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  1. Sanket Patel

    Suggestion for a Good Finance "Funny" Book

    Boomergang - Michael Lewis
  2. Sanket Patel

    Interpolating Option Prices

    Unless you want fit a model to the vol surface, I'd suggest just interpolating the 1m and 2m vol at whatever delta you need. A linear interpolation is a decent approximation.
  3. Sanket Patel

    Startup hedge fund (fundamental research)?

    That's the nature of the business. There are plenty of fund successful funds with < $100mm in aum. If the fund shuts down after two years, the two years of experience and knowledge under your belt will help open other doors.
  4. Sanket Patel

    Baruch MFE Where do Baruch people work?

    I started working at Numerix while I was at Baruch and continued working there after graduation. I'm now working at a hedge fund doing systematic trading.
  5. Sanket Patel

    R to Excel

    I've used RExcel in the past and it worked well enough statconn and
  6. Sanket Patel

    R to Excel

    I haven't touched touched R in what seems like years but a quick google search yielded A million ways to connect R and Excel which seems to be fairly promising
  7. Sanket Patel

    Purest way to trade option skew?

    I can't imagine you'd be able to find good two-way prices for some of these 'second generation' vol products like gamma swaps, FVAs, corridor var swaps. It gets even worse once you move outside underlyings such as spx, nky, eurusd, and usdjpy.
  8. Sanket Patel

    Credit Valuation Adjustment

    The paper by Zhu and Pykhtin is another excellent introduction to CVA. Jon Gregory's book is also a good starting point. For a more technical resource centered around the challenges of actually implementing a CVA engine, check out Cesari et al.
  9. Sanket Patel

    List of Wall Street themed movies

    Why can't a movie just be a movie?
  10. Sanket Patel

    Dear Quant Gurus !! SOS

    I'm going to echo Ken's question - what exactly does "too Americanized" mean? Also, I don't like stating the obvious, but in this case, I'll oblige. You should probably refrain from making making statements like that. If you end up working in quant finance, chances are your environment will...
  11. Sanket Patel

    Dear Quant Gurus !! SOS

    Take it easy with the caps lock.
  12. Sanket Patel

    any book for cva?

    http://www.amazon.com/Counterparty-Credit-Risk-Value-Adjustment/dp/1118316673 and http://www.amazon.com/Modelling-Pricing-Counterparty-Exposure-ebook/dp/B0041N3H02/ref=sr_1_1?ie=UTF8&qid=1383601821&sr=8-1&keywords=counterparty+credit+risk+cesari
  13. Sanket Patel

    2013-2014 QuantNet Ranking of Financial Engineering (MFE) Programs

    I disagree. This introduces far too many variables, not to mention it introduces preferences into the methodology. What one person considers a 'suitable' lifestyle may be vastly different from another. And preferences, as we know, don't jive well with risk-neutrality :)
  14. Sanket Patel

    How to compare models?

    Look at the theory underlying the models. Taking BS, for example, calls and puts can be replicated through a combination of bond and stock. Create a portfolio which is priced with the 'model' and a second 'replicating' portfolio. You can test the performance of the model by tracking the...
  15. Sanket Patel

    What economics books that can help me understand Shreve's Stochastic Calculus in Finance

    But if you are feeling particularly inclined, look for books on financial economics. An example of one is this.
  16. Sanket Patel


  17. Sanket Patel

    Need help in getting historial data

    Not true. The tickers and mnemonics are not case sensitive.
  18. Sanket Patel

    Downloading all the futures contracts for an underlying in BBG

    use BDS(ticker, "FUT_CHAIN") in excel. For the 3m eurodollar futures chain, it would be BDS("EDA Comdty", "FUT_CHAIN")
  19. Sanket Patel

    COMPARE BU vs Rutgers MSMF

    Keep in mind that my comments and opinions of the BU program reflect what I experienced Aug 2008 - Dec 2008. That's over four years ago and things have likely, at least I hope, changed.
  20. Sanket Patel

    Football season

    Just like how the beat down the Giants received at the hands of the Falcons should have been closer to 50-0
  21. Sanket Patel

    Accessing Bloomberg data through R

    I'm pretty sure Bloomberg doesn't want their data to end up on your personal computer.
  22. Sanket Patel

    What sports do quant play and what beers do quant drink?

    I like CoD but not the Treyarch ones; Infinity Ward is far better.
  23. Sanket Patel

    What sports do quant play and what beers do quant drink?

    Yep. It's a win-win situation.
  24. Sanket Patel

    Why is C++ good for Quantitative Finance? Top 3 reasons

    An interesting article: http://simpleprogrammer.com/2012/12/01/why-c-is-not-back/
  25. Sanket Patel

    What sports do quant play and what beers do quant drink?

    I'd like to add that I also partake in competitive sleeping on the weekends.
  26. Sanket Patel

    What sports do quant play and what beers do quant drink?

