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Search results

  1. C

    Asian Markets

    hi bluechimp, thanks a lot for your reply. No, i'm not as such set to go straight for MD, just used that reference as to show the possibility of fast advance. I generally don't try to lock myself in to anything, as I think that might both be dangerous and also exclude one from interesting...
  2. C

    Asian Markets

    I know quite a bit about asian markets, as I've read a lot on the subject and also followed courses at Princeton about it. "become a local" - what does that mean? I'm very open towards new cultures (plus I have an indian fiancee, so in that space I am semi-local), but don't speak a bit hindi or...
  3. C

    Asian Markets

    Hi All I heard the head of Morgan Stanleys asia desk in NY say that if you work in asia, you will become MD 5 years faster than in NY/London (more or less). But I was wondering: if you are working for a major investment bank lige MS or GS, what kind of jobs can you get in India/China...
  4. C

    Where can I find US Equity Sector data and Indicies

    The Fama&French database have sectoral indices going back to 1926 I think, for free!
  5. C

    Paul & Dominic's Guide to Quant Careers Version 2.0 Now Available

    Hmmm, I asked for the guide a while ago, so here we go again: Dominic, can I please have the guide? my email is stassen@c.dk, and I have sent you my CV
  6. C

    Financial Engineering Search Portal

    Hmm, I personally think there are too many buttons - e.g. I think a "futures" button is too much. A division between academic stuff, definition stuff (wiki and the like) and news stuff (bloomberg and the like) would be a good idea, but more than that makes it more complicated I think - a good...
  7. C

    Financial Engineering Search Portal

    I was given 20 minutes the other day to find out 1) what is a recovery lock, 2) how do you price it, 3) what are the potential gains/pitfalls and 4) for which investors would a structure like that make sense, 5) who are the market participants. When the time available is that short, being able...
  8. C

    Financial Engineering Search Portal

    it doesn't seem like you are capturing results from globalderivatives....
  9. C

    Financial Engineering Search Portal

    I would be very impressed if you could make it return something useful on the search "recovery lock"!!! I also tried "double no touch", and got nothing. in both cases a regular google search was better. I don't know if this was the kind of feedback you were looking for, I'm just shooting out...
  10. C

    Financial Engineering Search Portal

    I'm a finance guy, so I can say this without being arrogant. Many finance guys, especially older ones, do not posses a very "diversified knowledge portfolio". If you asked them what "Animal Farm" is about, the would probably say animals. So expecting them to see the alignment between Vega being...
  11. C

    Financial Engineering Search Portal

    I just searched for vega, and got hits from marrying in Vegas and Vega hedge fund....:sos:
  12. C

    quant lifestyle + quant strategist salary question

    A lot of people at my work go to the gym, so that is definately possible (i do it too). it's all a matter of preferences i guess
  13. C

    quant lifestyle + quant strategist salary question

    he shares with his girlfriend, helps a lot of course.
  14. C

    Top 7 Books to Read

    I think my list, just skip number 7 then, is good for your purpose - read the notes and the Bjork book, will give you a great intro to mathematical finance, and then you can see if you want to continue!
  15. C

    China's Impact

    using regular regressions on inflation is dangerous me thinks. hope you are carefull (guess you are)
  16. C

    Top 7 Books to Read

    Hehe, maybe, just think joshis book lacks some basic stuff! Regarding stefanicas book, i don't really see the purpose of it - the stuff in it should be well known for quants. might be good for people that have been out of school long, but besides that I don't see the points in these books...
  17. C

    Top 7 Books to Read

    What do you want the list for? the book for e.g. stephanica i wouldn't recommend if you have a proper maths background but it's good if you need training here - so what are you looking for?? I would say the following, assuming that the maths and stats background are good, and you want to get...
  18. C

    "MFE program profile evaluation" master thread

    yeah, 800 en GRE. your only obstacle may be the GPA, as your profile besides that is pretty nice
  19. C

