is there anyone from the buy side here with a mfe who uses ML daily. Who needed to code a neural net or whatever from scratch in his interview, and is successfully adding value with deep ML knowledge ?
i don’t think he knows what he’s taking about. Most of the jobs that require ML on buy side is overhyped bs nonsense. ML didn’t get invented automatically. It was there many many years ago and many mfes didn’t have ML in curriculum and still got into quant roles in buy side.
Columbia and Stanford have online programs in statistics and CS. University of Washington mfe is online. They have an applied math masters online as well. Berkeley has online data science. Gtech has online CS.
Maybe a book on advanced equity derivatives/demans book on vol surface. Maybe the book by Lorenzo bergomi and computational methods in finance should do the trick. IMHO, you are wasting your time learning these concepts if it doesn’t lead to a job in that field.
Barely any jobs out there...
Hmm, without a model. Here’s my interpretation. Assume European call, non dividend paying. At maturity, it’s either in the money or out of money. So delta is either 0 or 1. This has the same payoff of a digital call that pays 0 or 1. which as we know can be approximated by 1/2 of call...
I think He’s covering some conditions for arb to be possible it seems and he might be looking for a complete state space etc. I would suggest mathematical techniques in finance-tools for incomplete markets by ales cerny that covers the topic you were concerned with. Maybe even bjorks book.
U need to read that book by lixin wu and another by Nicholas privault. Both are excellent for breakin into the Ir world. I don’t understand why this bank is even calling you when you don’t have knowledge in this area.
Out of money calls are more expensive because if stock price does fall, the gamma of the position becomes riskier. Hence more frequently the market maker has to hedge his otm call opions, hence higher the price. The arguments for why ITM puts are more expensive...follows similar line of logic
Not really...Peter carr did his phd in financial math with an accounting masters. If you want to stay in academia...it’s a great option. But it’s kinda weird as some jobs require phd. I guess those are for people who decide academia is boring and then make the switch to full time jobs. But...