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http://en.wikipedia.org/wiki/Delta_One Will the real volatility stalker please stand up?

Robert: How did you get 1.5X? Thanks.

Lyosha: The graph shows total war cost around $3 trillion dollars. We are probably fine for now; I was talking about future entitlements and unfounded obligations (Medicare, Medicaid and Social Security). The present value of those unfunded obligations is an estimated $45.8 trillion...

<div class="content"><span class='print-link'></span><p>The attached liquidity analysis by Abel-Noser indicates that the US stock market has now become a concentrated pool in which just the top 99 stocks account for 50.09% of total domestic trading volume. In June, the top 20 stocks accounted...

The grass is greener on the other side. ;)

Issuers offer various coupon rates for investors with different objectives. Arbitrage will not be present if it's priced correctly with the zero-coupon rate. The difference in yields for same maturity bonds is attributed to the "coupon bias". Yields are merely a harmonic mean and are a rather...

What happened to One Laptop per Child (OLPC)?

Ceteris paribus, the higher a bond’s coupon rate, the higher its yield. That’s because each year the bond will pay a higher percentage of its face value as interest.

If you are purchasing a book from the master reading list or any financial engineering books, please consider supporting this forum by clicking one of the amazon.com links from quantnet.com.

Stay away from Joy! The word on the street is that he is quite weird as well. Buddy, stop hustling your couch. A hostel cost less than 50$ and you get a bed plus continental breakfast. A customer review of Joy's couch: "... Don't rest your head on the right side of the couch. It has a funny...

"To put it short, the main reason is my disagreement with the organized mathematical community... I don't like their decisions, I consider them unjust." Ain't no unjust honor.

Don't watch it. I just did and I regretted it. Nothing new here.

Very good stuff.

All I can say is that you are crazy! Standard & Poor's Indices Versus Active Funds Scorecard: Do you think you can outperform professional managers at Fidelity, PIMCO, or Vanguard consistenly? How about Jim Crammer at Mad Money? You should read more about these quantitative finance programs...

It makes sense. These shops give you 2 years to demonstrate that you can trade. If you are not profitable, you might get "asked" to work in research or other capacities afterwards. Also, if you decide that the career isn't right, you sure can walk out the door to another company. A Trader...

Negotiate what? The base? Haha. They'll probably tell you to get lost. You can ask the current traders how much bonus you can expect. Two years? That's a long time. I hope you are not required to contribute your own capital.

Your question is nonsensical. From one of the forum sponsors: QuantFinanceJobs.com Is it "popular"? It seems like it. Why? Cool. I guess I got my point across again. NOT!

Maybe I am not understanding your question correctly but I believe anything of that nature will add some value. The question is whether the investment is necessary. Since you are posting on this forum, I will say CFA/FRM is not required. In other words, you will be okay without them.

I'm sure there are companies that will want to hire someone of your qualification here. Come to the US of A. It will provide the riches plus codes that could be used to "manipulate markets in unfair ways". Just kidding. Your background is solid. It looks good. I'm sure you'll find a job.

ChengG, If you are not sure, then PhD is not for you. Just to name a few, PhDs, by definition, are trained professionals who have a proven record of reading and understanding highly technical papers and journals, conducting independent research, and coming up with and implementing new...

Hello ChengG (szguocheng), Since you don't know what you want to do, you want to do a PhD? Don't just settle for what the job market want from you or simply accept the popular consensus. You are still young (g, I feel old saying that), so go out there and discover your interest. My best...

My question is: Can you describe your "mistakes"? and What did you learn from them? If you can't, you will probably get in trouble very fast. Although a lot of beginners start in equities, most successful traders are in futures. Since you account is most likely under capitalized, FX can also...

You'll probably receive discretionary bonus. I don't want to paint this with a wide brush. You have to provide more information about the position. One thing for certain is that there isn't much space for salary negotiation. You might get a few K for relocation/bonus, etc.

Welcome to QuantNetwork, szguocheng! Please correct me if I misread your question but I think you want to know the value of a PhD degree in a "quantitative position". Because I'm sure you will agree that PhD>MS>BS. Or else we can engage in "education arbitrage". Just look at the leaders...

12-14 hours per day, 6 days per week, is normal for starters. Check out some example hours at CME: http://www.cmegroup.com/trading_hours/index.html If a market opens between 9:30-4:00, you should expect to show up before opening and leave later after closing. ;) Also, some shops/desks...

Can you provide some more details about the position? I believe Trader Assistant at some good shops/desks starts at 40-60K base plus bonus and benefits. If you are a Full Trader, sky is the limit, figuratively. You probably don't get a base and you pay for your own lunch. Yum! \\:D/

It's inspiring to see so many proactive freshmen and sophomores visiting this forum and having their doubts and questions cleared.

Although I hope one day the balance will tip the other way but I consume daily more resources, tangible or intangible, on this earth than I produce. I take more than I give. Your view is certainly admirable and appreciated. However, the word "REQUIRED" is too strong. Graduates should not be...

36 credits The new rule does not change the fact that students in the program have to complete 36 credits.

I hope you have a $25,000+ balance on your line. Increasing Signs Of Stress At Citi?

