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I am just wondering to know how come people want to be quant. I guess they don't really know what quant did. If people does not have Phd right now, just forget it. Actually, it does not mean if people does not have Phd, he or she can not be a quant. However, there are a lot of guys with Phds in...

Hello everyone Does any one have CD for Dynamic Term Structure Modeling: The Fixed Income Valuation Course? There are some spreadsheets in that CD. Do you mind sharing those spreadsheets? I can not find it in all libraries at my place. I have the book but I don't have the CD. Therefore I...

Thanks man, Merry Xmas and Happy New Year~~~~

Hi Andy Great Job, Could you please give me more information on how to do that or Could you please post some sample code? Many many thanks! raywin

You have strong academic background 2 phds. Don't worry!

Hello Everyone I will graduate at this Dec. I hold two Master Degrees in Quantitative Finance and Applied Math. I had 4 months intern experience in trading floor. I am just wondering to know if it is really hard to find a junior quant or quant developer job in States now. I know most of...

How about "Financial Modeling using Excel" ? Hello Everyone I know the 3rd has been in market. Did anyone have bought it? How about this book? Best Regards raywin

Thank you Dave. When I install Boost and compiled QuantLib, I got "warning C4819: The file contains a character that cannot be represented in the current code page (936). Save the file in Unicode format to prevent data loss XXXX.cpp" for many many times. Did anyone have the same situation...

If you wanna integrate C++ into VBA, why not using COM? Currently I am taking intern at trading floor. I found most of trader or trader assistants working with Excel for every minute. Therefore that is the reason why VBA is more popular. C++ is only a tool for Quant or Quant developer. Why we...

Actually, I never heard of those you mentioned though I am in Canada. The financial center in Canada is Toronto. If you wanna pursue a mathematical finance degree in Canada, your best two choices are Quantitative Finance@University Of Waterloo or Mathematical Finance@University Of Toronto...

I am in Canada therefore those banks you mention did not come to our campus to take the interviews. The location is very important! Thank you for your reply!

I heard of that many students have got offer from this group. I think I will get rejection in next week.

Hello everyone I am just wondering to know if there is anyone who has got intern offer from Blackrock financial modeling group? I had an interview on Feb 20. But so far I didn't get any further info. I guess I am in waiting list because my classmate has got rejection on this Monday. Is there...

It makes sense, thank you, dstefan.

Where is Andy? Anyone can explain this?

"Built up extremely large negative gamma positions by selling large number of out-the-money gold options. " How to understand this?

I have a little bit idea. Such N(d1) is the delta for S0 at time t0, right! With time to maturity, at time t, S0 = St and T = (T-t), then N(d1) is the delta for St at time t. Is that correct?

For European call the delta = N(d1), if S0, K, r, sigma, T are given then N(d1) is a fixed number. Then delta can not be changed with time to maturity. But in terms of definition of delta, delta = dC/dS. With time growth, dC and dS are changed. Then delta is not a constant and we can get gamma...

The idea is not really hard but there are some trivial work to do. I am researching that. Hope crack it asap!

Thanks. I saw this code before in some web. Currently I just want to use mablab build-in function lsqnonlin to do calibration.

Yes, I try that code. But I think that is not really correct. The main idea is correct but there are some problems. But I can not get the result in page 29 of that paper.

It is really easy to learn a language but it hard to master one. You need experience! That is why most company wants you have related working experience not academic experience. The best way to study is not reading one book but reading others codes.

http://math.nyu.edu/~atm262/fall06/compmethods/a1/nimalinmoodley.pdf

Hello Every Does anyone have experience about Heston model's calibration? I just followed nimalin moodley 's paper. But I can not get the same results as page 29. Did anyone do that before? Thanks a lot...