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What portfolio performance attribution packages are available for purchase? I am looking for a simple and not expensive library. Let me know if you know some. Thank you.

Speaking of quant development, if someone is looking for a job, there is an opportunity available: https://www.quantnet.com/threads/developer-financial-services-software-company.12967/

I do the quantitative software development for financial institutions (Banks, Hedge Funds, other) and I lead a current project connected with high frequency applications for traders/fund managers/other. The client is expanding and is looking for a help. If interested, send a resume for...

If T, X_n are r.v. and A = {T >=n} is specified by X_n then is T a stopping time? How can this be proved?

Looks like Columbia is going to welcome new students with a 25% jump in tuition for 2013-2014.

If you are zero on a math/finance part then going to a school is a plus since there you might get help with the studied topics; some of them cannot be easily aced at home. Also, if you are a developer and you want to build the system then start working on it today - with the school you might end...

For a simple model you can do the following: take a year long treasury returns for a RF rate proxy. Next, use quantities to express holdings vs market value of positions. To compute position return, use the following formula: q * (Position Close Price - Position Open Price) * I, where I E(-1...

With this background the changes are close to 0. Enroll into the math program at a school where you would be interested in doing the MFE.

There is a non-zero probability of doing that - use the Bloomberg API in Excel if you have ISINs in Excel and if the whole work is to be done for Excel analysis. Otherwise, if it is for some expert system, use the Bloomberg API with C++/C#.

Your age is not important as a close to a 100% score on a quant math of a GRE exam, a lot of math, probability and statistics classes done which, along with some lump sum, will get you there.

I need the derivation, not the answer, I am getting some exponential integral.

Answer to original question: include <sqltypes.h> #include <sql.h> #include <sqlext.h> and the procedure call: SQLHANDLE sql_event; SQLHANDLE sql_connection; SQLHANDLE sql_statement; if(SQL_SUCCESS!=SQLAllocHandle(SQL_HANDLE_ENV, SQL_NULL_HANDLE, &sql_event)) goto...

What is the Laplace Transform function for the Euler Algorithm of the infinite series sum: [(-1)^t]/(3+t)^2?

What is the Laplace Transform of 1/(3 + x)^2

First of all, the first model is the extension of the Ornstein–Uhlenbeck process - a mean reverting process. With Heston you have a drifting process with some dynamics for a volatility. With the O-U model you have a reverting process that does not take a look at current values of s(t) while the...

I got 1 + 1/x for duration and then I calculated 2/x^2 for convexity. Thanks.

Can you prove it, (1+yield)/yield?

Would it be correct to calculate the convexity of a perpetual bond paying $1/year in a market with x as a yield for all maturities as 2/x^2?

In English: http://www.science20.com/science_20/blog/physics_proof_innocence_using_science_get_out_speeding_ticket-88956 http://gibiru.com/index.php/news/6092-the-proof-of-innocence-read-the-math-problem-that-got-one-man-out-of-a-traffic-ticket...

The actual reason why high CPR pools are not desired in the case mentioned above is the following: certain MBS investors will not get cash flows as they are holding certain tranches (interest-only, for example) that will get wiped out by the prepayment event. When rates are going down, certain...

Few interesting things: A person in a first link graduated in 1981 with only a BS degree from the MIT The majority of professionals at the IB-place where he lost a job have MA/MS+ at a minimum They earn with some number of years of experience (non-junior) 300k+/y If a person from a first link...

You probably have seen this, http://www.codeproject.com/Questions/328132/Native-Image-Generation

That price is for a scalable multi CPU solution. One example: http://www.microsoft.com/casestudies/Case_Study_Detail.aspx?casestudyid=4000003470 "Data Tier . MSC has some 22 terabytes of information stored on multiple instances of SQL Server across its global operations. The data tier has...

Usually the chances are non zero since the faculty will know you by courses you will complete; you can probably transfer completed credits later on toward your degree if you will get accepted. You can contact the department with these questions.

Was the MLE procedure used?

Just a few I would give right now would be the replication/mirroring functionality (Merge), Reporting Services that allow building reporting solutions in a matter of hours with no extra cost, business intelligence studio to do the DTS and many other tasks (and one can be a business manager, not...

Each of these DBs has its own niche and a market. Oracle, as per comparison doc, can cost 110k while MS SQL can be at around 20k for a comparable set of features. As number of CPUs in a system grows, so does the overall price; a 6-core system based on Oracle will cost 570k while MS will be at...

