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What's a WSEA? And why cant I post this short question??????

Does it make money though?

Happy Birthday Alain!!!

Not this Saturday but next one I will be there for sure. 12pm is great. I am assuming you're the one with the key?

Thanks guys. I really appreciate the wishes.

Or without female companionship :)

Happy Birthday Vadim!! Wish you lots of health, wealth and happiness!!!!

Happy Birthday Billy!! Looks like you've had a late nite :)

It was really sad to hear about Prof. Neftci's passing. He was a wonderful professor full of life and character. It was amazing how he could convey complex ideas in a clear and understandable way. Rest in Peace professor.

Happy Birthday Mose!!!

Jimmy!! Happy Birthday man!!!

Sort of. Everything in CDS right now is moving towards exchange, so it will not be as much fun anymore :)

Happy Birthday to our dear friend and quantnet guru!!!

Happy Birthday!!!!

RussiaToday, hmm. I just watch Russian news in Russian(no point in waiting for the person to translate from Russian into English and me having to translate back what he/she is actually trying to say). There are at least 3(to my knowledge anyways) Russian-speaking channels in US that are...

Good luck guys!!! Bring home the Canadian Bacon :)

Great article. I like reading almost anything Michael Lewis writes. If finance is dead you can always count on statistics to be in demand even in places you might not have initially suspected.

Happy Birthday Eugene!!!

Great job Satnam, keep up the good work

I think the idea is to always buy talent cheaply either foreign H1B or US citizen. And I do mean talent. So far we dont know what will happen so we cannot really do anything. But this country was built on immigrants and I feel it will continue this tradition.

This is not a good idea, there is no good way to short bonds other than through CDS. In theory people should also try and replicate the bond via CDS so that you have investors who need to do both and have a more liquid market.

That was my point, its role will not be reduced, it will be enhanced. Without finance you cannot do most of the things we do. Like I said new theories/models will be proposed and we will use them just like we have been using other ones. Your argument is quite plausible but history repeats...

You can get around the financing by working full time and going to school part time. I did this as an undergrad. These days co's are more strict i.e. they'll pay only for MBA's etc. and then you have to stay for some specified time after you graduate. You should always go for value. Not...

The question of overpaid/underpaid for foreigners is subjective anyway. Employers will always pay the least amount possible foreign workers or not. You have to factor in costs of sponsoring for visa etc. As for foreign sponsored VP's I dont know of any.

finance is not dead. We will discover new products and move forward.

I'm working on Risk so no SuperBowl for me.

Doug is right. You want to be employed after you graduate, see if you can figure out/find out employment statistics of each program. I am not familiar with either so I cannot state anything more meaningful than this

Depends on school requirements, no?

Well CS would be creative if they gave their employees the luxury coffins as a bonus :)

As someone from the motherland, I cannot believe you guys posted this but since there's no other news out there why not. I dont like these types of predictions because they are too specific. The article quotes as proof someone who said the Soviet Union would collapse quite a vague proof. Moral...

Happy Birthday Chris! Best wishes and happy holidays.

Happy Birthday!! Many happy returns on the day

Happy Birthday Maggie!!! where are you? :)

Hey Bob, Happy Birthday!!! All the best!! Mike

Belated Happy Birthday!!! Best wishes!!!

Nothing right now, something eventually. The only stock market up YTD is Tunisia. These micro-markets(I forgot what the actual term is super-emerging/developing) are the future. And btw this is not the end of derivatives. 1) Know what you're buying/selling 2) know what the risks are (back to...

Well, these days everyone is trading derivatives so to do that properly you need some quantitative skills. Some derivative traders are former bond traders(you see that in credit derivatives) but it seems like its going away. MBA's(not from great schools i.e. Ivy League) dont offer much of a...

Alain Happy Birthday and best wishes!!!!

I think I'm a good example of what the quant program can do for you(even if you havent finished it). I started working when I was 18(went to school part-time and graduated in 4yrs). After a few years out of undergrad I began to feel a void i.e. I felt I was underpaid. In 2006 I started Baruch...

