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Search results

  1. PatM

    [Oct 26, 2013] Modeling competition 10/26/13 (New York, NY)

    www.modeloff.com Perhaps too simple for MFEs, but first place is $30k.
  2. PatM

    general comments on MFEs in buy side mag

  3. PatM

    Risk Management System

    There are lots of these: www.dmoz.org/Business/Management/Software/Risk_Management For equity: Barra, RiskMetrics, Sungard APT, Northfield, Axioma For fund of funds: FinAnalytica, Measurisk, RiskData, RiskMetrics
  4. PatM

    Washington University in St. Louis MS Finance

    That's where I went to school. Stick with Phil Dybvig - he's the best guy there, super smart, and connected on Wall Street. Guofu Zhou is also quite good, but not as connected. As far as placement, I made it to Wall Street, so there you go. They also put people in Chicago, and some locally in...
  5. PatM

    VaR with monte carlo

    hist sim - hidden assumption about distribution Hist sim is often said to be non-parametric. This is true because the distribution is not stated explicitly by the modeler with parameters; you just take whatever the distribution was in the past. But this history still has parameters - they are...
  6. PatM

    Sharpe Ratio Question

    He's right - without the risk free rate, it's not really a Sharpe ratio. It's more like a coefficient of variation. www.stanford.edu/~wfsharpe/art/sr/sr.htm Also, how you annualize depends on how you are bearing risk - if you are holding a position even on the days you don't trade, you have...
  7. PatM

    calculus of variations

    Robert Almgren and Neil Chriss used a technique from the calculus of variations in an important paper on program trading a couple of years back. www.cims.nyu.edu/~almgren/papers/riskbid.pdf http://corp.bankofamerica.com/publicpdf/equities/Bidding_Principles.pdf
  8. PatM

    questions on bond

    sort of a big topic That is sort of a big topic for a chat board. Basically, you take the pricing equation for a bond, and vary the inputs to get an expected distribution for the price of the bond (or portfolio) over some time horizon. For one day horizons, the inputs to vary are the rates in...
  9. PatM

    GARCH Covariance?

    I can only remember now author Carol Alexander as a reference. I don't have it in front of me.
  10. PatM

    Import data to Access

    not really an answer This is not really a complete answer, but there is an O'Reilly book called Integrating Excel and Access which you can copy VBA code out of, which does this. http://oreilly.com/catalog/9780596009731 http://books.google.com/books?id=OnqWuCPgLUkC&dq=integrating+excel+and+access
  11. PatM

    How do we model stochastic Correlations?

    even more I find this interesting. Can we generalize this to a correlation matrix? There are even more restrictive boundaries on the possible correlation of assets B and C once the correlations of A and B, and A and C, are known. I don't know what a matrix generalization of this would look...
  12. PatM

    Fin Eng vs Actuarial vs Risk Mgt

    Actuaries have a very long history with insurance companies. They are the primary drivers at setting insurance rates, and if you want to work in insurance, it's a great foot in the door. Risk management started at the largest banks (cf. Riskmetrics and JP Morgan), estimating how much could be...
  13. PatM

    Where do you buy your technical/text books?

  14. PatM

    new quant fin critique - Lecturing Birds on Flying by Pablo Triana

    Lecturing Birds on Flying by Pablo Triana. I just looked at this over the weekend at Barnes and Noble - it looks like it was just released. This is a good summary of the case currently circulating out there against quantitative financial modeling. It is written by a follower of Taleb...
  15. PatM

    Excel spreadsheet problem

    Yes, or multiply them all by 1. If you hit Ctrl-1 while on a cell, the 'format cells' popup window will tell you what data type it is.
  16. PatM

    A Quick question about risk management jobs

    Will statistics background and lots of data analysis experience qualify one for such positions? -- Yes. If yes, how should the resume be worded to increase the chance of securing an interview? -- Difficult to answer - it depends. How many pages should the resume have?? -- Generally one...
  17. PatM

    Large Collection of Math and Quant Finance Algorithms

    Excellent This is an excellent link. Thank you.
  18. PatM

    VBA question

    Macro Recorder helps Try the Macro recorder first - it helps set all the syntax and parameters in the yet-unknown function call to some sort of default settings, then you can Google them later to tailor them to your needs. According to the Macro recorder, the function call should be...
  19. PatM

    Sage software?

    www.sagemath.org Has anyone ever used this Sage software - do you have any feedback on it, good/bad, etc? It looks like an open source alternative to Mathematica?
  20. PatM

    Risk Management in NYT

    more quants in news www.moneyscience.com/Finance_Focus/Buffeted_Quants_are_still_in_demand.html
  21. PatM

    Quants partly responsible for the crisis?

    http://www.mckinseyquarterly.com/Corporate_Finance/Performance/Taking_improbable_events_seriously_An_interview_with_the_author_of_The_Black_Swan_2267 The omnipresent Mr. Taleb, on another web site. "I kept going on and on against financial theories, financial-risk managers, and people who do...
  22. PatM

    Quants partly responsible for the crisis?