    I play some pickup basketball and football on the weekends. Other than that, I run and lift weights. For drinks, I don't care much for beer, but I do love a good dirty martini. And when I say martini, I mean a real martini, i.e gin, not vodka.
  27. Sanket Patel

    What books are you currently reading?

    I think I'll give it a try, though I'll probably to see if I can replace R with Python. Actually, I just took a look at the other book, Machine Learning in Action, and that looks like a better choice for now, given that I want a Python approach to ML. Thanks!
  28. Sanket Patel

    What books are you currently reading?

    Is Machine Learning for Hackers worth reading?
  29. Sanket Patel

    Where to buy a SUIT

    gilt.com of has some amazing sales for suits. I've purchased some suits for about ~400-500, regularly priced >1000. Fitting hasn't been an issue at all.
  30. Sanket Patel

    "I Can Swing My Stick and Hit a Smart Person"

    I haven't been quite as active on QN for sometime now, but from the looks of it, some things haven't changed...
  31. Sanket Patel

    Best books to learn C++

    I'd say start with one of the Savitch books - it will help build a good foundation. After that, move onto to the Joshi or Duffy book. It's good that you have some experience with Python but going from Python -> C++ isn't quite the same as C++ -> Python. Python is forgiving, C++ is not.
  32. Sanket Patel

    i do stuff

    i do stuff
  33. Sanket Patel

    What books are you currently reading?

    Traders, Guns, and Money - Satyajit Das
  34. Sanket Patel

    Football season

    Seriously? You're going act like a bang-wagoner and start that nonsense again?
  35. Sanket Patel

    Football season

    Call it what you want, the fact of the matter is the Pats are going to the Superbowl!!!
  36. Sanket Patel

    Credit default probability modeler

    If you are new to this, start by taking a look at the Merton Model.
  37. Sanket Patel

    NYC Drinks - QuantNet meet up?

    I also like Peter Dillon's Pub (40th between Lex and 3rd) but again, as Andy pointed out, it'll likely be packed.
  38. Sanket Patel

    NYC Drinks - QuantNet meet up?

    Public House, 41st between Lex and 3rd
  39. Sanket Patel

    COMPARE Help!! Claremont VS. Florida State

    I second this. Dr Beaumont is absolutely amazing. It was, in fact, Dr Beaumont who introduced me to quantitative finance. I had opportunity to take his Financial Economics course as an undergrad and it was nothing short of amazing. That aside, one thing I can add about the program at FSU is...
  40. Sanket Patel

    Calling C++ from VBA

    You should change sunmulA to LMGTFY :)
  41. Sanket Patel

    [Dealbook] A Blow to Pinstripe Aspirations

    Ilya, I know you feel compelled to do so, but there really is no need to share your life's story in every single post.
  42. Sanket Patel

    Value at Risk on the buyside

    Yes, you should still care, because don't forget, you still have to mark your books and report to your investors.
  43. Sanket Patel

    Value at Risk on the buyside

    Just think about the question that VAR is trying to answer
  44. Sanket Patel

    Black Friday wishlist

    Why buy steak knives when one can just go to either Del Frisco's or Smith & Wollensky? :)
  45. Sanket Patel

    Black Friday wishlist

    None taken :) I'm by no means a Nissan/Infiniti fanboy. I did a fair amount of driving in all three cars but for me, the G37 just came out on top. If you want to talk about the thrill of driving a car, go drive either a '71 or a '73 Corvette Stringray, then we'll talk. ;)
  46. Sanket Patel

    Black Friday wishlist

    Of course, this isn't really a full-on comparison between Infiniti, Mercedes, and BMW because let's face it, Infiniti has no answer for the E Class or the 7 Series.
  47. Sanket Patel

    Black Friday wishlist

    Are you forgetting about Nissan's luxury arm, Infiniti? When I was looking, both the 3 Series and C Class fell short of the G37x. That's once purchase I haven't thought twice about.
  48. Sanket Patel

    Black Friday wishlist

    Maserati Granturismo S. Black exterior and a black interior with red accent stitching.
  49. Sanket Patel

    Madison Ave is next hiring ground for aspiring quants

    I could be wrong but I don't think that's exactly what TraderJoe was hinting at...
  50. Sanket Patel

    Fixed income books

    What's wrong with the Tuckman book? I actually think it's one of the better introductory fixed income books. Tuckman does a good job keeping his discussion and examples relevant and practical. That said, Fabozzi's book is also a good one. Keep in mind, though, that it is not a very focused book...
  51. Sanket Patel

    Occupy Wall St.

    Occupy Occupy Wall Street. The 1% fights back. http://www.occupyoccupywallstreet.org/
  52. Sanket Patel

    A film about var?