Knowledge about large amount of Probability HW also makes people thirsty :)

If I remember correctly the service at Hairy Monk sucks but maybe I'm thinking of a different place. Fitzgerald's is too small

Any day works, but I miss Andy so September 20th it is

Me too. Since I have class on Thurs this week I will definitely participate

Not index, single-name CDS. For something like Republic of Kazakhstan

Does anyone know what the quoting convention is for Emerging Markets CDS spreads? They go off of a monthly roll(IMM dates) and it's either quarterly or semi-annually. MarkIt is semi-annual but what about "the market"

Not for nothing, but what if someone from Goldman's Strategy group sees this post, wont your friend seem a little(insert adjective here). I'm not saying the question shouldn't be asked(but agree with Dmytro it should be asked before). I'm just not sure I would ask this question in a public...

Thank you very much all. Vladimir that was really cool

Say you're selling protection on CDX IG9, 30-100 tranche. When the index rolls every quarter(names go in and out) you're no longer left with the original names. What about the tranche? It seems like found money selling protection on IG. Any thoughts?

Congratulations Jake and Sarah !!!!!=D>=D>=D>

Naw Dan, Woody was born again? Happy B-Day Woody!! Hasta Magnana

Not really, they got caught controlling the damage

:) dont know but there is a search button and I dont see mkt data when I search

I have access I dont know where to find it. I have access to some dealers including Lehman. Does anyone know where I can find CDS single-name spreads there?

I think thats correct but I havent looked at these in a a long time. WAR, are you looking at agencies?

Happy Birthday Greg!!:birthday::birthday::birthday::birthday:

Does anyone use BondHub? How can I view Lehman's CDS spreads for indexes/single-names in BondHub/Securities hub?

CMP/SUP tranches are usually ones highly effected by prepayments. There's no seniority/sub as best I can tell. What do you mean by WAR? I have some Fabozzi books you can borrow.

Vlad, happy b-day!! Enjoy today and everyday :smt113:smt113:smt113

Thanks Andy. MarkIt can be accessed online. I'm trying to get away from manipulating the data we get. To me it speaks of a structural flaw in current models everyone is using

MarkIt and single name(doesnt affect Indices since you use flat spread there)

Hi, Does anyone deal with credit curves extensively? I'm trying to get around the problem of having a spike in the credit curve Lets assume the below is the curve I'm dealing with, though the problem occurs most often in 6M 1Y. 6M 100 1Y 120 2Y 125 3Y 110 4Y 130 5Y 135 7Y 150 10Y 160 15Y...

he mentioned something about that place we went to after you guys had the probability final(same as what Maggie mentioned?)

Great article. I particularly like the comments on models

Thanks Andy, I tried before but dont u have to subscribe?

Does anyone have the following paper? Berrahoui, M 2004 Pricing CMS spread options and digital CMS spread options with a smile. Wilmott magazine May 2004 63-69 If you do can you email to me? miketkach@gmail.com

Your statement is unclear. Not sure if you were saying something similar, but My opinion is nothing changes(old products become more regulated, new products come out to the benefit of fin engineers who will create/price/trade them) Welcome to the brave new old world

HY10 didnt roll yet they're doing it differently this time around

These are the new on-the run CDX indexes btw there is some information on markit(some of it u may need to subscribe to) CDX Indices

"Sprd DV01: by BB's definition, that's the value when the WHOLE spread curve move up 1 bps " Since this is non-linear its only works for small changes in BP i.e. to multiply Spread DV01 by change in BP's. For larger changes it doesnt work as well.

and why do we believe in VAR as a measure of risk? What if you take the biggest daily loss to have ever occured and add 20%. Should work just as good

You know me I love this guy's thinking

If I remember correctly, besides DV01, there are bunches of other parameters we have on the book Like what? What we are doing is for small changes we multiply DV01 by change in spread to get the new value.

I'm not sure how this would work for a CDS? I must be missing something

Dont we owe u some birthday knocks???

Does anyone know of a quick and dirty way to do PnL for a CDS position? (I know if you use spread DV01 in dollar terms it will work for small changes in spread). What about for larger 100bp+ changes?

Belated happy birthday!! Best wishes as always

1) Where are the areas that you are seeing most recruiting happening? Risk, Trading etc. 2) Who's hiring? I-banks, Hedge funds? 3) Geographically is the hiring more in London/NYC/maybe Asia?(I dont know if you're pimping strictly in London but I'm curious about your thoughts on this subject)...

He knew the risk controls so thats how he could manipulate order entry by entering real and fake trades this is how he created 70billion exposure. Trading is such that traders inherently have incentive to take huge risks because they are playing with house money not their own(traders at...

Can we edit the title please, lets start there. Are you too old for a quant degree? I would say it doesnt matter but that's me. Potential employers may say otherwise. At the very least, the title of your post suggests some adolescence

Merry Christmas and a Happy New Year to everyone!!!!