    Dave Haan's link is to author Eric Falkenstein www.efalken.comThis site has a link to his blog, which is very worth reading. His academic papers, and his general thoughts on Taleb, are also interesting.
  23. PatM

    The perils of diversification

    It also shows a lack of recognition between ex ante expectation, and ex post results. Diversification doesn't mean that in every single time interval, you are guaranteed to win, relative to other more concentrated choices. There are too easy counterexamples that show that in other time periods...
  24. PatM

    Sylvain Raynes: The State of Financial Engineering

    From Raynes in the NYT: “The mistaken notion that Moody’s was a company like any other, that was very fundamental,” said Sylvain Raynes, a former Moody’s analyst who is co-founder of R&R Consulting, a firm that helps investors gauge debt risks. “It is not just a profit maximization entity like...
  25. PatM

    How the Mighty Have Fallen

    I once was in the room when someone asked Charles Schwab, "How does it feel to lose a billion dollars?" SCHW (then SCH) missed its earnings number a few days prior, and gapped down $4. Chuck held 250 million shares. Chuck laughed and said, "You know, it feels great -- just to have had the chance."
  26. PatM

    free NY computational fin seminar w/ R

  27. PatM

    Kiyoshi Ito died last week

    Renowned math wiz Ito, 93, dies | The Japan Times Online
  28. PatM

    nice QF link

    External Resources
  29. PatM

    Risk Management Community?

    Also PRMIA - Professional Risk Managers' International Association
  30. PatM

    basic swap curve question

    day count convention? Could be day count convention? For the first three, you are using the exact fractions 0.25, 0.5, and 0.75 of a year. It could be 91/365, 181/365, 273/365 of a year? If you kept this tiny inaccuracy going over many periods out to 15 years, the accumulated error could be...
  31. PatM

    Fortran and C++?

    Thank you gentlemen. Alain I sent you a PM.
  32. PatM

    Fortran and C++?

    Does anyone know both Fortran and C++ well? I have Fortran code that I am trying to read and translate into C++, and I have some questions. It's not something that can be posted here - it is detailed, line by line, and would take a while. Does anyone know how I might begin to seek assistance...
  33. PatM

    Correlation Gold,Dollar,Oil,Interest rate

    no solution to this? ------------ If one is doing any stress test analysis how do he incorporate current situation in his scenarios analysis ------------ For stress testing, you can try a variety of covariance matrices, e.g. we have used constant correlations of rho = 0.0, 0.3, 0.5, 0.7, and...
  34. PatM

    GARCH Covariance?

    another thought Carol Alexander also mentions orthogonal GARCH, where you fit a GARCH model to each of the first few principal components of the covariance matrix, forecast those, then reassemble the forecasted covariance matrix from this eigenvector / eigenvalue decomposition. This would not...
  35. PatM

    GARCH Covariance?

    still a student of this With bivariate GARCH you would forecast covariance directly, based on past covariances, covar(x,y)(time t) = beta * covar(x,y)(time t-1) + coefficient * (long run level) + alpha * (innovation term) There is no need to use a correlation coefficient, because you wouldn't...
  36. PatM

    GARCH Covariance?

    bivariate GARCH To estimate covariance, you can use bivariate GARCH. This is discussed a little in Carol Alexander's books. SSRN-The Systemic Risk Potential in European Banking - Evidence from Bivariate GARCH Models by Michael Schröder, Martin Schüler
  37. PatM

    Statistics for FE

    In 2007, we used a book called Statistics for Finance by David Ruppert, which is basically the class notes from a stat class in the Cornell MFE. I can recommend this -- it touches option pricing, similar to above, but discusses other topics: GARCH, VaR, more sophisticated portfolio theory with...
  38. PatM

