Major indices went up because of the news. What do you think would have happened if the rate was cut down by 0.25%?

You never know. Each program has its own requirements. Your application is considered as a whole. I can only express my student opinion, if you have time and money, take it again. Keep in mind that some schools require GRE and not GMAT.

There are couple of problems that I have with accounting :) First, the math is very simple and not interesting. Second, there are so many rules and regulations to follow. Third, it is very tedious. Fourth, the phrase "calculate depreciation costs" puts me to sleep :) Accounting (just one week)...

It might be interesting to have a poll with question "what is your position towards accounting, like it or not" :)

Gaurav welcom to Quantnet :) If you have any questions, just ask :) Meanwhile, look around, we have a lot of interesting info posted on the website.

Dollar Drops to Record Low Versus Euro as Fed Cuts Half Point Dollar Drops to Record Low Versus Euro as Fed Cuts Half Point By Min Zeng Sept. 18 (Bloomberg) -- The dollar fell to a record low against the euro after the Federal Reserve cut its benchmark interest rate by a half-percentage...

I wanted it to go 0.5% but was very unsure of that :) More employment would be very good as I will be looking for a full-time job in the near future :)

U.S. Stocks Gain After Fed Cuts Benchmark Rate by Half Point U.S. Stocks Gain After Fed Cuts Benchmark Rate by Half Point By Lynn Thomasson Sept. 18 (Bloomberg) -- U.S. stocks rallied after the Federal Reserve cut its benchmark lending rate by 0.5 percentage point and said credit-market...

Fed Lowers Benchmark Rate to 4.75 Percent, First Cut Since 2003 By Scott Lanman and Craig Torres Sept. 18 (Bloomberg) -- The Federal Reserve lowered its benchmark interest rate by a half point to 4.75 percent, the first cut in four years, hoping to keep the U.S. from sinking into a...

Dollar Trades Near Record Low Versus Euro Before Fed Decision By Min Zeng Sept. 18 (Bloomberg) -- The dollar was little changed, trading within a half-cent of a record low against the euro, as investors expect the Federal Reserve to cut interest rates today for the first time in four years...

U.S. Stocks Advance on Lehman Profit, Interest Rate Speculation By Lynn Thomasson Sept. 18 (Bloomberg) -- U.S. stocks advanced after profit at Lehman Brothers Holdings Inc. exceeded analysts' estimates and investors speculated the Federal Reserve will cut interest rates when it meets...

Hi to you too :) and welcome! Not many people get interested in Finance from High School :) some get their degrees in other disciplines first. By the way, who can tell me what was Dr. Shreve's major when he was an undergrad? :) Those who don't know will never guess.

Prior to MFE, I took two semesters of C++ as an undergrad, plus worked as a Research Assistant for one of my professors doing C++ coding. I'm not sure if it is possible to learn C++ on your own, you need at least one semester of intro C++. However, my other friend, who works as a Java...

Seems to be an interesting book to read along with a few others that he wrote.

We will see :)

Bernanke Weighs Recession Risk Against Investor Cave-In Charge By Steve Matthews Sept. 18 (Bloomberg) -- The Federal Reserve will probably cut its benchmark interest rate today for the first time in four years, seeking insurance against a recession. The main question is how big a policy...

Asian Stocks Fall on Credit Crisis Woes; Mitsubishi UFJ Drops By Chen Shiyin and Emma O'Brien Sept. 18 (Bloomberg) -- Asian stocks dropped the most in a week, led by Mitsubishi UFJ Financial Group Inc., after Bank of America Corp. said fallout from U.S. subprime-mortgage losses will hurt...

Aeroports de Paris, Danisco, Unilabs: European Equity Preview By Nadja Brandt Sept. 18 (Bloomberg) -- The following stocks may rise or fall in European markets. Prices are from the last close. The Dow Jones Stoxx 600 fell 1.5 percent to 362.18. The Dow Jones Stoxx 50 Index dropped 1.3...

Alcatel, Conn's, Enterra, Quest, USEC: U.S. Equity Movers Final By Eric Martin Sept. 17 (Bloomberg) -- The following is a list of companies whose shares had unusual price changes in U.S. exchanges today. Stock symbols are in parentheses after company names. Share prices are as of 4 p.m...