    My thoughts exactly.
  53. Sanket Patel

    New Quantnet forum software

    I was thinking something entirely different for NSFW... :D
  54. Sanket Patel

    Red Sox collapse statistically

    Given the shenanigans the Red Sox pulled in September, I'm almost embarrassed to admit being a Red Sox fan. I thought blowing the wildcard lead was a Mets specialty.
  55. Sanket Patel

    Red Sox collapse statistically

    Very funny... :confused:
  56. Sanket Patel

    BBC - The impending crash - Trader tells it like it is

    Those chaps at ZH are nothing but gloom and doom
  57. Sanket Patel

    House Harkonnen - the Dune discussion

    A feint within a feint within a feint within a feint...
  58. Sanket Patel

    Football season

    Brady throwing four picks is a fluke. I guarantee the Patriots will make an example of the Bills on January 1st.
  59. Sanket Patel

    House Harkonnen - the Dune discussion

    In regards to seeing the future, it was interesting in that Muad'dib couldn't see the future with any sort of certainty. He was merely able to see the possibilities.
  60. Sanket Patel

    House Harkonnen - the Dune discussion

    Right. The Gom Jabbar first makes an appearance early in the book when House Atreides is preparing for the move to Arrakis. I was actually thinking of the truthsayer drug, the effects of which only the Bene Gesserit were able to withstand. Paul, of course, became the first male (the Kwisatz...
  61. Sanket Patel

    House Harkonnen - the Dune discussion

    Wasn't the Gom Jabbar test only administered to males?
  62. Sanket Patel

    House Harkonnen - the Dune discussion

    Ever since the Lord of the Rings movies, I've been praying for Peter Jackson to begin work on Dune. One can hope...
  63. Sanket Patel

    House Harkonnen - the Dune discussion

    It's been a while since I read House Harkonnen but if memory serves me right, didn't Idaho help repel an attack on the school at some point during his training?
  64. Sanket Patel

    House Harkonnen - the Dune discussion

    I would add the "Religions of Dune" to the list. I've always wanted learn more about how Herbert drew elements Islam, Christianity, Judaism, and others in creating the Fremen religion. I'm no religious scholar so I'm sure I completely missed some of the more subtle allusions.
  65. Sanket Patel

    Top quant finance journals?

    The three that come to mind right away are: Journal of Finance Journal of Risk Journal of Derivatives
  66. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    I've only read House Harkonnen and I was pleasantly surprised. I was initially skeptical of Brian Herbert and Kevin Anderson's ability to continue the saga but they did a damn good job. Hopefully, one of these days I'll find the time to go back and finish the remaining prequels.
  67. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    Frank Herbert is by far my favorite (fiction) author. In my opinion, Frank Herbert's Arrakis is rivaled only by Tolkien's Middle Earth.
  68. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    TraderJoe and nesense, I'd like to hear your thoughts on this. For anyone that has read Dune, this reminded of the following:
  69. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    The difference here is we are discussing the MFE programs...the business school rankings were brought up to disprove an erroneous claim.
  70. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    Have your personally attended all the programs? Without doing so, how can you make such emphatic make claims that School A > School B > School C regardless of factors being considered? If prestige was the sole factor in rankings, I'm fairly certain the MITs and Stanfords of the world would...
  71. Sanket Patel

    2011-2012 Quantnet Ranking of Financial Engineering (MFE) Programs

    The Baruch MFE is designed with flexibility in mind. The class schedule caters to both full-time and part-time students. The program hasn't been designated a full-time or part-time status - it's simply an MFE program that happens to provide students with flexibility.
  72. Sanket Patel

    Rogue Trader Lost $2B at UBS

    Where the heck were risk management and product control?
  73. Sanket Patel

    Undergraduate Project

    Instead, why not research something you find interesting?
  74. Sanket Patel

    One complete financial software

    I'd recommend Numerix. Disclaimer - I work for Numerix :)
  75. Sanket Patel

    One complete financial software

    This depends on whether you're looking for commercial software or something in the open-source arena. Most of what you'll find in terms of open-source will be libraries, i.e., QuantLib and Rmetrics. There are several high quality commercial packages as well: Numerix, FinCad, and Quantifi to...
  76. Sanket Patel

    Best books of 2011

  77. Sanket Patel

    How to hedge floating interest rates on private loans?

    Just for the sake of argument, if you have a few thousand and you're truly inclined to do so, there's nothing preventing you from 'hedging' your exposure. For starters, there are Eurodollar futures and swap futures. The initial margins on these instruments are manageable, even for one on a...
  78. Sanket Patel

    Quants love poker?

