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Search results

  1. DanM

    NFL QB Tom Brady could have been huge on Wall Street

    He just posted his old resume from 2000 which he thought he would have to use because he was unsure of whether or not he would ever get drafted. I found it interesting that he had an internship at Merrill Lynch "researching stock and mutual fund reports." ;)
  2. DanM

    Derivatives Analyst

    So I have an interview for derivatives analyst at a company that provides independent OTC derivative and structured product valuation and risk management. Just wondering what kind of questions I could possibly be asked. Keep in mind this is for someone with an undergraduate degree. I'm...
  3. DanM

    Did the Community Reinvestment Act (CRA) Lead to Risky Lending?

    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172549 A new study by NBER released a few months ago. I remember that initially there were studies that concluded that CRA did not play a role in the crisis. This one seems to suggest otherwise. Thoughts?
  4. DanM

    Multinomial RNG

    Does anybody know of an algorithm for generating random numbers from a multinomial distribution? I would like to implement it in (preferably) C++. But Java would be fine as well.
  5. DanM

    Trading Strategist (phone interview)

    I have a phone interview coming up for the role of Trading Strategist with a quantitative fund. This is the description: • develop trading signals (alpha generation) • work on projects focused on improving execution and trading strategies • explore large data sets • investigate and...
  6. DanM

    Choice between Time Series courses

    I'm trying to decide between these two courses. Which one would be more beneficial for quantitative finance? Introduction to the Theory and Methods of Time Series Analysis A systematic presentation of many statistical techniques for the analysis of time series data. The core topics include...
  7. DanM

    Sampling Correlated Asset Paths

    I've seen some do this by performing Cholesky factorization on the correlation matrix and some by performing it in the covariance matrix. Which way is correct?
  8. DanM

    "LongShort Hedge Fund" Toronto

    Has anyone in the Toronto area heard of "LongShort Hedge Fund"? They called me for an interview on Tuesday, but cannot find any information about them on the web.
  9. DanM

    Real time options data

    I created an RTD Server in C# so that I can get real time data in Excel from yahoo finance. I know how to deal with stock data (just type in the ticker symbol for the stock - i.e. 'MSFT') however, it doesn't work when I do the same for options - MSFT110521C00017500 , for example. Anyone know...
  10. DanM

    Survival rates

    So I'm writing code (in C++) for calculating the joint probability of default between two entities using the Gaussian Copula method (not for school or work - just to improve my C++ skills and to gain a better understanding of default risk, etc). I've been successful in implementing the copula...
  11. DanM

    A 69% Capital Gains Tax Hike ...

    Pelosi's 5.4% income surtax would hit capital gains and dividends. Our job is to read bad legislation so you don't have to, and on that score we may demand combat pay for plowing our way through the House health-care bill that passed on Saturday. This thing has economic booby traps everywhere...
  12. DanM

    For fun: favorite UG math course

    Which course did you find most interesting/intellectually stimulating/fun/whatever criteria you use to determine your favorite undergraduate math course?
  13. DanM

    Interesting study

    A new study looks at the average LSAT scores of students with different undergraduate majors, sometimes grouping related fields together to gather a statistically significant sample. And the best scores were attained by students studying: Physics/Math (160.0) Economics (157.4)...
  14. DanM

    What's more useful ...

    In terms of MFE preparation: A course in Operations Research, or Numerical Methods?
  15. DanM

    Something I've been wondering about ...

    This may seem like a naive question - but why don't financial institutions have quants simply focus on developing the algorithms (for pricing derivatives for example) and have programmers implement them in C++ or whatever.
  16. DanM

    C++ Course

    Given that I need to significantly enhance my C++ skills between now and when I apply for MFE (I've only taken an intro course) I decided to take another C++ course next semester. Just wondering what some of you think of this, in terms of how well it would prepare me for MFE: OBJECT ORIENTED...
  17. DanM

    Applied Mathematics (MSc)

    I was wondering how beneficial an Applied Mathematics MSc would be for pursuing a career in QF. It's a 2 year, thesis-based/research-oriented program, where you have to complete 5 courses and participate regularly in graduate seminars. The courses I would be taking: Analysis and...
  18. DanM

    Individual Project

    So I have a "project course" coming up in 4th year, geared towards researching and applying mathematical/statistical knowledge to problems of current interest. Any suggestions on what topic I should focus on, given that my goal is to apply to MFE? What would look good on an MFE application?
  19. DanM

    Course: Computational Mathematics

    It seems like an interesting course. Does it seem like good preparation for MFE? I'm probably going to take it anyhow, I was just curious what some of you think. Computational Mathematics Modelling (discrete and continuous, deterministic and stochastic) and practical solutions to general...