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Great interview, good job Andy :)

I have some but in french, I look for something in english, but these proposals come from France, so I fear there is no English material available yet ---------- Post added at 08:21 PM ---------- Previous post was at 08:12 PM ---------- This link is interesting. All the regulation measures...

As you know, there is a real concern about bonuses in Europe and especially in France. A Bonus / Malus system has even be proposed by French President. I consider that this debate is currently going too far, if we continue this way, there won't be anymore bonus in Europe in finance...

Anyone heard about this book ? An Introduction to Models for the Energy Markets An Introduction to Models for the Energy Market [9781906348229] - $145.00 : BooksonBiz.com

Just one advice : Don't choose a subject just because it is the current cool thing in finance. Things move fast in finance and it may become obsolete when you finish. Think to students who did their PhD on credit four years ago ...

I am currently reading this book "Come Into my Trading Room" from Alexander Elder. It is an interesting book on trading. Especially, it explains why succesful traders in firms, loose money when they begin to trade on their own.

I didn't look into the details but in theory you have to compute the corresponding log likelihood function (thanks to the density of your model), and then set its derivatives, toward each parameters, to zero to find expressions for the estimated parameters.

You can find a bunch of papers on liquidity here : The Quantitative Finance Library If you have some other interesting papers on this subject, do not hesitate to send them to me, and I will add them.

You have an implementation of the Heston Nandi model in VBA in this book : Option Pricing Models and Volatility ... - Google Livres You can see some piece of code and some explainations in this link. It can help you to start I think.

their cover rox lol

may be you can find what you look for in this paper : http://www.quant-press.com/articles/QuantitativeFinanceCollector.pdf Also look in this section, there are a lot of things about the heston model : The Quantitative Finance Library

I bet you are not a quant CFABLACKBELT ?

I did the DEA leaded by Nicole El Karoui this year. Times are tough but most of the class found an internship. Concerning employment, we will see in September, but things seem to improve in finance, so I stay confident.

I agree with Carl, if you know well C and want to move to C++, "Thinking in C++" is a very good book.

very interesting article, thanks vlad :)

back in business as usual ? ;)

When everybody begins to do the same thing, there is often a crisis ahead.

thanks for this link Daniel. I am currently testing some trading strategies. Do you have an example of a such use of boost ?

Does anyone know where I can find some papers about the application of BGM model to commodities (modelling each future with its own brownian) ?

You won't have difficulties to find candidates in these tough times I bet.

It seems he wanted to use for this code in his new job in Chicago, where he was about to be paid one million a year.

thanks for all these details Andy :)

I already have the first book on commodities from Helyette Geman : "Commodities And Commodity Derivatives: Modelling And Pricing For Agriculturals, Metals And Energy" However I am looking for a more quantitative one, still in the field of derivatives pricing. Any insights ?

Interest Rates can be an interesting field at this time.

As far I know yes, the basics are the same

May be he was about to be fired, and he took the source code of the trading system with him. One thing is weird, the guy seems smart given its recommendations and its cv, so how they caught him ?

When you model a time serie y(t) as an ARMA process for instance. It assumes that your serie is stationary. Hence, this assumption needs to be true to apply further results in this area. The stock price x(t) is basically not a stationary quantity, but the log-return y(t) =...

Basically, you can find a lot of answers to your questions in the eviews manual : http://www.collaboratory.ucr.edu/support/manuals/EViews_UsersGuide4.0.pdf All the theory behind each practical application is well explained. Concerning data, you always need to work with log returns as you...

Here are the reasons of the success of Goldman Sachs : - Strong business model - They hire the best - Strong alumni group. This may be interpreted as some form of insiding.

I don't think you lack mathematical maturity, but the problem is that most quants use a hammer to kill a little bug. My best advice is to train in doing some brainteasers in math, and always try to find the simplest solution you can.

How do you choose your value for alpha ? This is a crucial point if you want to obtain accurate prices.

Yesterday, I was discussing with a friend about goldman, and I was asking him why goldman was making so much money whereas most banks were still in bad shape. Basically, he told me the same thing that was in this report, they are completely "insided" in a lot of things.

If there is a such section "Pricing and Hedging", I think I can bring friends too to help answering questions.

A new section in the forum on Pricing and Hedging would be great

a lost of PhD in physics go in statistical arbitrage. Especially, your skills in signal processing could help you, I think.

Before the crisis, you could have easily get a job. Nowadays, things are much more complicated. Use the reading list from Andy, it will really help you. In which field do you want to work as a quant ? (statistical arbitrage, pricing, ... )

The move from quantitative research to trading will be more and more difficult

I think that you get this kind of curve because of the values of your calibrated parameters. What are the values of your parameters after the calibration routine ?

United Airlines doomed !! But now what will happen for the stock of the company ?

Let's say you want to apply online for a quant position in a bank. However, you don't have a PhD, just a MSc. Where should you apply ? For instance, on morgan stanley website, you have a quantitative finance section, but for most other banks you don't have a section like this one. You have...

About me: I am working in Murex as a quant. I will do the "DEA El karoui" next year. My aim is to work in new york as a quant.