    I'm with Alain on this
  79. Sanket Patel

    Random funny pics

  80. Sanket Patel

    Master reading list for Quants, MFE (Financial Engineering) students

    Analysis of Financial Time Series by Ruey Tsay is a classic. Analysis of Financial Time Series (9780471415442): Ruey S. Tsay
  81. Sanket Patel

    Google is top pick as employer

    I think that's actually a tough question to answer unless one has actually worked at both places. Without having worked at both places, your "understanding" of what its like to work at the other place is likely to be to impacted heavily by rumors and a lot of "...my roommate's brother's...
  82. Sanket Patel

    CME gets a case of the fat finger

    CME mistakenly places test orders for trading By Hal Weitzman in Chicago and Gregory Meyer in New York Published: September 14 2010 16:19 | Last updated: September 15 2010 03:01 CME Group, the world’s biggest futures exchange, mistakenly placed orders on active energy and metals markets...
  83. Sanket Patel

    How to Get a Quant Job, Advice from Wall Street Executives

    Maybe it's time then, Ilya, to broaden your job search. Don't restrict your search to your "ideal" job. Look for opportunites that will help you get your foot in the door - this may mean considering MO opportunities. Everyone has to start somehwere. While experience is always preferred, having...
  84. Sanket Patel

    China to Introduce Credit-Default Swaps by Year-End

    Actually, I believe the cashflow profile of a cds can be replicated in a fairly straightforward using an asset swap. I'd love to go into more detail but since this, as Max indicated, may end up an exam question, I don't want to spoil the fun for the class :)
  85. Sanket Patel

    China to Introduce Credit-Default Swaps by Year-End

    No naked positions - where's the fun in that
  86. Sanket Patel

    Football season

    Nope, none at all. I've gotten into some friendly chatter, on a few occasions, with some people on the Subway who commented about about my Patriots / Red Sox gear. As for the 'stories' you've heard, I'm sure they go both ways and there's no doubt facts tend to get skewed coming down the...
  87. Sanket Patel

    Football season

    Just as my dislike for the Yankees, Giants, and Jets is understandeable :D
  88. Sanket Patel

    Football season

    Give Kolb a change; this is his first season as a starter. Vick can scramble but he's not exactly great in the pocket and his ability to read defenses while in the pocket is average, at best. Nonetheless, should be an interesting season for the Eagles now that both McNabb and Westbrook are no...
  89. Sanket Patel

    Top 10 hedge fund managers earn over $153bn for investors

    Most of those funds are global macro funds.
  90. Sanket Patel

    KKR in talks to hire Goldman prop trading group

    Link to article (Bloomberg) KKR & Co. and Perella Weinberg Partners LP are in talks to hire Goldman Sachs Group Inc.’s U.S. proprietary trading group, according to a person familiar with the matter. Kristi Huller, a spokeswoman for KKR, Ed Canady, a Goldman Sachs spokesman, and Kara...
  91. Sanket Patel

    Wall Street Journal or Financial Times?

    Financial Times is, in my opinion, much better. FT is much more direct and to the point. I don't have to wade through useless sections on "Arts and Culture" to get to the news. On a bit of tangent...you should also consider podcasts. I listen to the WSJ and Bloomberg on the Economy...
  92. Sanket Patel

    Best browser out there

    Chrome FTW! text text text
  93. Sanket Patel

    Graduated Rutgers (a while back)...job hunt still sucks

    Have you considered starting off in an MO role and working your way into a role you want?
  94. Sanket Patel

    Master reading list for Quants, MFE (Financial Engineering) students

    Your question is too general. You need to figure out exactly what type of 'strategies' you're looking for? Since you haven't researched anything yet, that might be a good place to start. In the meantime, knock yourself out: stock picking strategies
  95. Sanket Patel

    India’s $35 Tablet Laptop

    I'm with Andy on this one. Being somewhat of techie, I like all my bells and whistles. You have to keep in mind that the US is an established economy, unlike the developing economies of countries like India and China. Consumers in the US can, generally speaking, afford to be demanding and...
  96. Sanket Patel

    Master reading list for Quants, MFE (Financial Engineering) students

    Fixed Income Securities by Bruce Tuckman
  97. Sanket Patel

    Anyone have any idea how to solve this?

    Buy and hold any stock you want for, let's say, 10 years. I'll pay you 25x your realized variance and you pay me 6.25% on 10M, semiannually. Deal?
  98. Sanket Patel


    The simple answer is that it depends. There are things to consider: are you on the buy/sell side, are you a structurer, do you trade flow, are you simply speculating, are you hedging, are you simply looking for leverage, what's you view short/long term view, are you looking for income...etc
  99. Sanket Patel


    Dude, I think you're complicating it way too much; keep things simple. Prior to Black Monday, option markets exhibited a relatively inncocuous smile - that is, it was more or less flat. Following the crash, the markets began pricing in a jump risk premium of sorts. This premium shows up in...
  100. Sanket Patel

    Recommended reading for readers who know little or nothing about Finance

    I agree with Andy - these are typical undergrad finance type books. If one is feeling particularly inclined and truly wants to "learn" finance there's nothing better a good financial economics book along with John Cochrane's masterpiece, Asset Pricing.
  101. Sanket Patel

    GARCH Parameters Estimation

    I don't think you looked hard enough. In the GARCH.xls file, in Garch.zip, the parameters are being calculated - they're not hardcoded. Take a look at Solver.
  102. Sanket Patel

    Where to watch World cup for free

    Anyone watch the Portugal - North Korea game? It was like watching Varsity against JV.
  103. Sanket Patel

    best C++ beginner book

    I think Lippman's C++ Primer is another good book for a beginner.
  104. Sanket Patel

    Do you guys have facebook profile?