SQL Server can be used for warehouse, http://www.microsoft.com/sqlserver/en/us/solutions-technologies/data-warehousing/fast-track.aspx TerraServer is an example of a warehouse. Oracle can cost 5 times more of what MS product gives; the performance of both is comparable while the pricing is...

Sports - another area where some quant skills could be applied; somewhere interesting movie.

$100+k for Oracle VS <20% of that for MS product.

The SQLite locks a file making it unavailable for other users when it applies changes; if you will have some online users, it will become a bottleneck at one point in time. However, the SQLite can be a bit faster and simpler to deal with for a 1-user app.

Look further and go with SQL Server express, at least it won't be a shame to put it on a resume. Also, server-side processing will be locking your file with SQLite so there will be plenty of angry users waiting, waiting and waiting.

Solution for P(W(t) = a) is the same as above, replace b with a (by symmetry)

P(W(t) = b) = P(W(s) >= b for some 0<=s<=t) = 2*P(W(t)>=b) = 2*Integrate[exp[-x^2/(2*t*sigma^2)]/sqrt[2*pi*t*sigma^2]dx] from b to infinity, sigma^2 - BM variance, a < b, t > 0.

Its statistical part, yes, especially in a time-series analysis.

Expected hitting time, E[T] = ab.

Probability of W(t), W(0) = 0, hitting a before b is b/(a+b) and a/(a+b) is a probability of hitting b before a; a and b are positive values.

Would the probability in case 3 be 1? since by definition, T is a stopping time when the BM hits either a or b, hence W(T) is either a or b, given T, P(W(T) hits a or b) = 1.

R(t) is not a difference of BM values - it is W(t) which is valid for t<T

R(t) is defined as above and it is valid for t<T.

A true Quant position (http://www.markjoshi.com/downloads/advice.pdf) at minimum will require a quantitative background in Statistics, Mathematics and a Finance and some experience. The educational level will also matter - at least a MS/MA level in engineering...

Let's say the domain of Y is [1, 2]. Under what conditions, the right-hand side of equation above for Y=1 and Y=2 will be equal? Are there any specific probabilities for P(Y=1) and P(Y=2) that can make this happen? If yes, then why, otherwise, why not?

Asset time series reader and parser from the web using the curl.

W(t) - 1d Brownian Motion W(0) = 1 r: R T = min[t>0;W(t) = 0], Let: (R(t)%20=%20W_{t}^{T}) 1) Find a(R(t)) and b(R(t)) such that: (dR(t)%20=%20a(R(t))dt%20+%20b(R(t))dW(t)) 2) Find function F such that M(t) is a martingale: (M(t)%20=%20R(t)*e^{\int_{0}^{t}F(R(t))ds})

I did this in VS2k10 using the curl.

Values are going to depend on time, prevailing discount rates and on underlying dynamics. Trees can be used to model this and MC.

It will increase your chances of getting into good quant places since you will get the appropriate for this industry training. You can try applying today and see what happens.

http://www.extension.harvard.edu/open-learning-initiative Courses: Abstract Algebra : http://www.extension.harvard.edu/open-learning-initiative/abstract-algebra Bits - http://www.extension.harvard.edu/open-learning-initiative/bits-computer-science-course Sets, Counting, and Probability -...

Example? The company doing international transactions with goods and services like Colgate needs to reduce exposure to different risk factors that vary from currency volatility to future production costs.

Financial Engineering in ones hands is a set of tools, skills and knowledge that can be used in different ways. In most places they can be used to reduce risks and keep the company afloat.

There will be few ways how to solve this: if you are using Excel, you can use the built-in function, IRR. If you are using .net VBA, then http://msdn.microsoft.com/en-us/library/microsoft.visualbasic.financial.irr.aspx will help. Finally, if you are reinventing the wheel, then implementation of...

Here is why: http://en.wikipedia.org/wiki/Time_value_of_money All these formulae are for simple calculations since in real life one needs to account for interest rate risk, reinvestment risk, credit risk and other risks.

How about reduction to an initial value problem for an ODE and then solving a problem on a new domain using a Runge–Kutta type method?

Trapezoidal rule?

Both tools produce values conforming to the A.v=l.v equation; however, I need a way for Mathematica to produce the numerical answer not using symbolic notation with complex numbers, if possible. Also, does it produce normalized eigenvectors?