Who is Jim Cramer? :)

Grant Prideco, Northgate, RRSat Global: U.S. Equity Preview By Adam Satariano Sept. 18 (Bloomberg) -- The following is a list of companies whose shares may have unusual price changes in U.S. exchanges today. This preview includes news that broke after exchanges closed yesterday. Stock...

There might be various reasons for your dissatisfaction. It all depends on your expectation and your area of interest, and also on who is teaching the class. I personally liked classes taught by Professors Gottlieb, Tatum, Matthew Johnson. They taught classes that were in their area of expertise.

Which course are you talking about? QMM is a degree made up of several courses. If you are looking for courses that will help you succeed in MFE, try Object Oriented Programming I and II, Intro to Probability, Intro to Stochastic Processes, Intro to Math Stats, Risk Theory, Intro to Math Finance...

Worst Wall Street Quarter Since 2001 Tempered by Goldman's Gain (continued) Marking to Market Two hedge funds run by Bear Stearns collapsed in June partly because the firm couldn't find buyers for CDOs. Others including Wharton Asset Management's Y2K Finance have suspended withdrawals until...

Worst Wall Street Quarter Since 2001 Tempered by Goldman's Gain (continued) Profit Headwind Lehman has fallen 24 percent, which would be the firm's steepest drop since its initial public offering in 1994. Goldman has fallen 4.4 percent, the biggest decline since 2002, and New York-based...

Worst Wall Street Quarter Since 2001 Tempered by Goldman's Gain By Christine Harper Sept. 17 (Bloomberg) -- Wall Street's third quarter would be the worst since 2001 if it weren't for the timely sale of a power company by Goldman Sachs Group Inc. Bear Stearns Cos. probably will report a...

No problem :) in rare cases my name is spelled with no "y" at the end or with "j" (very rare) :)

If I have my own hedge fund one day, I'll just hire people who know accounting :) maybe even from Baruch. By the way, from what I understand, Accounting majors at Baruch are very successful in finding jobs :) there must be demand for accountants and auditors.

That is probably what my friend is doing. When I asked him if he wants do get a degree in MFE, he said "no", being comfortable with what he is doing.

One of my friends is a GUI programmer at JPMorgan, but he has no clue about C++, but knows Java. I wonder what is he doing with Java :) will probably ask him next time.

I will never do accounting :) just not my area, no matter how much they will pay.

I also have a feeling that the dollar is going to gain some strenth vs. the euro. It has to go up even if it is bound to reach $1.40 per euro one day.

Well, Andy, it might seem strange, but in reality it is not so strange. There are many people in Russia -- the country where soccer is #1 -- who have no clue about soccer, its rules, and things that revolve around soccer. They simply have different interests, like Formula 1 or Boxing. I guess...

Bonds's 756th Homer Ball Sold for $752,467 in Internet Auction By Dan Bollerman Sept. 15 (Bloomberg) -- The baseball Barry Bonds hit for his record-breaking 756th home run last month was sold for $752,467.20 in an Internet auction. Sotheby's and SCP Auctions, which ran the sale, said in...

Andy, I don't know about $5.50 for a coke, but I can confirm that in some countries things are just much more expensive :) For example, in Denmark, 1 Denmark Kroner is worth $5.36... but when you go to McDonalds and buy a BigMac that costs $5 here, you pay 50 Kroners. So basically, lots of...

This is a very nice toy as far as I can tell :) Maybe one day I'll have one of those.

Make sure you check websites of all programs you are interested in, pay attention to course selection. There are many programs that you might want to apply to, but they are not all the same.

Do you think it is good if the dollar is losing value (for you personally and for US economy in general)? I personally like to see the strong dollar like 1:1 against the euro, that way I can travel to Europe. But if the dollar is weak, then European tourists come to US, which is good for US...

2.5 years ago euro was worth $1.36, year later it went down to $1.20, and now its back up to $1.37.

I remember there were times when I could buy 100 euros with just 85 or so dollars.

Dollar Declines to Record Low Versus Euro Before Fed Meeting By Bo Nielsen Sept. 15 (Bloomberg) -- The dollar fell to an all-time low versus the euro as traders bet the Federal Reserve will cut borrowing costs at least a quarter-percentage point next week. The U.S. currency declined for...

Well :) The reason I posted the link is not to show CMU profile but to answer your question ">> Can you show your data to support your claim? " I thought about where do I get data on people heading various departments and their background. One place to find such data is a page listing people...

