Ultimately yes. I have already constructed the dependence between 2 stock payoffs using copula but Im not sure how to calculate the standard deviation. That's where Im stuck at. I also need to choose the best weights to invest in each stock.
Thanks
Hello all,
I need help.
Im writing a diploma research and Im stuck at one point. So the story is as follows:
I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and...
Not math focused book right? I already started reading what you recommended previously. It also seems very good since it explains the constructs of C++ in math language. Good one. Thanks
It depends. You cannot derive the exact formula guiding you to select the n. Its depended on the scale of the function. There will be need to manually choose n for each function.
Completely agree. I have defined some simulations algorithms in C++ and its much more effective in the same manner as Willmot uses and much faster in the same method construction. But you can easily translate the VBA code into the C++ code. The methodology is the same, just the syntax is different.
Thank you guys for your attention. I already ordered the book you recommended Tsotne. I'll try to follow that book and take a look at "Absolute C++/Problem Solving with C++ by Walter Savitch" also(Its seems very big in size, i'm currently downloading) As I read the description of the C++ for...
Hello! I need to study C++ from the scratch and I need your advice which is the best book for quants. I want to study C++ from the mathematical point of view. So what do you think? Which book would you recommend?
Thanks you
Thank you Tsotne. I need to define the MMult (matrix multiplication) method in the same manner, now thinking of the algorithm. Any ideas? I have already taken your advice into account to cast them explicitly from the caller's scope
Why do recruiters ever prefer C++ over C#? As I read most of job requirements in this field C++ is being required in the vast majority of these cases. Can I replace C++ by knowing C#? Or it cannot be altered. Actually what I'm asking is if I can send the application to a job requiring C++ when I...
Actually there are several reasons to update the book every year even if it doesn't contain significant improvement:
1) To keep up with the sales rate in order to maintain reputation and popularity.
2) To increase the revenue by charging higher price even if the book is basically the same as...
This is exactly what Ive been thinking about over the recent days. I started creating new mathematical libraries and not everything is perfect at this point. I just know that ill modify the code when I learn new ways to deal with the details involved. Actually I never fear what other programmers...
That's why I asked this question. I think these books are just the replications of the previous editions. Marketing strategy : to publish new books every year or two. How can an investments book be much different from the previous one. Its not a "Harry Potter" book to invent a new tale or some...
Hello!
I need your opinions about the "Investments" books of Bodie-Kane-Marcus. At university I have studied "Investments 7th edition" and it was really a great book. And i wonder if something is improved significantly in 8th edition and if so what?. As I saw there are more talks about the...
Look I have 2 or 3 parameters(see the code below) and I want to make sure that Im protected against all the incoming data types (int, long,double) So I have defined a method via double types. What should I do now? Provide the same method with all the combinations of data types??? Cast them to...
Hello everybody!
Please explain me one issue in C#
If i have a method that takes 2 parameters X and Y and both can be either int type or double type at the same time or either int and either double.
Do I have to define the method in all the combination to get a full protection that the...
Hello everybody!
Could anyone possibly explain the main difference between and .NET 4 and .NET 3.5. What important features is there added and its advantages over .NET 3.5. From the mathematical point of view would be ok.
Thanks
If we consider u have already obtained a M.S in applied math and combined it with programming skills(preferably with degrees earned) then the quant career is made for you. At this point u have a programming experience. Add financial fields to your knowledge and then ull find yourself where to fit.
Hello anyone! Please i need an urgent help and any response from u will be ok even if unuseful.. Thanks in advance
Look i cannot divide 2 BigInteger variables by each other to get a floating point number(float). When i cast it still gives me either 0.0000 or integer number. What should i do...
Julian Assange is kinda oppressed from the point of Facebook success. All in all, we have 2 choices: 1) To admire a person who has a lot of influence and connection in IT society and can tackle things around easily and 2) To honor man who came up with an idea to invent something revolutionary...
Hello!
I need some help. As we know binomial distribution is nothing more than several times repeated bernulli random experiment. Bernulli random experiment has 2 outcomes: 0 and 1. So X = 0; 1. In case of Binomial model we have several Xs. Xi = X1 + X2 + ... +Xn. And its expectation and...
Hello Friends! I need urgent help. Got a midterm exam this evening.
So the problem is:
Assume that deltaS/S has normal distribution with mean of zero and variance sigma^2. Calculate variance of random variable (deltaS/S)^2.
Thank you very much
Hello!
I'm interested what exactly the job of a trader is. As I know he/she just executes orders. So why does he/she need to make prediction about the market???
Thanks
And does US Govt support such visas???? Is the student completing the course (BBA or MBA, MFE, etc) in US able to stay there to seek a job opportunity? Thanks Andy
I would send you a family of distributions u might find useful if u have skype or yahoo or mail where i can send. By the way, when evaluating financial data that can logically be thought of as exposed to large tails be careful in using modified logistic distribution for continuous X-s. ;) Tails...
U can make the normal distribution tails thinner if you want...and add skewness and kurtosis as desired(of course by taking certain restrictions into consideration). You make median of the data more or less in value (by adding it) than mean creating a positive or negative skewness. If you want...
Thank you very much Daniel. Actually Im a C# user, could you recommend something similar for C# (i mean the PDF). Focused on mathematical programming.
Thanks 1000000 times
Hello!
I wonder which is the best algorithms to find the max-min or root(s) of a function... I have developed a code which passes through the all points of the function in a very big range and chooses if the value is max, min or equal to 0. So it takes very long time to get the value. What...
Hello everyone!
I have a question regarding the choice between the Principal Component Analysis and Factor Model methods. PCA's main focus is the diagonal terms in covariance matrix and FA model concentrates on off-diagonal terms. Everything in calculation of both model is clear and...
I dont think the question is asked correctly. There is no area in C++ concentrating on Risk calculation. U have to know the C++ language to calculate anything u want. It would be easier to tell u which areas u dont have to concentrate for example ( graphic design, web applications, etc) But i...
I have the same problem, Im good at more advanced math but not at standardized tests. I think your main problem(as mine) is that you are concentrated in technical math, meaning that you can conduct complex mathematical calculations but cannot focus on simple problem or cannot mobilize your...
Many senior quant position can be satisfied with MBA finance, stat, physics, math or related fields and 7-10 years of experience. But most of the time (about 95% of senior quant jobs) require a PhD degree
I don't think that an elementary book will help you become a good quant. Quants deal with complex mathematics and invent their own models. I would advice a Barnet/Ziegler/Byleen business Calculus. It is very helpful for starters
Well then I think that you should before improve your math skills. If you go on searching for as you said "simpler financial program" then it makes you just have fun again not concerned with professional accomplishment. The reason why I give you this advice is that there are some kind of...
Aha, now that's clear. The best way would be to have studied the subjects you want to implement and C++ itself simultaneously but that's not a big problem. Now from my point of view the best advice I can give you is to get a financial C++ books and they will help you hone your talent. What I...
Have you already studied derivatives, VAR or investment theories? If not then you can take these subjects and study carefully. You will encounter a lot of mathematical problems to be built in programming environment. And as for calculus, you can expand your work through many well known...
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