You should think of this ranking as of ranking of cars from different manufacturers; cars have different parameters and each potential owner is looking for specific set of characteristics that meet his or her needs. There is no single top car in all parameter categories - there is always a trade...

It appears that Matlab and Mathematica are calculating eigenvectors in their own way that results do not match; what methods do exist in Mathematica to control presentation of eigenvectors?

The circle has N points equally spaced where a transition from one point to one of the two adjacent ones is done with p = q = 1/2 - the symmetric random walk. Let there be ordered points r - 1, r, and r + 1 located somewhere on a circle with r E {1, ..., N}. What is the probability that the...

The AI has a huge advantage by determining dynamic trends on the fly and applying the learnt knowledge in trading; think about neural networks or Trees. FYI, Renaissance Technologies and Rebellion are using AI heavily making profitable trades.

Life is not easy when it comes to performance. Every case is different.

as opposed to pre-compiled SPs... with a nice execution plan ready...

LINQ to SQL is a performance killer.

The other options are the Money Market Hedge and the currency options. A currency futures hedge will result in hedge errors when rolling contracts.

Bond Markets, Analysis, and Strategies

http://www.hourlycareers.com/resources/education/the-value-of-your-gpa/

Artificial Intelligence: A Modern Approach

It has what one would be doing for the next year-two or more in the MFE program and it is a pre-requisite in some programs. It has both the theory and financial applications. The Shreve's book is a good one too but it might not be the easiest one to start with; however, the knowledge of...

Do not forget about the Linear Algebra - gilbert Strang's book is a good one. http://www.amazon.com/Introduction-Linear-Algebra-Fourth-Gilbert/dp/0980232716/ref=pd_bxgy_b_img_a

The following one is considered to be a pre-mfe book: http://www.quantnet.com/forum/threads/second-edition-a-primer-for-the-mathematics-of-financial-engineering.6079/ If you can do problems then there is a chance you can do well in a program.

C, C++, C++.net, CUDA, VB, VB Script, VB.net, C# (v1-4), J#, Java, Java Script, SQL, T-SQL, PL-SQL, XQuery, XPath, XML, XSLT, HTML, XHTML, DHTML, CSS. MS .net Framework (v1-4.0) including ASP, ASP.NET; J2EE, J2SE with JSP, PHP. RDBMS: SQL Server 7.0/2k/2k5/2k8, Oracle 9i/10g/11g, MySql, Access...

I need the final result to compare answers.

Just to confirm calculations, what would be the density function for a Euro Call/Put in the following case: Thanks

It might not be the easiest one but it is good.

SLI adds more horse power with additional GPUs but the app needs to be written to utilize them. The current most powerful single-core GPU from NVIDIA has 512 internals cores and it is better(*) than multiple of it on different cards.

:-), from the source you mentioned...

If everyone is curious to see the internals then the best explanation would be in the book of Professor Dan Stefanica on page 260, edition 1. Implementation of the investment engine - under 100 lines of code, the most crucial part is the return predictor - lines of code 1 to infinity.

So, it appears that the data has the following headers: lTid cDealable CurrencyPair RateDateTime RateBid RateAsk lTid - is some sort of a pk D - stands for dealable

It is not obvious (you are not counted); one can define anything in D.

First of all, look at the specs document to be 100 % sure. The first column looks like an ID while the last columns represent bid and ask quotes.

All RDMS have a free/startup version including ORACLE. The performance of the app heavily depends on a qualification of a programmer. A current fully loaded Enterprise MSSQL with all tools and a CPU license retails at around 25k while a similar version of ORACLE is at around 125K. This makes...

There will be like that: VS_VERSION E (2011, infinity)

http://www.microsoft.com/express/Downloads/#2010-Visual-CPP

IE 9.0 is RTM since 03-14-2011

Start from here: SQL Server Books Online There are plenty of samples and abundance of materials. It should be a complete source ;-)

Skiing Menu: http://digital.colorgraphicpress.com/publication.aspx?pid=192&pkey=rxkqogpby&pageid=2 I suggest no I-pods when skiing; it is dangerous. They also have a new lift.

investment would be the appropriate keyword.

Risk Latte - Derivatives, Binomial Trees vs. Monte Carlo Simulation-Which one is better?

Look at what a WPF has to offer. It is rich in components and it is used in majority of Hedge Funds. It provides fast rendering using DirectX which in turn uses the GPU to speed up things.

The extension methods should be used as a last resort when you have to.

My life as a quant book has one strategy...

