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I have all the following books. I personally don't like Jorion's book. Its contents are out-of-dated and explainations is not very complete. For example, the book just states that the change of portfolio value is due to delta and gamma, but it doesn't state the exact relationships, ie. it is due...

I think Java is fine. The difference in speed of runtime is minmial. However, Java provides better library so development time could be less. However, programming in Java isn't what a quant usually do.

I think the article is a bit pessimistic and certinaly don't reflect the finance field. Phd student, don't worry! I don't think my quant phd graduates had any time in finding a good (and very good) job.

This only applies to engineering or other fields other than quantitative finance! The article mentions that a quant phd could earn sustainably more than without it.

Thanks, I wasn't expecting that the mean was assumed to be zero.

Hi, I am confused about the formula for calculating realized or historical volatility over a period of time. Paul Wilmott claims the formula in his book is: SQRT(252) * SQRT(AVERAGE_OF_LOG_RETURNS) But in some other sources, it involves the average variance from the mean, for example...

Interest Rate Models - Theory and Practice With Smile, Inflation and Credit

This is a waste of time. Consider a phd or just a single maths master.

I was asked how do you use Boost to model a Brownian motion.

Hi, I am asked to optimize an option pricing algorithm in Cuda GPU and vectorized the algorithms as much as possible. I am a novice and just wondering if anybody here knows any resources that I can read and study? In my first experiment, I tried to optimize a loop in random variable generation...

Try QuanLib, the C++ for JQuantLib. I think it doesn't matter which programming language you are choosing, as long as it is sufficient to you needs. Having a Java product pricing applet is nice and platform independent!

Yes, this is an assignment question. I wrote the program and tried to verify my results. I thought Brownian Motion have variance T-t, so the values at maturity must be in [1-1,1+1] range.

Hi, I am using Matlab to simulate a pure Wiener process. The initial value is 1, drift is 0, diffusion is 1, 100 timesteps, 1000 paths, from t = 0 to 1. My results is attached with this post. My graph clearly shows the expected value at T = 1 is 1, so this is good. Theoretical Wiener has...