    That's harsh! ...extra stuff...
  105. Sanket Patel

    The Risk Neutral Measure

    How else would you price it? Pricing an asset using real-world / physical measure would be impossible because the measure wouldn't be unique. Each investor would have his or her own risk preferences resulting in countless distributions. For an excellent, yet simple discussion, read chapters...
  106. Sanket Patel

    The Risk Neutral Measure

    In brief, switching to a risk-neutral measure simply shifts the mean of the distribution such that the expected return becomes the risk free rate. The variance, however, remains unchanged.
  107. Sanket Patel

    MIT MFin Merton rejoins MIT to teach quantitative finance

    Sorry Ilya, but that's just too funny
  108. Sanket Patel

    What features would you like to see on Quantnet ?

    I think it would be nice and helpful to have a 'market snapshot' somewhere on the page. It doesn't have to be anything too fancy or detalied - the current levels of the major indices, some of the rates, oil/gold, etc would suffice.
  109. Sanket Patel

    Math quant jokes

    For those who picked up on the Horatio Caine bit: "Yeeeeeaaaaaaaaaaaaaaaaaaa"
  110. Sanket Patel

    Did i mess up my chances for a good MFE program?

    While relevant work experience will boost your chances of admission, it is not an absolute requirement. In fact, I'm not aware of any MFE program which requires work experience. Also, not attending a top 10 school for undergrad won't adversely affect your chances of admission. I, for one...
  111. Sanket Patel

    Measuring Volatility from historical data

    This might shed some light: Parkinson's Number
  112. Sanket Patel

    What are you listening to now ?

    Trance is ok; House and DnB is where it's at!
  113. Sanket Patel

    What are you listening to now ?

    Until a couple months ago, in terms of electronica, I really didn't venture out beyond Digweed, Muir, Van Buuren, Deadmau5 and the likes. A friend enlightened me in the ways of DnB and it's mostly been nonstop bassdrive.com since then.
  114. Sanket Patel

    What are you listening to now ?

    BassDrive.com - Worldwide Drum and Bass Radio Pure.FM Radio - Free Music by the best DJs for Electronic Dance Music MIXRIOT John Digweed - Transitions Indivision - guest mix for DJ Amnesty
  115. Sanket Patel

    Dow down 1000 pts..what the hell

    Like I said, try it and see how far you get.
  116. Sanket Patel

    Dow down 1000 pts..what the hell

    Try it and see how far you get
  117. Sanket Patel

    Dow down 1000 pts..what the hell

    I'm hearing someone botched a trade at Citi
  118. Sanket Patel

    How important is Java?

    I both agree and disagree. I'm by no means an expert on the matter, but I think ultimately, you only need to know an object-oriented language along with a scripting language (and I suppose R, as well). I prefer working with C++ and Python - though I end up using Python about 95% of the time...
  119. Sanket Patel

    Baruch MFE Which Undergrad major to take?

    Just chiming in with my two cents... While work experience is always preferred, it is by no means an absolute requirement. I'm not sure how the admissions process work at other schools, but at Baruch, it's more than just apply and wait for the decision. Given that you're already a Baruch...
  120. Sanket Patel

    Why do we need convexity adjustment (CMS, ...)?

    The relationship between price and yield is not linear. That said, I think the wording in your question "why can't duration in reality be linear" is a bit off. Duration is a first order measure; that is, it measures the 'linear change' of an otherwise nonlinear linear function. The price...
  121. Sanket Patel

    Baseball season is up on us

    I think you're forgetting last season much too quickly :)
  122. Sanket Patel

    Baseball season is up on us

    Red Sox 9 Yankees 7 :dance:
  123. Sanket Patel

    COMPARE Help!! Claremont VS. Florida State

    As an FSU alum, I can say that the MF program is heavily geared towards math; it truly is a 'mathematical' finance program. Unlike other programs, FSU doesn't boast an all-star faculty, but the rigor and quality of teaching of the math department is by no means sub-par. Let me know if you...
  124. Sanket Patel

    VaR with monte carlo

    I'm no expert on VaR but the times I have calculated VaR (for equity portfolios) I have used historical simulation. The nice thing about historical simulation is that it is a non-parametric approach; thus, unlike the MC method, you're not forced to impose any particular distribution on your data.
  125. Sanket Patel

    QuantNet Coding Project

    Speed Comparison It would be interesting to see how the various methods and languages everyone is using compare in speed. To that end, for those interested, I suggest measuring the time it take for your code to run. For those using Python, you can measure execution time as follows: import...
  126. Sanket Patel

    VaR with monte carlo

    Value at Risk - Phillipe Jorion
  127. Sanket Patel

    That is something you'll have to decide on your own. You first should consider what exactly it...