One other way is to go to a Law school :) and be a Political Science major as an undergrad :)

Yes, I am talking only about Finance industry. Financial engineers can pick up management skills on the job. Plus, the question was "can they?" the answer is "yes, they can, there exist a population of PhDs that can be directors in the financial industry" :) As far as data go. I don't know my...

And I would rather prefer US system than Russian.

At least, there is a possibility of suing :) In some countries, like former USSR you could not sue anybody unless you know some people who know some people. For example, teachers could yell at students or even use physical force at schools, and noone could protest :)

Financial engineers who know risk management in mathematical terms with a number of years of experience at a certain company (or industry) can drive a company better than MBA. There are so many directors/managing directors/department heads with PhDs.

Now I see why major banks like GS want to hire more people in operations department - to key in the data... Operations

Alain, Happy Happy Birthday! :)

I was at work in Brooklyn, having just returned from Moscow on 9/9. My coworker was on the phone with her friend who saw what happened from the window at work.

There aren't many FE PhD programs because PhD is thesis oriented. There aren't many schools that have faculty who can supervise FE dissertations. Plus, the purpose of PhD is to educate future professors so they can advance science and teach students, not get their degrees and go make a lot of...

Andy, you've done a lot of searching :) I've never heard of Claremont University. I have a feeling that it is just a PhD in Finance with some Math flavor :)

Yes, Andy, that one is in Mathematical Finance. The other one that has Financial Engineering component at a PhD level is UF, where I spent year and a half before returning to MFE. PhD program with concentration in Quantitative Finance The program is run by the Department of Industrial...

There as so many "footballs" around the globe. And every country wants their football to be called "football". I heard about Australian football :) I wonder if they call it "football" in Australia and everything else using other names.

There are none. There are programs where you can get PhD in a certain discipline and take FE courses and get a certificate or some other paper stating that you've done some work in FE. One problem with them is that you won't know as much FE as people doing MS in FE because you have to study for...

The only problem with "football" is that there is not much "foot play" going on, and the "ball" is not very spherical :)

Part of luck is "having a certain professor teach a certain course in a certain semester" :)

Very interesting, I wonder who you are talking about :)

Interesting article :) some parts of it are questionable to me. He says "should fall at least two standard deviations above the norm. ...the area to the left of the normal curve at z = 2 is", he means "area to the right of z=2" :) and calculates it correctly. What is more interesting is how he...

But these days, I consider my graduation a miracle :)

Andy, actually I don't know who that person is :) I only remember Phat, Robin, Michael and Carlos from the first year (I was not in the program at that time). I consider myself a Spring 2004 entrant :) I took math and finance at CMU before starting MFE (and was attending both after that). There...

About the history. Russians played a game similar to baseball hundreds of years ago :) Encyclopedia says it was mentioned in ancient Russian writings ;)

I was away for 3 semesters, and before I left I spoke to Cathy and she said as long as I graduate before 2009 I was OK. When I came back, I went to the Registrar and filled out a simple form and paid $10. I don't think taking time off will be a problem, the problem is gettin in.

Interesting article :) but I wouldn't buy iPhone for $400 either :) $250 is the maximum I will pay no matter how cool it is :)

This is probably one of the major differences between baseball and soccer. In baseball, a player demonstrates his skill by hitting the ball a large percentage of times, or hitting it as far as he can. In soccer, it is the individual skill of handling the ball or hitting the target or even...

That is most likely my case :) I don't think I know any of the rules except for my personal observations mentioned above. Maybe one day, just like Andy said, someone will sit next to me and translate the entire game for me :)

Yes, there were students in the past taking full-time load of 4 courses and working full-time, and I know at least one of them. But that was in the past when some of the courses were different. Now it is not recommended to do so, unless your case is special. It is definitely not recommended...

I went to a baseball game once, but never been to a football game :) The problem I have with baseball is that its just too long. One guy throws a ball, and another tries to hit it. If successful, he runs around as much as he can before the ball is brought back. :) This action only lasts 30...

Andy, we have people from all over the world here :) In Russia, Soccer is #1, Hockey #2, Basketball #3 and I like them in that order :)

Red and Blue Barca has to win this year. Like it just because I was in Barcelona once :) Chelsea is showing signs of slowing down, Abramovich might want to shift his preference somewhere else :) I like Chelsea only by exclusion, don't have any strong feelings towards any other club. In Italy...

