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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...

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...

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...

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

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

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...

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...

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

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...

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...

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

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

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

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!

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

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...

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...

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

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

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......

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

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!

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...

800 is the perfect score, and verbal counts NOTHIIIIIIING!

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

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

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

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!

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

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

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...

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)...

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

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

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...?

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

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?

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...

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!

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";)

'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!

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

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!

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...

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...

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

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...

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...

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...

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...

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.

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

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

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)

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...

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...

what's the average salary for a baruch graduate??

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...

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...

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...

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...

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??

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??

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

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...

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

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

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...

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...

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...

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...

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...

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?

Try joshi's text

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...

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

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...

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...

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"...

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...

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!

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...

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 ...

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?

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...

No, trading. You met a similar guy??

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...

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...

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...

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...

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...

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...

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...

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...

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++

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!

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)

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!

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??

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...

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...

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...

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...

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...

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...

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