    That is something you'll have to decide on your own. You first should consider what exactly it is that you want to achieve then worry about whether CQF is the right choice.
  128. Sanket Patel

    COMPARE Boston Univ Vs Rutgers Univ Placement and Location

    As I said in a different thread, I hope the changes have been for the better. My opinions of the BU program are a result of what I experienced there during the Fall 2008 semester. The state of the program, that semester, was pathetic at best and I had no choice but to withdraw. It was the...
  129. Sanket Patel

    COMPARE Boston Univ Vs Rutgers Univ Placement and Location

    That's a fair point - the transition to the School of Management was in process when I withdrew. For the sake of the current and future student, I hope the changes have been for the better. Forget internships, what were placement for last year's graduates? Or the year before, for that...
  130. Sanket Patel

    COMPARE Boston Univ Vs Rutgers Univ Placement and Location

    I don't know anything Rutgers. After leaving BU, I left applied and subsequently enrolled at Baruch.
  131. Sanket Patel

    In a bit of despair...

    Any reason why you don't want to aim for a top 10 program? Also, don't bother with BU - it is a waste of both time and money.
  132. Sanket Patel

    COMPARE Boston Univ Vs Rutgers Univ Placement and Location

    I was at BU for 1 semester and I absolutely hated it. The quality of teaching was sub par, the professors seems disinterested, especially the program director. All the professors are just professors; none of them, it seems, worked a day in the industry. In my opinion, their understanding of...
  133. Sanket Patel

    Undergraduate Course Selection

    Come application time, you'll definitely have met the math requirement for virtually all MFE programs. Despite the fact you're learning C++ on your own, I'd recommend taking the Intro to CS class.
  134. Sanket Patel

    Getting started

    I don't want to speak for everyone in this community, but I have an inkling that quite a few of the QN members will find likely wish they could get back 30 seconds they wasted reading your post. And you're absolutely right, I'm not the moderator - that would be Andy. Humor me and ask Andy...
  135. Sanket Patel

    Getting started

    For starters, you many want re-write your post but this time using proper English. Also, avoid the the open-ended, "I'm too lazy to research to things on my own" type of questions.
  136. Sanket Patel

    India NISM offers Certificate in FE and Risk Management (CFERM)

    That goes without saying, doesn't it? I seriously doubt anyone is realistically expecting it to be on part with CQF...
  137. Sanket Patel

    India NISM offers Certificate in FE and Risk Management (CFERM)

    This is actually quite interesting. The derivatives markets in India have yet to reach the level of maturity of their western hemisphere counterparts. While certain aspects of risk management are more or less universal, I'd like to see how the idiosyncrasies of the Indian / eastern markets...
  138. Sanket Patel

    Take unsupported Stony Brook Quantitative Finance PhD position ?

    Honestly, Illya, I too hope that things work out for you, hopefully sooner than later. Just keep in mind what Alain and Stefan said: don't sit there and lament over your own situation - you're wasting time your own time doing so, when instead you could be looking for a job, working on your...
  139. Sanket Patel

    Free courses from MIT

    Ah yes...Dr. Strang is quite the pedagogue, to say the least.
  140. Sanket Patel

    looking for advise in MFE

    Connor is absolutely correct in stating that undergraduate finance degrees in the U.S are, more often than not, lacking in quantitative rigor. In fact, I don't think the word 'quantitative' can ever truly be used to describe any portion of an undergraduate finance degree. Unless, of course...
  141. Sanket Patel

    Take unsupported Stony Brook Quantitative Finance PhD position ?

    Dude, first of all you need to figure out what you want to do. It seems in the past year you've gone from wanting to be a quant, to a quant developer, then to a trader and now it seems you're back to quant. If you can't find that high-paying, FO position you want, then take kwlmy's advice...
  142. Sanket Patel

    Learning Python together

    I really like the Summerfield book; that book was my first foray into Python. I still haven't finished reading the book though :) I read the first half of the book and after that I've been relying on Google; though I suppose I should probably finish the book one of these days...
  143. Sanket Patel

    Learning Python together

    I've been using 3 for sometime and I haven't really run into any major issues. The one thing I find very annoying, especially with Eclipse, is that if I the 3 as the interpreter, Eclipse gives a warning for the following statement: print 'foo' However, I don't see any warnings if I use...
  144. Sanket Patel

    Learning Python together

    None at all; both numpy and scipy are available through the Synaptics Package Manger.
  145. Sanket Patel

    Learning Python together

    If you guys are looking of some excellent but not necessarily finance oriented exercises, I would highly recommend working through the problems on Project Euler. You can concentrate on financial applications of Python but at the same time working through those problems sequentially as...
  146. Sanket Patel

    Can anyone provide me some info about MFE at UMich

    Try getting in touch with students currently enrolled in the program
  147. Sanket Patel

    Getting your resume read???