    Monty Hall Problem

    otropablo, it is you that get it wrong - please read the other trade!
  20. C

    Monty Hall Problem

    Here we go again - this problem has just been discussed in another thread. It amazes me that people can put out statements with this incredible certainty when they are wrong......
  21. C

    quant lifestyle + quant strategist salary question

    i know a guy living on wall street for 2500 dollars a month, ok nice, not very big though
  22. C

    Best Programming Language for Finance

    More or less the same, yes. At least at your stage of learning! Excel and Word 2008 are actually really good - the versions before that were crappy, I agree, but they've increased stableness a lot!
  23. C

    Verbal 430 and Math 800 is enough for NYU and CMU MFE?

    I got accepted to Berkeley, and I had a score in the fifties. Not because I'm stupid, but as a foreigner, my vocabulary simply isn't big enough to get a good score on a test like this. I speak 7 languages well enough to be able to communicate with natives in their language, but I haven't read...
  24. C

    Verbal 430 and Math 800 is enough for NYU and CMU MFE?

    800 is the perfect score, and verbal counts NOTHIIIIIIING!
  25. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    One could say that the process is "a deterministic markov chain" - you only need the information about the prior guy to determine the "expectation"
  26. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    Try working on it more! Or at least try to check the other solution through!
  27. C

    online calculus-based probablity & statistics course

    Why don't you do all 4? They cover different topics! Will make you better! Second one sounds more applied (markovs etc), first one probably more difficult
  28. C

    Hull's book

    If you've understood Shreve vol2, Hull will give you absolutely nothing. It's a reaklly bad book for learning, only good for a QUICK overview. Spend your time more wisely!
  29. C

    Introduction and question about age

    8 hours is fantasy, but only 3 is a myth. somewhere in between
  30. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    You said they need to keep track of wether people got shot or not! and that's incorrect
  31. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    No, they only have to hear if the guy behind them calls BLACK or WHITE (if everybody stickts to the strategy of course), and be able to see all hats in front of them. No more, no less. That's the way it is! You keep getting it wrong, saying that they need to hear all other peoples replies (only...
  32. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    This is a different puzzle - they can see all hats (mine only see hats in front of them), they can answer whenever instead of one at a time! and so on. but very clever solution (although clever i don't think it's that advanced - his thesis must have been a little more deep than that :D)...
  33. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    Samiam, by the way, everybody does not have to hear the first mans reply - they only need to hear the guy behind them's answer! Think it through
  34. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    Can you show a link to that answer? 'Cause I'd say that it is impossible to save everybody (non-full rank!)
  35. C

    So what is it that you want to know? what a typical day is like - do you mean as a quant or as a...

    So what is it that you want to know? what a typical day is like - do you mean as a quant or as a structurer or...?
  36. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    samiam, you're not getting it right. all they have to do is say the even-uneven strategy as ilya describes. that's it, no other agreement is needed
  37. C

    It very much depends on which job you're going for - do you want to work as a quant, or more in...

    It very much depends on which job you're going for - do you want to work as a quant, or more in the technology department (sounds taggy but HUGE potential for a skilled worker there)?? Or something third?
  38. C

    MBA vs MFE for trading jobs

    Every trader I've talked to, across all asset classes agree - vol might have been higher some other times, but the markets were much much more predictable, and much easier to read. Everybody says something like "I've been here for 10 years, and never have i seen something like this". Of course...
  39. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    No you don't you have to hear what the guy behind you says, and be able to see in front of you. that's it!
  40. C

    MBA vs MFE for trading jobs

    an a bull market refers to size, not to speed - the 'bubble' (whatever that means) that was built up til 2007 was FAR greater than the one in 2000-20001. You seem to get lost in "the good old days";)
  41. C

