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1) Take the log and transform it to a regular old brownian motion 2) Apply the Feynman-Kac formula 3) ??? 4) Profit!

Anybody asking specifically for Unix skills probably wants you to be comfortable with: sed, awk, grep etc. bash/csh scripting the whole standard *nix directory structure, installers, makefiles etc Playing around for a couple of hours with a Linux box won't cut it if they're going to ask you...

Agreed with GoIllini on the benefits and the limitations of financial innovation. Emphasis must be placed on the playoff between diminishing returns and the secular growth of specialization/complexity/scale/integration of the global economy.

The "study" cited in the article is a joke from a joke think tank. First off, in order to assess the "social value" of the work of bankers, they lay the entire cost (output gap, I'm guessing) of the current/recent recession at the feet of bankers. Because, of course, recessions wouldn't occur...

Your question simply doesn't make any sense. An "expectation" is ONLY defined under some probability measure. If you want the expectation of the number of shares under P then use P. If you want it under Q then use Q. If you want it under some third measure R which you've decided is appropriate...

No, you just got through talking about collateral. I'm not talking about collateral. I'm talking about about offsetting positions. Counterparty risk is limited to the positive value is the SUM TOTAL OF CONTRACTS WITH THAT COUNTERPARTY. It's not just the sum of positive valued contracts. The...

I don't mean the one which tells you assets, liabilities and broken up by class. I mean the master list of every single position held with every single counterparty. I don't know that Goldman would have remained solvent, but I also don't think it's obvious they would have been driven into the...

You do realize that if a counterparty goes bankrupt and cannot pay its debts to Goldman then Goldman doesn't have to pay its debts to the counterparty, right? You can't simply look at liability ratio and assume that all of the creditors were different than all of the debtors. I don't know...

How did GS have 10 bill in counterparty risk with AIG? As far as the assets involved in the Maiden Lane III transaction, they had 1.2 bill in counterparty risk with AIG (according to Goldman's calculations; according to AIG's calculations there was no counterparty risk because they'd provided...

Excel's default RNG is terrible. If you're limiting to a few thousand (?) iterations then it's probably okay. I believe there are macros available which will give you a less retarded RNG, but in general Excel is not built to do MC. I suggest using MatLab or C/C++ for any serious MC work.

I hope you're kidding.

Cholesky decomposition - Wikipedia, the free encyclopedia

The key point behind a statement of purpose is to ensure that the students they receive are not only academically qualified, but also motivated. Tell an anecdote about how you got interested in mathematical finance, explain what reading you've done on the subject, and tell them why you think...

Differentiation under the integral sign - Wikipedia, the free encyclopedia Using their notation, x = B, t = V, f(B,V) = (1.5V-B)p(V), a(B) = 0, b(B) = B Applying the chain rule formula + FTC (they give the answer in the above link) (d(E(P))/dB = (1.5B-B)p(B) - \int_{0}^{B}p(V)dV) I suggest...

Algebra 3 (group theory)

The mathematical way to do this is to write down the expected profit P from a bid B, given a probability density function p(V) of the initial "true value" of the firm V (E(P) = \int_{0}^{B} (1.5V - B)p(V) dV) Viewing this expectation as a function of B, we can see that the maximum must be...

From initial phone screen to job offer was less than 2 weeks. Expect at least one round of phone screens and at least one day of on-site interviews. The more they want to hire you the faster the whole process will go.

Luckily I've already accepted a position (may or may not be with MS; I'm maintaining anonymity). However, I'm not going to pass out knowledge of specific interview questions, especially not ones currently being used in recruiting. There was only one finance one, 2 or 3 probability ones and 1...

Well, there's the standard connections between diffusion equations etc. Then, there are the numerical techniques I actually used in my research which are used in derivatives pricing. By the way, I'm not trying to BS. The only people working in the group are physics & math PhDs

I am talking about the cover letter for OPT application. As I understand the process, I need to send a letter with my application describing the type of work I will seek (well, since I already have an offer, I no longer have to seek it, of course). The work needs to be "directly related" to my...

Well, I was also going to provide specific examples of what skills I used in my research that are also used in financial modeling (certain numerical and analytic methods; I'm sure you can make a long list of those in your mind, if you any knowledge of the two subjects and how they overlap) Have...

I went through that exact interview a week or two ago. The person speaking with you will be a human resources drone. They will have a list of ~5 problems to read you, word-for-word from a piece of paper. They will also have a list of answers to those questions, and a description of the method...

I'm a graduate student in physics getting my PhD in 2.5 months or so from a US institution. I've received an offer (at associate level) from a major US firm (the position is in NYC) and they are completely aware of my visa status (F-1) I think they would rather have me go through OPT than go...