One day I'll make an effort to go to a Football stadium :) I don't know the rules, however :)

Andy, now that you mentioned it. I think that watching DVDs is probably the only reason I like wide-screen displays. However, 3 of my most favorite UK TV-series are Full-Screen, so I'm stuck with two black vertical lines on my Laptop when watching those :)

Andy, do you follow college football? When I was in Florida, everyone seemed to be so crazy about the UF team. And every time there was a home game, half of the state was attending the game.

Andy, for a second, I thought we are talking soccer :) This coming Saturday we will have Euro 2008 qualifying games and two weeks from today there will be Champions League games. And my team is playing PSV Eindhoven.

Question for all: what do you think about wide-screen displays vs. normal ones? For some reason, I keep buying wide-screen notebooks :)

The reason I bought Dell is their customer support that I had heard many good things about. When my HP Compaq broke down, I took it for repairs to an HP repair-shop but they did not have parts and could not completely figure out what was wrong and advised me to call customer support. After...

By the way, there is a 25% off Labor Day sale on Lenovo website, and it ends today.

Andy, that is the most encouraging :) If my Dell breaks down in the next 24 months, I will get myself a Thinkpad :)

Yes, the two programs at Columbia are Mathematics of Finance and Financial Engineering. I don't think "sending to too many" is a problem. If you can afford paying application fees and writing essays, and your professors can write a number of recommendations :) you might as well apply to 10-15...

A new question: which would last longer? My Dell notebook will celebrate its first anniversary in November (bought it for $900). It was more than twice as cheap as my previous HP Compaq nx7000 which lasted 2 years (cost $2000). If my Dell lives longer than 11 months, it will be better than HP...

What about Columbia? They have 2 programs. As far as chances go. A lot depends on applicants' pool, and, of course, on programs' policies. I think it would be best for you to check individual program's websites for admission statistics. They should list the numbers for their admitted students.

Carnegie Mellon has Ph.D. Degree in Mathematical Finance. It is one of the top schools in the nation and it is the school that introduced Computational Finance as a degree.

The only problem with the deal is that I don't really want any of those DVDs :) Instead, they could, at least, give an option of choosing either movies or games; and I would order all FIFA and NHL games that exist for PS3 :)

Andy, how much do you save?

With one exception :) as it was pointed out elsewhere on the forum, it depends on who is teaching :)

Andy, have you read professor Neftci's other book? I found it very interesting, it is now my LIRR reading :) I haven't read Principles of Fin. Eng. :)

55K with an undergrad degree is not that bad :) If you survived 4 years and did not quit bio-chemical engineering then you might actually like the field. How about staying in the field of bio-chemical engineering for a couple more years, as you get more experience, your feelings towards the...

Keep in mind that the program is getting more and more difficult every semester :) a while ago it was possible to work full-time and study full-time :) but this is not the case these days.

Andy, no it was different :) there was no "legal component" in the course, we were studying various interest rate models. Check the Hull's book (chapters on interest rates), parts of what we did are there. I am almost sure that you will be doing something different and more involving. I...

I think I know one such program (at my undergrad school). They don't teach C++ at all and none of their courses involve C++ :) They will probably introduce C++ in the future.

By the way, the Interest Rates course also has C++ component :) (at least, it had when I took it). We were studying interest rates models and their implementation.

It all depends on a person. One of my friends knows almost nothing about Math, but has been working as a Java programmer for the past N years. Currently he is at JPMorgan and before that he was working for a company dealing with finance as well. And he only has BS in CS :)

Andy, I can't believe you are going to take less than 4 courses :)

I usually start from www.addall.com, and also check sellers from www.abebooks.com and www.amazon.com. However, I've been having problems with some of the sellers from abebooks (abebooks support is very helpful but sellers sometimes ignore you).

Congrats! :) some people almost live here :)

2014 is far away from today :) I'm not even sure if I'm going to Euro 2008 Football :)

Anybody going to the Olympic games? :) Time flies, seems like Greece 2004 was yesterday :)

We cannot predict the random walk. And we cannot predict people's actions. Maybe we should invest more in behavioral finance. But still, we can learn something from statistics :) thats the reason we use correlations and related things. I'm just saying the world is not entirely unpredictable...

I see those new post icons with no problem now. But maybe it was a problem in the past that disappeared on its own :) I did not see posts 10, 11 and 12 as new when they were new, but see posts 13 and after as new.

That is very true. A lot of MBAs are now getting MS degrees in QMM/Stats as well as PhD at Baruch. I have met people doing each of the 3.