    MBA vs MFE for trading jobs

    'scuse me, but you probably haven't got a real clue of what's going on. Speak to a trader with 10 years experience, he'll tell you that the current market is the craziest he's ever seen!
  42. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    If you want to swim with the big boys, don't jump into the small pool :) I agree, though!
  43. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    Ilya, your solution is right, but one actually doesn't have to remember everything that has been said priorly. Think it over again... Alain: because we are the best of course!
  44. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    maybe i was unclear - you can hear what the person behind you says. sorry for leaving that out. they are allowed to collaborate in the sense that before lining up, they can decide on a strategy for what each person should say. each person should only say "white" or "bklack" - they can't both...
  45. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    the question said the host opens the door which has no price behind it -that's not a source of confusion. also don't believe you're right. Fx the Allais paradox - to identical situations don't get treated equally, and that's because people are stupid! after you explain it to them, they get it...
  46. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    doug, now you've spoiled it - it was a game for samiam! :) it was obvious that you had understood it before as well!
  47. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    and if you don't believe it, play the games 2000 times - 1000 switch, 1000 don't switch. if the first one doesn't come out to somewhere between 60% and 73% winnings, and the second between 27% and 39%, i'll give you ten dollars, but if it DO happen to be in these intervals, you give me one...
  48. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    Three outcomes: you choose the right cup in the first go - if you switch, you will no matter what be wrong. you choose wrong cup nr1 - if you swith, you will no matter be right you choose wrong cup nr2 - if you swith, you will no matter be right so two outcomes you're right, one you're...
  49. C

    US financial engineering program for a French guy

    Hello First: it is possible to get in without work experience if you are VERY good. I didn't have fulltime exp, got some part time though, and got in - probably somewhere in between! You could go for the UK, in which there are masters that require no work exp. Fx Cambridge or Oxford or LSE...
  50. C

    Funny Quant story for Quant Apply @ Morgan Stanley

    The funniest part of it all is, that everyone in this thread except IlyaK86 who speak about the solution don't get it right! one should almost use this to earn money! If you always switch -> 2/3 probability If you never switch -> 1/3 probability If you randomize switch/no-switch -> p...
  51. C

    Which Stats class to take?

    I'd say go for the first class - but it ultimately depends on which other classes you have done. The first one seems in my eyes to be more useful in real life, whereas the other one is more academic good.
  52. C

    Please shed some light on the life of a structurer

    I ahve never heard of a middle/back office structurer. Might exist, i dont knoow, but never heard of it
  53. C

    Please shed some light on the life of a structurer

    what does FO mean? Regarding MBA, that's more for the sales-like structurer, not the quantitative one, they do almost the same as quants
  54. C

    MFE Rankings for 2008

    I agree - but it is still the professionals who are assessing us, and hiring us. And yes, northen euro unis are definately best for undergrad (not sure with grad though)
  55. C

    Please shed some light on the life of a structurer

    I can only tell about my experiences from my current employer, it might differ other places. structurers generally come up with trade ideas, and them try to convince sales people to pitch them to clients so they can get a share of the PnL. Sometimes they have to go with the salespeople to "be...
  56. C

    MFE Rankings for 2008

    I work at Goldman as well, and I think Princeton is best :-) No, as I said earlier, the difference is SMALL. The article in the other ranking thread got's it going. The only reason why baruch is not in top there is the prestige I think! and yes, that does matter - when i tell people here that i...
  57. C

    Yet another attempt at MFE ranking

    what's the average salary for a baruch graduate??
  58. C

    Shreve's Stochastic Calc. for Finance II

    It's perfectly natural not to pick up everything in one go - actually, most don't. There is a reason why this topic took so long to develop. Depending on your background, I would say it VERY hard to study this THOROUGHLY on your own! Often, one doesn't really get something unless another person...
  59. C

    MFE Rankings for 2008

    I agree that ranking is difficult. Fx, I got accepted into Columbias MFE, Princetons MFin, NYUs finmath, Oxfords MathCompFin, Cambridges MFin, and LSEs Econometrics programs. I was in doubt (wanted to go to us, and to a "famous" uni which is why I didn't apply to fx Baruch - know it's silly, but...
  60. C

    online calculus-based probablity & statistics course

    Nono, I was just wondering bout the difference between calc based and non-calc based - what I meant with "talking about it" was what you just referred to, as it is more or less based on reasoning instead of methodology. The difference between calc based and measure based was hammered into me...
  61. C

    Testing a model - MatLab??