    I used paper scented with the delightful essence of rare flower found only in New Guineau.
  148. Sanket Patel


    I don't know of any Python books geared towards financial modeling off the top of my head but you can probably just pick up any good Python book to learn the language then just play around with some models. The key will be learning the SciPy and NumPy libraries.
  149. Sanket Patel

    The evolution of a Python programmer

    http://gist.github.com/289467 #Newbie programmer def factorial(x): if x == 0: return 1 else: return x * factorial(x - 1) print factorial(6) #First year programmer, studied Pascal def factorial(x): result = 1 i = 2 while i <= x: result = result * i...
  150. Sanket Patel


    C++ then Python. If you go the Python -> C++ route, you'll risk becoming a lazy programmer. This is not to say that Python programmer are lazy but those who have used Python will know what I'm talking about. Learning C++ first, if you do it correctly, will also force you to learn 'how to...
  151. Sanket Patel

    Naked Swaps Crackdown in Europe Rings Hollow Without Washington

    Naked Swaps Crackdown in Europe Rings Hollow Without Washington By Ben Moshinsky and Aaron Kirchfeld March 11 (Bloomberg) -- European politicians and regulators could initiate a continent-wide ban on speculative trading of sovereign credit-default swaps tomorrow. Making it stick without...
  152. Sanket Patel

    10 websites I visit every day

    Technology and Programming News http://www.bloomberg.com Dealbreaker: A Wall Street Tabloid Business News Headlines and Financial Gossip Stock Market News, Opinion & Analysis, Investing Ideas -- Seeking Alpha http://www.ftonline.com QuantNetwork http://www.markit.com Facebook ESPN: The...
  153. Sanket Patel

    What is an entry-level trader's annual salary supposed to be?

    Perhaps you can try to acquire an 'out-of-the-box' marketable skill? Posting your life story here on QN, I'm afraid, won't likely pass for an 'out-of-the-box' marketable skill.
  154. Sanket Patel

    time series methods and derivative pricing methods

    You may find the attached PDF useful.
  155. Sanket Patel

    Fast-Track Preparation

    1) I applied to the following schools - Baruch, Boston University, CMU, Columbia, Georgia Tech, NYU and USC 2) Going into the Master Program, my programming 'pretty good.' Not great, not terrible, just pretty good. Prior to beginning the MFE program, about 90% of the code I had written...
  156. Sanket Patel

    Fast-Track Preparation

    My mistake. My original post has been corrected. Of course, though, I meant transfer as in I changed my program of study, which in this case involved applying and being admitted to Baruch.
  157. Sanket Patel

    Fast-Track Preparation

    1) Florida State University 2) the calc sequence, linear algebra, ode, pde, a couple econometrics courses, calc-based probability theory, mathematical statistics, and non-parametric statistics (included despite the fact it's not truly a math class) 3) So far so good. I never once felt like I...
  158. Sanket Patel

    Fast-Track Preparation

    While having a math background or hard science background helps, coming from a finance background doesn't automatically put you at a disadvantage. Ultimately, what matters is whether you meet (exceed) the required for admission. Of course, an 800 on math portion of the GRE, will also fortify...
  159. Sanket Patel

    Superbowl XLIV prediction

    Colts, because I dislike the Saints more than I dislike Peyton Manning.
  160. Sanket Patel

    Google Chrome

    Incidentally, Google will also be offering cash rewards - of up to $1377 - to those who can find bugs in Chrome. http://blog.chromium.org/2010/01/encouraging-more-chromium-security.html
  161. Sanket Patel

    Life of a quant

    Yep...doing equities in Dallas
  162. Sanket Patel

    Bloomberg FTW

    http://dealbreaker.com/2010/01/the-bloomberg-proposal.php The Bloomberg Proposal Posted by Bess Levin, Jan 22, 2010, 11:27am Like many of you, Mike Bloomberg was listening with rapt attention as President Obama laid out his plan for how the banks should run, moving forward. And, in...
  163. Sanket Patel

    2009 Rotman International Trading Competition

    I heard everyone just sat around having tea and crumpets.
  164. Sanket Patel

    A new strategy of getting a job

    Easier said than done.
  165. Sanket Patel

    The Yankees in World Series

    The Mets have one purpose and that is to suck.
  166. Sanket Patel

    A new strategy of getting a job

    YouTube - Impossible is the Opposite of Possible
  167. Sanket Patel

    A new strategy of getting a job

    If you haven't already read this, it's definitely worth a read: Dealbreaker : Jeffrey Chiang Will Be Receiving No New Offers Of Employment Jeffrey Chiang Will Be Receiving No New Offers Of Employment Posted by Bess Levin, Oct 22, 2009, 9:33am So! Firms are starting to hire again, which...
  168. Sanket Patel

    Anyone upgrading to Windows 7?