Thank you Hien and Thien. It was a really wonderful get together. The hotpot and egg nog were delicious!!

Happy Birthday dude, I think I know what your birthday wish is ;)

=D> =D> =D> =D> Congratulations Alain and Wendy on the birth of your baby boy!!!! Best wishes and good luck!!!:tiphat::tiphat::tiphat::tiphat::tiphat:

Belated, happy birthday!!! Best wishes

I do not have a preference, any of those days will work for me

Ben Franklin I presume?

This aint socialism, we're here to make money. He's right by shorting dollar as there are implications of dollar weakness, he's more than likely already short and just wants to move it more in his favor. Its kind-of pump and dump on a bigger scale :) I really dont care about other people that...

Kean, I like your comments. I think people(quants/non-quants) dont know things period. The dynamics are more and more complex. Ignorance may actually be bliss. People who think they've figured it out (grabbed g-d by the balls) come back to reality that the market is always right and you me and...

It seems like transportation would be an issue. We can try zipcar. Their cheapest plans would come out to $35 pp(assuming 5 people per car and it includes gas and 180 miles). I would be willing to take the 50 annual fee and the 25 application fee and the daily charge should be 69 since...

With so many people looking for so many inefficiencies we are creating a more volatile world. It seems like these events(August meltdown) should start/already are happening more frequently

I'll come by later

Its kind of ironic that quant programs dont have rankings considering we try to measure/guesstimate everything

Tim, thank you very much for coming in and speaking to us

Hi, Does anyone have any good papers/knowledge of forward volatility agreements? Thanks in advance, Mike

Belated Happy Birthday! I echo Billy's sentiments about checking quantnet. I wish you lots of health, wealth and happiness.

Tim, welcome to the site. Would you want to come in one day/night for a speaking engagement and talk about your experiences?

Belated Happy birthday! Best wishes

Baruch's website (not quantnet, the general www.baruch.cuny.edu) used to be a resource for finding what the academic schedule is. Since some "bright" individual at Baruch decided to upgrade it, I cannot find ESIMS, my webmail(hardly checked but still) or the academic calendar. Since we do not...

happy birthday

Belated Happy Birthday! Best wishes and good luck with Probability :)

And for those who dont have access to flash, do u have the actual list/article?

Maybe we should get a soccer team together and play the other schools in our area?

Bridgett, happy birthday. I wish you wealth, health and happiness.

Is this what we call hack a sack? or hackeysack?

where do u get default probs from? Bond prices? I'm thinking about CDS of ABS single-name tranches

Why did you assume anything? Did Dan specifically say you made the first cut? Why didnt you email Dan right away to arrange the meeting? Good luck in your future endeavors.

A belated Happy Birthday! The phoenix shall rise from the ashes and we shall drink again in the spirit of merriment and friendship. Best wishes!

Vlad, belated happy birthday, I havent quantneted in while. Wish you all the best and look forward to seeing you at our gatherings!!!

One or two classes if u go part time. Depends on your job/ability to work after 12am at night while waking up at 6am (hint, hint one of our poster's b4 was/is doing that :) )

Hull "Options, Futures and Other Derivatives." I'm surprised no one mentioned this yet.

speed and legacy systems would be my guess, perhaps my better informed classmates can comment further

Didn't Dominic post something about Reading a while back?

Thanks guys and girls. I was at work yesterday, same today. Hopefully will see some of u tonite!!. Thank you for all the wonderful wishes!!!!

Andy, congratulations, keep it up!!!

I will be there, dont know what time yet more likely around 7ish

What happened to basic c++ books. Andy I remember a while back you mentioned some different ones

Major in math of finance, minor in finance. Most actual finance knowledge comes from working in the industry. I have a BBA from Baruch in Finance. I learned most of what I use/used at work. (This is not knocking Baruch in finance so please dont misinterpret, it would have been same...

More like dumplings? :) I think they came from China b/c there is Siberian pelmeni and I believe Siberia and China are close.

Its tough to get past the Danimator :) One really has to be on top of their game.

I'm guessing VBA macro can accomplish this. Not sure how to do it specifically, havent come across this kind of problem just yet.

I was visiting my old colleagues last week and decided to check the bloomberg to see how the bond markets looked. Much to my surprise, the yield curve had "un-inverted" i.e. the 10yr yield is now higher than the 3 month. I've been trying to think about this and my thinking is as follows...