Go with abstract classes and virtual methods implementing common functionality on a low class hierarchy level and adding something more specific in derived classes. The class hierarchy can be built based on your classification techniques.

This is the initial/payoff function and is not a BC, really. You need 2 numerical boundary conditions to make the problem solvable: . when S = 0 (near field) . when S = Smax (far field) I posted an example elsewhere for your same question. Domain truncation can be estimated...

What might be good future return predictors for a portfolio of stocks?

I wish everyone all the best in a new most promising 2011 year. Let it be a year when all your wishes will come true. For some it might mean catching the alpha, getting projects done, getting into the school of your choice, passing exams, graduating from a school of your choice, getting a job or...

It all depends on what you are going to do with function parameters. If the logic is the same then go with a double and then cast a variable before passing it into the function. Do not duplicate the logic. Remember, System.Object is the king.

The only way to become and stay competitive as a software developer is to learn new technologies and frameworks; it is a continuous self-guided process.

Still the OLS is superior to the MLE as the latter one gives the same estimated parameters as the OLS does but at a cost of a greater variance. You might want to use a method with smaller variance.

I would suggest gym

...,provided you got an admission. I think there will be a trade-off between performance and the program completion time. Speaking from xp, the Baruch Program can be done in 2 years or less if you will put more effort. The Program features flexible curriculum throughout the year, convenient...

More programming in your case definitely helps. I doubt that Stochastic or Monte Carlo Simulations classes count as programming; however, they are very helpful as prerequisites for a MFE program.

Look at your future program requirements and plan accordingly.

Review logs (Event Viewer) on a server/pc; it will give you more details. If you are trying to run the app in a separate process then you might face a COM local activation permission issues (user rights). Review these samples: Excel Charts in C# Applications - CodeProject Walkthrough...

Looks like you have an issue with COM... You might want to check this: COMException 0x80010105 when retrieving participant event data - Forums http://www.eggheadcafe.com/community/aspnet/7/10045059/exception-from-hresult-0x80010105-rpceserverfault.aspx

Hi, you may want to take a look at the Black–Derman–Toy model: http://savage.wharton.upenn.edu/FNCE-934/syllabus/papers/Black_Derman_Toy_FAJ_90.pdf http://www.seasholes.com/files/Class_06_Klose_Yuan_2003_WP.pdf

Amazon.com: The Volatility Surface: A Practitioner by Jim Gatheral and Lecture Notes and Modeling the Volatility Smile by Emanuel Derman and IMPLIED VOLATILITY SURFACES AND OPTION PRICES

Multinational Financial Management 9th edition Topics of a particular interest: Purchasing Power Parity Fisher Effect International Fisher Effect Interest Rate Parity Forward Rates as unbiased estimators of future spot rates

I took part in this movie; it is promising to be very interesting.

The solution depends on the task you are trying to accomplish; without these details there is no ultimate magic bullet. Unless required so, you might not want to do all logic on a database level and adding it using SQL CLR or through Transact SQL and SQL objects. However, it is good idea to...

or both options

This will give you both - the theory and practical application: SQL Videos: The Official Microsoft ASP.NET Site Reading books won't help as much as doing something real for your purpose.

It was a decade ago... however, the rules are not the same from country to country.

This is not true; I got admitted into the top Engineering school, the Electrical Power Engineering department and I studied Economics and Finance at the Business School.

Be like an American Option ;-)

Is there a covariance data in a free access for different assets: FX, FI, Equities and so on?

This is reality... Masters in Financial Engineering (MFE) - Baruch College

Maybe switching program/transferring to Baruch MFE will do the trick ;-) the admission is in progress... I believe you would learn a quant-must-have-skills including design and a hardcore C++ programming of financial models and derivatives... so writing a multithreaded pricing model for a...

Was it downgraded in light of recent events?

I can give you an idea about the course in general which might be different at CU. I took this course at Baruch Honors which was taught by CU professor and it was about scheduling jobs, optimizations of different activities... there was an interesting one with a task of placing a printer in the...

I remember I read a posting on wall in Math department at Baruch College; It was an article from a Wall Street Journal discussing preference of Wall Street employers. 92/100 were preferring if an applicant had a real degree vs one done online...

or harms - Raj Rajaratnam and "The edge"

Run it for a month with developer's tools; recommend

I will re-write my LU Matrix decomposition with row pivoting and Successive Overrelaxation algorithms for GTX 295... curious about performance results