Site Lets Investors See and Copy Experts’ Trades The trouble with mutual funds is that investors can feel as though they have put their money in a black box. The 90 million Americans with money in funds know little about fees, what securities their money is invested in and who is in charge...

Andy: I don't think the word "Methodology" is big and flashy enough for some readers of this forum.

Excerpted from The Accelerated Job Search.

I agree. I guess I misunderstood the articles in The Guardian and BusinessWeek. I was merely pointing out that the author's (Calvin Trillin) note regarding the inventor/creator.

Shh! Hush, Alain! Do not give away (obvious) secrets to the less informed.

Anti-intellectual? This Op-Ed piece reads intoxicated. Junk material. "Lewis Ranieri, a college dropout, set out to be an Italian chef until asthma ruled out work in smoky kitchens. A part-time job in Salomon's mail room set him on the path to become the father of securitization."

I beg to differ with both charges. Finance is quantitative by definition* and the dissertation/research can be extremely mathematical. Contrary to your disparaging view, admissions to programs in social sciences and the arts are very competitive. ---------- Post added at 02:26 AM ----------...

It looks fine. It's an above average application; maybe one real analysis and stochastic course will complement your "profile". You can't do nothing about the past and you can't be concerned with someone's background. The Admissions Committees are essentially "Board of Managers". If you are...

I believe there is an informational page labelled "Methodology". Are you just lazy or have you abandoned your intellectual curiosity?

What's the difference between Absolute C++ and Problem Solving with C++? Thanks!

Federal Reserve needs to cut US Dollar in half over next 14 years

What interview questions did D.E. Shaw ask Larry Summers?

What strategy would you use to increase the Sharpe ratio and Alpha if you are only allowed to trade the 30 stocks in DJIA? Thanks.

I believe he is concerned about career placement. Courant Institute of Mathematical Sciences NYU

It's frustrating to work with [.doc]. The format and layout won't match my original output. Do you know any programs that nicely convert [.tex] or [.pdf] to [.doc]?

Is it true that the industry or HR generally prefer .doc over .pdf?

BYOB? HOLLA !!!

Do you want the answer in percentage?

The questions raised are not "do" but "can": CAN we perceive beauty? CAN we recognize talent?

Is this seminar suitable for most 1st or 2nd semester students in the program?

Hey Mike, If you have impressive work experiences in IBs, HFs, or the financial/banking industry, I say that will greatly offset any weaknesses in your application. I spoke to many Professors on the admissions committee from some of the top programs; since the quality of a program is primary...

Learn How To Trade How can I get better at trading in this environment? Since trading can be taught/learnt to a certain extent, what are some fundamental strategies/rules of engagement? Please share some relevant references. Thanks.

What's the ($dt$) then? It can not be the drift term in the SDE right? ($T_1$) and ($T_2$) are not random.

An interesting video YouTube - The Most Terrifying Video You'll Ever See

What's the drift of the ratio of two geometric Brownian motion? Thanks. ($(\frac{S_{T_{2}}}{S_{T_{1}}})$)

Never mind. I think I figured it out. I reread the start of the paper carefully and it says, "... the underlying asset return can be assumed to follow a lognormal random walk." The SDE should be: ($dS=\sigma SdW+[\log(d)-\log(r)]Sdt$) Thanks for your time Doug.

I suppose you meant d = 1 + 0. However, I went over the derivation again but I don't understand why is d and r in the log term and not outside of it?

Thanks again Andy. On the first page, how did d, one plus the payout rate, and r enter the log? The textbook risk neutral approach has them outside the log. What's the expression for S in terms of r and d?

Where can I download classical papers? Thanks.

What chapters of Professor Neftci's and Hull's book were covered in the course from previous semesters (2006 & 2007)? Is the syllabus posted on the www?

Thanks.

What are three professional forums/blogs in this field that you guys follow on a regular basis? Thanks.

Cool. Thanks.

Latest Posts/Threads The latest posts/threads only show the newest 15 posts. If I read QN only every other day I'd miss some new posts with lesser responses. I hope there is a folder that shows all the unread posts since my last visit. Thanks.

I.O.U.S.A.

I am interested in attending many of these seminars. What's the regular price that you pay for them? I saw another training course with Professor Wilmott and Professor Taleb in London for ~$2300 USD. I just started learning in this field so I was wondering what's the normal rate for students...

What are some factors? Thank you.

Is there any website for book reviews? I want an honest assessment and not some angry student's comments on amazon.com about his/her Professor.

Thanks for sharing the link and your experience Andy. It's unfortunate that my location can not afford me to waltz into the department tomorrow or sit in for a lecture. It seems many of you had personal contacts with the program as an applicant. Does Baruch have outreach events outside New York...

Instead of cold contacting current/former students, I was wondering if current/former students/applicants of Baruch MFE can share their experiences throughout the admission process. Also, how long did it take to receive your admission decision? How did your interview go with Dr. Stefanica...

I have been reading QN and about various FE programs and I feel Baruch is the ideal place for me. But why is the application deadline much later than most of the schools? Will this put a later application at an disadvantageous position? I'm not applying to Baruch late because I got rejected...