If you look at latest(maybe 1 month ago now) bloomberg magazine they discuss subprime cdo's etc. Basically rating agencies provide a rating(get paid to do so) but only as information. An investor should not rely on that exclusively. A prospectus will only have info at time of issuance but...

Not too much time to talk :) I couldnt understand what Nalin was talking about. Still dont

huh?

LOL :)

A belated Happy Birthday!!! Best Wishes!!!

If it was easy everyone would win :). How much finance experience do you have? I dont know what the F/X commissions are but perhaps you can arb that(maybe not b/c I dont know what the portfolio size they give you to play with)

Happy B-day!!!

Greg, I wish you a very happy birthday and many many more to come! Best Wishes, Mike

I would like to attend and will try and be there

Hasan, thank you very much for a wonderful dinner and your company. It was great fun hanging out. Good luck in you new job at Citigroup, I'm sure you will do just fine. You have a huge support group here at Baruch MFE, we're all rooting for you.

Happy Birthday! I wish you health, wealth, and happiness!

dynamic-data linking. I dont utilize it fully at work b/c our systems are old but its great. Reuters has a great way to interface with Excel.

I like it, maybe even something like the network of choice for future quants(i've heard that somewhere i.e. the network of choice) Then again network sounds like TV? maybe something like quantnetwork, where future quants meet and model :) ?

Billy, happy birthday pal. I'd give you birthday "bumps " but with all the weight-lifting you're doing I'm afraid you might kick my butt :). Health and Happiness and lots of luck!!!

I would like to attend but I cannot RSVP :)

Happy Birthday to our beloved former president! I wish you health and happiness as always.

Woody thank you very much for having us in such a warm and hospitable place. It was a great party, sorry to all those who missed it.

Happy Birthday! I think we owe you some birthday knocks (I forgot the term we used b4)?!!! :)

What's the address? I understand why it might not be posted here, but might we see it via email.

Happy Birthday! You're the hardest working person in our program. Not only do you find time for quantnet but you are also taking the full load of classes. Congratulations and many happy moments for you on this day!

Gus, congratulations! You da man! :smt006 :thumbsup: :thumbsup: :thumbsup:

A good case as far as it being the top of the market, however, Goldman was going public in '99 and that would have turned out to be a good investment. I also dont like the comment in the article about Congress and not allowing pension funds to invest in hedge-funds etc. I personally do not like...

Used to be Credit Agricole? Hmm being very general, work at private equity :)? They're very good at project loans as far as I can tell from my experience with them

Thanks to Curt and Alain. Great speech that showed us what really happens in the trenches. I think we need more and more of these kinds of talks to get as many perspectives as possible.

Hockey? As in ice hockey? Or grass hockey?

Very strong profile. Good luck to you! Any questions btw?

Is there a good website that talks about what cricket is?

We may be able to use these techniques for lotto, the mega is at 365? million :) I know nothing about cricket

Great profile, strong background. I second Andy's notion and do not regret coming to Baruch. Best decision I ever made.

Use all, get high score, good luck. Kaplan and Princeton Review would be my top choices there's also another one(can't remember off the top of my head). Barron's is good too.

I believe Andy is correct. We can try Rodeo, tonight/tomm?

We've been to the Hairy Monk if I'm not mistaken. Not the best place if you have a group of more than 3-4 people. I vote for Grand Saloon :)

Welcome! If you have questions just ask. Good luck!

brain teaser? Hi, Not sure if anyone will ever ask this but my dad told me about this one and I thought I'd share: You have an equation: VIII - VII = VII How do you change one of the "sticks" to make this correct? V would be 2 sticks and I is 1 stick. Lemme know what you think and...

Strong profile. With regards to first question: Access to industry data, I think you can appreciate why an investment bank may not want to share research not meant for its non-clients etc. I do not think it has anything to do with being in academia or not. Regarding second question, Baruch has...

Sounds like an interesting, strong profile. Why are you interested in MFE? What do you expect from this program?

congratulations! see u in the summer

If I'm not mistaken a CFA is a 2+ yr investment whereas MFE is 1.5 yrs(full-time).

I can speak from hearsay. We had a guy that worked in our company (not MFE or anything like that). He worked for about 1.5 yrs and then went to a hedge fund. His comp became 60K plus 30K bonus. His last job was analyzing/evaluating CMBS deals. As you can tell bonus is 50% of comp. The salary is...