Historical data play a big role in forecasting. Thats why we study regression, time series analysis and other subjects. For example, we all can predict that sale of item X will go up before Christmas :) We don't know exactly by how much, but can construct the confidence interval based on the...

Financial Engineering is a relatively new discipline, but trading has been around for years. So traders must come from somewhere, maybe MS Finance, maybe MBA. I suggest checking job search websites for jobs that involve Sales and Trading, they will have requirements for those jobs. Just see...

Might be a good book to read. Here is a question for everybody. What do you think about books written by industry professionals (as opposed to people from academia)?

There are many jobs in quantitative finance. Experience is a big plus. And if you don't get to do core Finance work right away, you can start as a developer and get promoted. All depends on how well you perform.

2 million US dollars is a way too much :) what about baseball bats that hit those balls ;)

Thanks Andy :) I see what its all about. If they prove that he's been using something, they'll probably take the record from him. Until then, he is the record holder. But I'm in no way an expert :)

What about automating Tax preparation? :) Its not FE, but I would like to see it done by a click of a mouse :)

Andy, can you post a link to what you are talking about? :)

The only good thing about Vista is is cool look :) maybe I'll repartition my hard drive and install Vista on a 5GB partition just for its look :)

I can take a wild guess. Programs in pure Finance will disappear, or at least will require heavy use of Math and CS. So Financial Engineering will become something people will hear/use/do on a daily basis, it will become a part of our lives :)

ODE and PDE are types of differential equations. You will benefit from knowing ODE = ordinary differential equations, and if possible take a look at PDE = partial differential equations.

For example, (\int_0^t X(u)dX(u) = {1\over2}X^2(t) - {1\over2}t,) (t \geq 0) You won't be able to figure this one out if you don't know calculus and probability, because this is Stochastic Calculus :)

If you enter a Financial Engineering program or a similar one, you will be required to take classes like Stochastic Calculus. That class alone requires knowledge of integration and differentiation, plus it is based on random variables and random processes. For example, how would you integrate...

Are we talking about this? Lenovo ThinkPad X61 Review They mention that the screen size is 12". Does there exist a 14" version?

I wonder if there is a definite answer to the first question.

This might be the case of lurking variables :) Just like mentioned above, another wariable "socializing" maybe influencing income. I don't think it will matter much if I go to a bar and drink, say, pepsi vs. beer while socializing. Plus, the title "Alcohol use" suggests "the more you drink, the...

The more the better :) I think you need to take at least Calc 1 and 2, but in reality you should take 3 as well and as much math as you can. Probability and Linear Algebra (preferably with numerical applications). Maybe Andy can clarify this one better.

I got Windows Vista for my Laptop Dell (in addition to XP). I removed it right after installation. I was using IE7 and when IE crashed (which never happened in XP), Vista wanted to fix it but never did, and I could not start IE7 until I rebooted my Laptop (the problem kept on coming back). I...

We might as well add Tsay's book. Amazon.com: Analysis of Financial Time Series 2nd edition: Ruey S. Tsay I used this book in Florida for my Time Series project.

Yes, thats them :) they travel around the tri-state area and even upstate (I think). Now that my former school (Polytech) has a Gym, they go there too. So I went there last time to discuss my issue of having old and new hardware and they showed me which motherboard was good. It would simply take...

I usually go to www.pricegrabber.com and they give the best price, including shipping and tax. I actually made my last purchase at a computer fair (www.tri-statefairs.com), which is a fair where many sellers come to sell at discounted prices. I used to buy from them a lot before internet...

Andy, is Newegg better than any other online PC hardware store? They are definitely not the cheapest. I've been buying parts for my PC from different stores, and never from Newegg. Am I missing something?

Andy, remember I have Dell notebook and so far it is doing great :) Other than its weight there is nothing to worry about, but I don't carry it around with me so thats not a problem. But maybe I'll buy Thinkpad after my MFE education pays off :) that will happen after I buy PS or XBOX :)

Statistical tests rely on some distributional assumptions. For example, the above comparison of volatilities was based on the fact that (F = s^{2}_{1}/s^{2}_{2}) follows an F distribution (at least approximately). I'm not sure what distribution the statistic to measure the difference in Sharpe...