    I'll probably give it a try. We've had 7 at work since it's early alpha releases - compliments of a CEO who used to be the #4 at Microsoft
  169. Sanket Patel

    Economics as a base

    Economics at an undergraduate level generally doesn't tend to very quantitative. The two most quantitative Economics courses I had were Econometrics and Game Theory / Static Optimization - both of which required nothing beyond Calc I.
  170. Sanket Patel

    Need a book recommendation to supplement my undergrad class

    In my opinion, the book is a good treatment of combinatorics-based probability. The book contains a lot of good 'brain-teaser' and 'interview' type questions, but I probably wouldn't recommend the book as your 'main' probability book. I'd recommend 'An Introduction to Probability' by Dmitri...
  171. Sanket Patel

    "MFE program profile evaluation" master thread

    No, not Monte Carlo. It is 42% via the Infinite Improbability Drive.
  172. Sanket Patel

    2009 Quantnet Ranking of Financial Engineering (MFE), Quantitative Finance Programs

    I think people are overlooking the fact that the rankings were based on an algorithm and not opinions based upon reputation or the fact that professor ABC teaches at school XYZ.
  173. Sanket Patel

    How do you understand/appreciate math on a more philosophical level?

    By not acting as if you know everything
  174. Sanket Patel

    The best second tier MFE universities

    Umm...not really.
  175. Sanket Patel

    The best second tier MFE universities

    I don't think Boston University deserves to be in a list of second tier universities; third tier is probably more fitting. If you want to find out more about the BU program, make your way over to Global Derivatives.
  176. Sanket Patel


    I'd listen to what the gods at Fast Money have to say.
  177. Sanket Patel

    Interview with Emanuel Derman

    For one with little, if any, industry experience, you sure do talk like a war-worn veteran.
  178. Sanket Patel

    Quantlab on Saturday

    I'm going to be there for sure
  179. Sanket Patel

    What are the practitioners' thoughts on R

    OSU did; Navy, though, should have won the game.
  180. Sanket Patel

    martingale & filtration

    How did you mange to learn Ito's Lemma without first understanding the concept of a martingale?
  181. Sanket Patel

    The Master Happy Birthday thread

    Happy Birthday!!!
  182. Sanket Patel

    Where can I get historical gold prices?

    What date range do you want? Let me know and I'll send you the csv.
  183. Sanket Patel

    Google Chrome

    I was using this thing called 'Chromium' for a bit. It's supposed to be Chrome-ish, but yea...not so much.
  184. Sanket Patel

    2009 Quantnet Central Park Picnic

    How about the picnic followed by Beer Garden?
  185. Sanket Patel

    Quantlab on Saturday

    Same here, I'll be there next Saturday.
  186. Sanket Patel

    2009 Quantnet Central Park Picnic

    I second that .
  187. Sanket Patel

    What College Rankings Tell Us

    No love for the University of Phoenix?
  188. Sanket Patel

    MSFE without programming

    Contact the schools directly
  189. Sanket Patel

    The Master Happy Birthday thread

    Happy Birthday! :dance:
  190. Sanket Patel

    What features would you like to see on Quantnet ?

    It's just a personal preference, I like being able to see all the links at once without having to keep my mouse off to the side. It makes for quick clicking. Otherwise, I have to move my mouse all the way off to the side, read the links, then decide which one I want to click on then finally...
  191. Sanket Patel

    What features would you like to see on Quantnet ?

    I'll settle for 2 seconds :D
  192. Sanket Patel

    What features would you like to see on Quantnet ?

    Is it possible to add a delay, of say 5 seconds, to the info box that pops up when hovering over the links in the latests posts box?
  193. Sanket Patel

    What features would you like to see on Quantnet ?

    Can the toggle be moved near the header of the page? When viewing the pages with the iPhone, it require an awful lot of scrolling to actually get to the toggle. Unfortunately, there is no 'end' or 'page down' functionality with the mobile version of Safari.
  194. Sanket Patel

    What features would you like to see on Quantnet ?

    Wirelessly posted (Mozilla/5.0 (iPhone; U; CPU iPhone OS 3_0 like Mac OS X; en-us) AppleWebKit/528.18 (KHTML, like Gecko) Version/4.0 Mobile/7A341 Safari/528.16) Is it possible to add a link to the mobile version to view the 'full version?'
  195. Sanket Patel

    What features would you like to see on Quantnet ?

    I like the skin, but I miss the 'Latest Posts' box. Also, in tems of speed, I don't notice much of a difference but then again, that could just be the 3g acting up.