If you get stock you want it to go public, otherwise how do you monetize that value

Anywhere is fine. Chinatown, GrandSaloon etc.

Would it be possible to start closer to 7pm? I'm not sure if I will be able to make 6:30

Happy Birthday!

I agree with everything Andy posted. I would only say that letters of recommendation are in your control as far as making sure that you ask the people who will give you a great recommendation. This was actually something discussed at yesterday's open house .

You'll only have to write code in this program so dont worry about writing (I'm gonna assume you'll do well just like Andy did because of the verbal score)

Congratulations!:welcome:

Congratulations! Good luck

Very strong profile, CFA is good but it might be tough doing that and MS (then again it may be tough working and doing MS :)). My only advice is C++ the more you know the better

Extremely strong profile. Good luck to you!

It's a good/bad question. What you should really do is visit each program see what you like/not like, ask lots of questions and apply. Good luck.

I'm not so sure the choices are worded correctly (A B ) From Investopedia: A high-yield debt instrument that is usually insurance linked and meant to raise money in case of a catastrophe such as a hurricane or earthquake. It has a special condition that states that if the issuer (insurance...

Happy Birthday Marathon Man :) You have much to celebrate. Best wishes :smt113 :smt113 Mike

Belated Happy Birthday!!! :smt113 :smt113

Happy Birthday Nelisa

Some of us may have the 9821 exam over that weekend. I'm not sure if I will be able to make it but I hope I will be able to. I'm not sure about other people

Happy birthday Kim!!! Best Wishes!! I hope u spend this b-day doing something fun --Mike

We have a refresher the last week of January I believe. Some people may be away on vacations etc. For me it works, actually

Many co's have legacy code written in C++ that needs to be maintained

2003

I'm going to answer this from the perspective of the program which will translate into jobs etc. The more C++ you know the better. I started programming C++ in the beginning of the year so I do struggle with it all the time. I took one semester of C++ (it would have been beneficial to take one...

Pat, thank you very much!

Just a suggestion. Friday Dec 22 is right b4 Christmas so the people working will probably be able to leave earlier (3-4pm). This might be ideal?

2)Mike

Phat u da man. thank you very much. I'll attend anytime that is convenient for u.

huh. Kind of lost me on that one. First of all, what is VBA is it embedded in EXCEL or a separate thing that needs to be d/l and installed. What big VBA reference? Does anyone have some suggestions?

Re: Evaluate my chances!!! You are not too late check out the website http://www.baruch.cuny.edu/math/masters.html Since I'm not an international student I cannot answer the financing question because I do not know if you can get loans/scholarships as an international. I'll let our...

Hi, I was thinking it may be a good idea to have a group of people not familiar with VBA to learn it during the break. I am not familiar with it so I do not know whether this can be learned in 1 month (I realize some learning would take place) etc. Does anyone have book recommendations etc...

Phat, I can email you all of my code. Not sure how expandable it is since I do not use classes. I started programming in the beginning of this year so you can imagine how its been. My main goal is to be able to write correct algorithms (I think one can always create into classes and objects and...

Not everyone will have access to quiz? Only current students and alumni?

Tom Cruise in MI2 or MI3?

srand doesnt seem that random to me (I've used this with implementation of normal distrib) lots of stuff on the net. Any good advice about generating the actual random number?

Everybody loves them, no one in the industry uses them

I was trying to install it but it wasnt working

Thanks guys, Alain that would be great if you can.

Hi, I may have to learn UNIX as part of my work. Can anyone with experience let me know what UNIX I should install etc.? Regards, Mike

This happens in all large organizations. This is why smaller firms are more entrepreneurial. i.e. hedge funds vs I-banks

While you cannot improve your prior GPA you can strengthen your application by having relevant experience, C++ etc. I'm guessing you may already know c++ so try and get some finance knowledge (internship at trading desk?) if it is feasible

I should state from the get go that I first touched c++ about 1yr ago. I took the 1st c++ class and it would have been nice if I took the 2nd one as well. If you have no knowledge of c++ get as much as you can while you can. C++ is a requirement to get into the program and one definitely needs it.

I found an interesting method that uses integrals where the function is (16*y-16)/(y*y*y*y-2*y*y*y+4*y-4); and you integrate from 0 to 1 (I used simpsons method simpson(100000000,0.0,1.0)) Are you using the monte-carlo method or a discrete value for pi? For now I use discrete where...