    Okay, let me clarify I have data from 1926 (hence the mistake) to 2007. However, after speaking to one of the worlds leading experts in cointegration, I was advised only to use the period 1983 to 2007, as this is the only period in which the relations are somewhat constant. So let's say I have...
  62. C

    Testing a model - MatLab??

    Ups, 1986 not 1926 Yeah, but I would like to estimate the model based on the entire sample available (2008 not yet available), could I do that? Fx estimate the model, and then for each year use it to assess quality??
  63. C

    online calculus-based probablity & statistics course

    Forgive me for my poor english - what's the difference? I did probability, and then I did measuretheoretical probability. I guess the first thing I did was calculus based. What else is there? Just "talking" about probability??
  64. C

    stupid c+ question

    Hmm, doesn't work - it still spits it out in a stupid DOS window. Any other suggestions?
  65. C

    Testing a model - MatLab??

    Hey Guys I have a question that I hope you can help me with. I have made a model for stock data. More specificaly, I have made a cointegration model, which I have specified pretty well, looking at the relationship between sectoral stock indices from 1926 to 2007. I would then like to test...
  66. C

    Intro to finance

    Try these: <!--StartFragment --><!--StartFragment -->http://www.math.ku.dk/~rolf/ifnotes.pdf They are better than any notes I've seen!
  67. C

    about the strategy group at Goldman Sachs

    GS use a language called Slang (Securities LANGuage), which is their own language. Very easy to learn!
  68. C

    about the strategy group at Goldman Sachs

    I can tell you that strats=quants in most cases, but some strats, fx fundamental strats and sales strats, are not very quantitative and work more with the sales team. The quantitative strats can be divided into strats and core strats - strats sit on a desk, fx credit trading, and assists the...
  69. C

    Who actually uses econometrics?

    I know what you're saying - it's better to make an assumption than do nothing. But this particular problem can actually be solved - so why don't they do it? I actually went home, made an analysis of the issue and sent it to the department, and they really liked it! But there MUST be someone who...
  70. C

    Who actually uses econometrics?

    Thanks Alain - can you tell my why I don't see this in banks. Fx, the other day i read a research paper in my bank, where they tried to asses if oil was a good inflation hedge or not. They made a simple OLS regression on some data that was clearly nonstationary, and it almost made me sick - why...
  71. C

    Who actually uses econometrics?

    Hi Guys As the header sounds - who does that? I mean, in banks, quants do programming and modelling, structurers do a little econometrics but not much, and traders certainly don't. Who, except researchers, use that? And who do economic analysis? I know it might sound stupid, but I have never...
  72. C

    Net-difference range

    Hi - I have a small brain teaser for all of you Long in X different UK stocks, all on the FTSE 100 but you don't know which they are, and you don't know the weightings except that they are all together worth 100 mm. Short 100 mm FTSE100 futures (perfect ftse's). The tracking error of the...
  73. C

    Hi Yamh I actually don't have experience with FX futures (you interchange between future and...

    Hi Yamh I actually don't have experience with FX futures (you interchange between future and forward, are you aware of that?), so I don't think I can come with much help. Perhaps if you explain in more detail it is that you want to do precisely?
  74. C

    Financial C++

    Try joshi's text
  75. C

    stupid c+ question

    Hi I'm just trying to shake the dust of my c++ skills. I'm using visual c++, and I would like the output window to be at the bottom (where errors are also displayed) instead of being in a stupid dos-window that pops ud and down when the program starts/ends. I used to have it like that, but...
  76. C

    Help with probability books

    By the way - if you didn't allready know - you can find many prob. notes at econphd.net - the ones you mention here are theere
  77. C

    Help with probability books

    Thanks - that's exactly the kind of answer I was looking for. And yes, when I first saw measure theory I could see no use for it at all, but when I did my second course using it, it made more sense I think, and doing a third one should then - hopefully - make it even more clear! What about the...
  78. C

    Help with probability books

    bigbadwolf, thanks! - I have done measure theory, but it was in a european university, so it was an undergrad course. I therefore think it was at a level a little bit lower than american grad-courses introducing measure theory (although not much). Do you think that I will be able to follow the...
  79. C

    online splus & r programming?