    Monty Hall Problem

    Yes, bendort is right. The way to see it clearly is to scale it up. Suppose there were 1 billion doors. You pick one. Then the host opens up all the remaining doors, except the one you picked, and one other. Is it 50/50? Of course not. On the first round, the player has a 1/n chance of...
  39. PatM

    middle office jobs

    Vkaul said: Thanks Andy. So the model validation group same as structurers group? No, they are different. Model validation is backtesting, questioning assumptions, trying to break models, trying to see when they will give weird answers, trying to uncover when things will go wrong before they...
  40. PatM

    another IAFE event 5/12

    I thought the name was funny: The International Association of Financial Engineers is pleased to invite you to: America's Next Top Pricing Model Monday, May 12th PricewaterhouseCoopers 300 Madison Avenue New York 5:00 Registration 5:30 Program Begins 7:00 Reception Panelists: Michael...
  41. PatM

    The Black Swan

    Not everyone agrees wholesale with Mr. Taleb -------------------- Quant forecasting doesn't work; it's more akin to witchdoctor medicine. Of course, this message is the bane of quant professors who make their living peddling quant bullsh!t. Quants can't calculate risks: this is hubris. We can...
  42. PatM

    How valuable would CAIA (Chartered Alternative Investment Analys) be for a software engineer

    1) I doubt if the CAIA would be beneficial for working at a hedge fund. Look at the CAIA website; it concerns people who will be investing in hedge funds or private equity (fund of funds or wealth managers). There is not much about how to manage a hedge fund, or anything about IT. 3) The best...
  43. PatM

    Polynomial regression help?

    Yes, ordinary least squares will work for this -- it's still Ax = b, and the solution is still x=(A'A)^-1 A'b You can do it in Excel -- just type "=X^2" in a second column, and then regress with both of these columns as independent variables, against whatever Y variable you want. For the...
  44. PatM

    Looking for a book.

    not a quant book, but good for valuation Financial Statement Analysis and Security Valuation Stephen Penman This is not a quant book, but it is, IMO, the best for equity valuation, although it is not a primer or survey of all the methods out there. You could supplement this with The...
  45. PatM

    has anyone ever used this?

    interesting wiki? www.financialmathematics.com
  46. PatM

    Interest in Intro to Unix/Linux during January

    me too me too
  47. PatM

    Integrate C++ program into VBA

    related pdf here's something
  48. PatM

    Marginal VaR of Swap position

    It depends on the payment formula. For a 1 day 99% VaR, take the formula for the floating payout and figure how much you would have made/lost on the swap every day over the past X years. Then take the 99% worst day.
  49. PatM

    Marginal VaR of Swap position

    Hi, It is certainly possible. Single name equity swap? The marginal VaR is usually calculated with the covariance matrix E -- the portfolio variance is w'Ew, and then you scale up the square root of that by some coefficient to get portfolio VaR (95%, 99%, 1 day, 10 day, etc). The derivative...
  50. PatM

    The pseudo-science hurting markets

    Reading Taleb is frustrating. Better is Benoit Mandelbrot's book, The Misbehavior of Markets. Mandelbrot is the entire substance behind Taleb. Just go straight to the source and save time.
  51. PatM

    Non-risk neutral Black Scholes

    I believe that you would add on some higher risk premium, p, everywhere you see the risk free rate, r. The risk compensation variable p would depend on some sort of risk aversion, or how much people want to be compensated for bearing volatility in the future. This is difficult to estimate...
  52. PatM

    How PDE is applied in FE?

    Finite differences are discrete approximations to differentials -- instead of going all the way to the limit case of infinitely small changes dx, you only have to consider a small finite change. Consider the definition of the derivatives [ f(x+h) - f(x) ] / h -- instead of letting h go down to...
  53. PatM

    A place to find used book

    www.bookfinder4u.com www.bookfinder4u.com
  54. PatM

    NY Academy of Science

    has quant finance meetings: www.nyas.org/channels/index.asp?channelID=63
  55. PatM

    another free spreadsheet download

    www.kerryback.net I know this finance prof., and he is really solid...
  56. PatM

    another networking event

    http://www.qwafafew.org/?q=new-york-meeting-20070417 this group is very laid back, but good for networking...
  57. PatM

    more free web brainteasers

    www.madandmoonly.com/doctormatt/mathematics/mathematics.htm on a link there called "Dice Problems" I saw this on Wilmott -- looks good, but some of the dice problems are hard.
  58. PatM

    Learning VBA during the Winter Break

    Just a thought... www.vbnumericalmethods.com is a good site to get started for ideas -- just wanted to throw that out there.