Beckham will definitely bring some attention, but I'm not sure if he will be able to show good skills. Anyway, I don't think LA Galaxy signed him up to improve their soccer numbers, like wins and goals, but rather to improve their figures on the balance sheet :) I don't remember the exact CPU...

Andy, well, I wish I could watch some of those English, Italian, Spanish soccer games :) unfortunately they are all hidden in some cable channels that I need to subscribe to or are not even shown in the US. Time is always an issue, I can only watch at most one game per week, so it may not be...

Try using an F-Test with Ho: volatilities are equal and Ha: volatilities are not equal, this would give you a two-tail test The null and alternative are Ho: (\sigma_{1}=\sigma_{2}) and Ha: (\sigma_{1}\neq\sigma_{2}) The test statistic is then (F = s^{2}_{1}/s^{2}_{2}), where (s^{2}_{1})...

Andy, maybe we have one or two hobbies in common :) One of my biggest hobbies is (as Alain pointed out the correct name) football. I haven't played in a while, but like to watch it.

Alain, why do you prefer XBOX? Is it better in any way? They all the same to me :)

I never played FIFA on PS, I guess that should be fun :) I should probably put PS3 on my wishlist :) maybe at the expence of Roteiro soccer ball and maybe something else, it might cost a fortune :)

One interesting thing to note is that I was taking classes with people who graduated in the first class and with those who graduated later and up until 2007 :)

Usually, we hear an expression "Graduating class of 200X" :) and I'm clear that I'm in the class of 2007 :) but as far as "Incoming class of 200X" it is a bit in the dark for me. Well, anyway, we are all one class :)

I think not many world universities that are widely known in their countries are known in the US. We might want to have a section on the world's most famous universities (say 3-5 from each country).

Andy, you might not be the only one :) maybe others are just not willing to reveal their passion for gadgets. I'm actually starting to get an impression that you have found an extra dimension :) or your day is not 24 but at least 30 hours long :) you seem to have time for everything: school...

Andy, what do you mean by "replace me"? :) are you going anywhere? :) I think the biggest challenge is to do something on a regular basis. For example, someone might work on the wiki page or post something in the forum for a week or a month and then get busy at work or school and disappear...

Very useful :) and a new meaning to the word "Ajax" - I know it as a name of a Dutch Football Club :)

What happened with quizzes? I could probably compile a few probability/statistics questions. Like this one: Explain the meaning of \(E[\bar{X}]=\mu\)

Are they the ones to buy Hilton hotels?

Good question about "why recommended". As far as I understand, this is a list of useful books. The two books I suggested above are used in Financial Math courses, thats why I recommended them. I don't know who recommended Structured Finance Modeling with Object-Oriented VBA but maybe they...

I would want to learn French :) but rather for myself and not for exams. In the US, it might be reasonable to learn Spanish or Chinese. I know a lot of Russians in Russian far east speak Chinese and I've heard that Russian used to be the language taught in China. I would definitely choose...

If I could get a PhD in the next few weeks, then I would consider that option ;) But I'm not staying here longer than I planned :)

Happy, Happy Birthday!!!

All of the above :) thats the beauty of quantitative finance. You need to know Calculus, there is a lot of differentiation and integration. You need to know Statistics and Probability, there is a lot of data collection and manipulation and you see randomness everywhere. You need to know...

And personally, I would very much like to have the language requirement :) but it looks like the requirement is being replaced by various other exams in certain schools. I don't know why.

One thing I can say for sure. If some department has money, they would rather give it to those students who are interested in physical sciences rather than finance. The reason being that they want to encourage people to do physical sciences, there is enough encouragement (without money) in...

Well, let me clarify a few things :) When I said 4-5 years, I used the words "most schools", leaving some room for schools with special cases where people do PhD longer than that. When I went to Florida, they told me I would have financial support for 5 years for sure. So, in general, if you...

Author: Attilio Meucci Title: Risk and Asset Allocation This one should go with Portfolio Management. I know a couple of schools use this book.

I'm going to start digging into my pile of books. I have a few at home and also much more in my wishlist on Amazon. Here are a few interesting ones. Author: Bernt Oksendal Title: Stochastic Differential Equations: An Introduction with Applications This one should probably go with Stochastic...

Andy, I wonder what class I'm in :) maybe 2004. Haven't seen many people from 2004 around :)

Depends on where you go. Most schools won't give you money for more than 4-5 years. So if you do it Full-Time being a Teaching or Research Assistant, then 5 is the maximum without Masters degree. But if you have a Masters in a related area, subtract 2 years. Also, as someone told me and I will...