    Alain, when you google something, you will quite often get some crap. Furthermore, as there are 10000000^10000 tutorials to S-Plus, Matlab, C++ etc out there, I too would try my luck in here to get a recommendation to the best material! But my mistake - I thought your comment was an "arrogant"...
  80. C

    Help with probability books

    Thanks Mihn and Bastian. Yes, I'm into FE. What about the level of the books? Are they suitable for me you think? The thing is, that I'm doing a master next year, and I have to do a course in probability. There are two courses to chose from, and I'm trying to asses which is the right for me...
  81. C

    online splus & r programming?

    You can take a look at econphd.net And yes, Alains comment was kinda "jerkish"! Comments like that are a sad reality of internet forums, having people come in with a bad attitude, commenting as if they were the chosen one!
  82. C

    Help with probability books

    What is the level of that book? I allready have a pretty large knowledge about probability. I have done introductory courses (courses introducing mean, variance etc) and intro. stat courses (testing, distributions etc). I have also done more advanced courses, with probability on a measure...
  83. C

    Help with probability books

    Hi guys I need to read some more probability, and maybe do a course or so in this. I need your help to select the book(s). I have the ones below to choose from. If anyone know one/more of the books, could you please indicate the level? These should be pretty introductory: E. Cinlar ...
  84. C

    MBA vs MFE for trading jobs

    Haha, that's excactly the same (although this guy put in the f word a couple of times as well). NY, what about you? Which desk are you at?
  85. C

    Are the "Physics Models" of Financial Markets WRONG?

    If you plan on doing intraday trading, then get like 3 or 4 years of experience before you risk your own **** - one gets greedy all out of a sudden. If you invest long term, go right ahead! If somewhere in the middle, I'd say you should probably do some reading first, experiment a little, and...
  86. C

    MBA vs MFE for trading jobs

    No, trading. You met a similar guy??
  87. C

    Are the "Physics Models" of Financial Markets WRONG?

    With your background, you shouldn't have problems getting a trading job. Regarding the understanding, how much maths have you done? Phds generally have developed an ability to sit down, read a book and UNDERSTAND it. If I were you, I'd try to read the two excellent books by Steven Shreve, and...
  88. C

    MBA vs MFE for trading jobs

    Sure. I have an economics background - my degree is however much more quantitative than american econ tends to be (i've done 1,5 year of calculus/linear algebra, 5 statistics courses etc). Besides, I did quite a lot of math courses, covering prob until the level of conditional probabilities on...
  89. C

    Are the "Physics Models" of Financial Markets WRONG?

    Chrisd: that is how it used to be - things are changing. The need for proper statistical analysis etc has become present in the mind of fund managers. Instead of just "guessing" as they did before. "peer group valuation" - come on guys, that's b...****! xoxqun: many succesfull traders are...
  90. C

    MBA vs MFE for trading jobs

    I work as a trader in a large inv. bank (probably THE bank - guess which...). I would definately say MFE. There are more MBAs at present, but that is only because the MFE is newer. As products become more complex, it is traders responsibility to know and understand the models, which is precisely...
  91. C

    Are the "Physics Models" of Financial Markets WRONG?

    TA alone is crap. But I must admit TA does have something to it. My point was more or less, that no trader relies on "physics models" alone when trey trade! And the way that article presented its points was even more hopeless - I mean, the fact that the market sometimes reacts positively to bad...
  92. C

    Are the "Physics Models" of Financial Markets WRONG?

    That one is spot on! I once worked in a private equity company (in the quantitative team), and we held a meeting for potential clients. I joined the meeting to take any technical questions. We had given them charts about our performance, and calculated different metrics. A guy from a...
  93. C

    Are the "Physics Models" of Financial Markets WRONG?

    I do know what a black swan is, and that is exactly what traders are in for. Whether we will ever get to a point where models are so advanced that they can predict the pricemovements I do not know. But as for now, the traders role is to 1) try to be one step ahead of the market and 2) know when...
  94. C

    Are the "Physics Models" of Financial Markets WRONG?

    To be honest, I think that article is crap, nothing more. It is clearly written by people having to take/retake introductory econ and finance classes. Just look at the way they interpret the first couple of graphs - idiots! Apologizes for my blunt language, but stuff like that just makes me mad...
  95. C

    Question on MS Visual C++

    try using the code doug posted, but without the "std::" and with a line after the include statement saying using namespace std; it shouldn't make much of a difference, but it should work! at least it does onmy ms visual c++
  96. C

    Quants and Trader?

    Hi I'm currently doing an internship in a major investment bank, and I'm looking to be either a structurer or a trader. With your background, a trader job doesn't seem out of reach, but you need to do an internship! Doing a MFE is not a bad idea either!
  97. C

    Help with degree evaluation for future in financial engineering or operations research

    Hi I'd say you need more probability theory, and also some more diff.eq. posture. Have you done any of this? What about programming (that is often needed too)
  98. C

    New Quantnet members say hi

    Hi I'm a new member. I have an econ/math background, am currently working at goldman sachs and will go to princetons MFin next year!
  99. C

    Summer in quantitative finance!

    I was thinking about doing a summer program in QF next year. I tumbled over this one: UFR 27 Is that any good do you think? Or do you know of others that could be better??
  100. C

    Is a degree in Applied and Computational Mathematical Sciences worth it?

    I'd say go for it - unless it means you have to start all over again! No matter what economics function you do, the maths/stats will aide you (I'm an econ myself who has done a lot of maths on the side). You will definately be better prepared for whatever position you might end up in, as you...
  101. C

    Optimal courses for quants!

    Hi Since my last thread died a slow dead, I'll try asking another more general question. I have read many threads about whether one should do physics or maths etc etc, but none were very specific. If one has the desire to become a quant, what courses should one do (perhaps divide into...
  102. C

    Princeton MFin Princeton MFin course selection

    Hi y'all - this is a somewhat long post, but hope you'll help me out anyways! I've been admitted to Pricenton's MFin program next year. I am going to do it in one year, so I need to work together a plan so I can get the most out of the program. If someone out there has done the program, please...
  103. C

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

    The level of mathematics is just a slight notch below Shreve II I guess. The main difference is, IMO, that the number of topics is lower, and the many Shreve topics on Itô, Girsanov etc. etc. is somewhat more condensed. Normally I like things to be mathematically concise and so, but in Shreve I...
  104. C

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

    What about adding Thomas Björks "Arbitrage Theory in Continuous Time" ??? It is IMO far better than Shreve and Hull (the level is somewhere in between I think). It was the book I learned introductory stochastic calculus from, and the insights it has given me has helped me througout my time in...
  105. C

    Hi. Here is my CV. I hope you'll send me the book to stassen@c.dk. Thank you. (it looks kinda...

    Hi. Here is my CV. I hope you'll send me the book to stassen@c.dk. Thank you. (it looks kinda ugly as the forum wouldn't accept my resume in standard version) Curriculum Vitae Educational Experience: 2008-2009: MFin Student at Princeton University Present: Graduate student in Economics...
  106. C

    Paul & Dominic's Guide to Quant Careers Version 2.0 Now Available

    Hi. I've sent you my resume. Could you please send me your book to stassen@c.dk? Thanks!
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