Andy, your question is one of the reasons I started this thread :) First, I want to mention "great career service from PhD programs". There are few problems with this. The area of PhD and its educational nature determine the kind of career service you get. Most of your networking and career...

Happy Birthday! :)

Andy, will you let us know what are the 4 courses? :)

Paul, I see that you are from Atlanta. I looked up a few courses at GSU. They will be offering Math 8620 Numerical Linear Algebra 3.0 in the Fall 2007 (Computational aspects of linear algebra. Matrix factorization, least squares, orthogonal transformations, eigen-values; and methods for sparse...

When you post your reply, there is a button "Go Advanced", from there you can attach pictures or files to your message. Just do a printscreen and attach a JPEG file (for example).

It is hard to say which one is better to take without looking at, at least, the descriptions of the courses. If Linear Algebra and Calculus gives as much Linear Algebra as the regular Linear Algebra, then it might be a good choice. But it might be the case that (while teaching Linear...

Just like I suggested earlier, we might want to have a thread to discuss questions related to MFE and PhD. Getting MFE after PhD, getting PhD after MFE, advantages of having one or the other or both. I will contribute on the subject of PhD after MFE when I get a bit more time. Meanwhile...

Too bad I'm of no help here :) I almost don't watch any TV, only rent DVDs. If I watch TV, it is most likely Russian and soccer-related :)

Andy, by the way thanks for the link :) I did not know there is Loan information in our Wiki :)

12. Three or more days away from the forum count as a major disaster.

I can personally give some input on "doing PhD after MFE" :)

I would personally like to have a CFA, but on top of MFE :) I have a feeling CFA won't help much, but definitely would not hurt admission chances.

There are several schools that have lecture videotaping capabilities in their programs. I know at least two. You can download and watch lectures from anywhere in the world and not attend a single class (except exams). And I would very much like to have this feature introduced at Baruch. In the...

It's been my impression that taking classes is itself sort of a science :) even distribution of workload across all semesters is the way to go. Anyway, if you are working and don't have any serious reason to save one semester of time, I suggest take 2 classes, 3 if you are sure you can manage.

Anyway, Andy, you can also tell us how you've managed to take so many classes plus taking care of Quantnet. I have a feeling that Quantnet takes as much time as a working in one class. :)

Andy, thats why I mentioned the "workload". A course taught by Professor Stefanica or Professor Kosygina may count as "double workload" :)

No! 3 is a maximum. He should talk to Alain about his experience :)

It depends on the workload. I'm sure Andy mentioned "the last 2 semesters" on purpose :) because a while back in 2002 doing MS in QMM, when I was taking C++ and Numerical Linear Algebra, I had 4 courses and worked full-time. But looks like that kind of paradise has ended. If you don't work...

I don't think you can do as much using R. C++ allows you to build full programs, you can create dll's to be used with Excel. While you can do many things in R, there are restrictions. For example, the memory is controlled by the software and it won't let you declare a huge matrix, and I don't...

It all depends on the courses they offer and flexibility (thats why I chose Baruch and decided not to pursue a certificate in Finance from CMU's CompFin). If I were to go to Princeton, I would prefer more FE courses and less OR (like supply chain management).

Dr. Shreve's books are classics :) and are probably used in every FE / FinMath / CompFin program around the world.

I think most people want to make things faster, not slower :) There are many ways to stretch your educational path. Masters in the US usually takes more than a year, at least, a year and a half if you are studying Full-Time. And you can always spend a year or two working towards advanced...

I have IE and FireFox, but mostly use IE 7.

I would say: equities is a must and credit is optional.

I did not know Princeton has a similar program :) I thought they had a track or something like that related to FE.

I agree with Andy about Linear Algebra. I don't think it is possible to learn the material in the refresher courses if you have never seen any of that stuff before. I am assuming they are called "refresher" courses because they are designed to refresh what we have learned in the past at one...

My advice would be to take as many math courses as possible, not just those that are required (for example, Differential Equations, Probability, Statistics).

I used that book as well (but borrowed it from a library), and I do have its Russian version :) but its more difficult to read than English :) I'm not used to Russian math words.

Regarding MTH 9862. The course description is an elementary-level summary of what to expect. And all those concepts can be packed into one 3-hour lecture. The difficult part is how to apply all those elementary concepts in Finance.