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  1. maciek

    Prof. Salih Neftci (1947-2009)

    This is very sad news. Prof Neftci was a great lecturer. I will never forget when during the calibration class he first wrote a complex formula for local volatility, and then he rewrote the same formula in pictures and charts. This was understandable to anyone, even with very limited knowledge...
  2. maciek

    The Master Happy Birthday thread

    Happy birthday, all the best!!!!!
  3. maciek

    The Master Happy Birthday thread

    Happy Happy Birthday Nalin ! :D
  4. maciek

    The Master Happy Birthday thread

    :D Andy, Happy BIRTHDAY !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! :D
  5. maciek

    What is a typical schedule of an average Quant?

    I don't know what is the average workload but I can tell mine. My job is not "pure quant". I work on the buy side with a small team trading equity volatility. I start between 7.30- 8.00. I finish between 5.30 and 10.00 depending on my class schedule at Baruch. My colleagues usually leave around...
  6. maciek

    Credit Derivatives Research Papers

    Great thread, very usefull and interesting pdfs, thanks guys!
  7. maciek

    Need help in getting historial data

    Maggie, PX MID doesn't work for all tickers (not real time for sure). To get PX MId just get PX ASK and PX BID and take the average =(BDH("IBM Equity", "PX ASK", "08/31/2007", "08/31/2007")+BDH("IBM Equity", "PX BID", "08/31/2007", "08/31/2007"))/2 if this doesn't work try to use the...
  8. maciek

    Gaussian copula and credit derivatives

    Good stuff, I attach Mr Li's famous article which changed the world. I wrote my master thesis on copulas and when I was searching for a job Mr Li invited me for an interview at Barclays. Of coarse I failed the the interview (It went really bad). That was before I started Baruch MFE program.
  9. maciek

    Aaahh!!! This volatility is killing me

    VIX Index is I think a good way to start trading volatility. VIX is based on the weighted average of implied volatilities of S&P 500 options accross a wide range of strikes and different maturities. There is a pretty complex formula behind the VIX. The idea is that VIX should reflect the overall...
  10. maciek

    The Master Happy Birthday thread

    Happy Birthday Adolfo!!:tiphat:
  11. maciek

    The Master Happy Birthday thread

    Happy Birthday Mike!
  12. maciek

    The Master Happy Birthday thread

    Happy Birthday!
  13. maciek

    The Master Happy Birthday thread

    Happy Birthday!
  14. maciek

    CDO Boom Masks Subprime Losses, Abbeted by S&P, Moody's, Fitch

    An interesting article I found on Bloomberg- interesting for those who already have taken classes by Prof. Sylvain Raynes
  15. maciek

    The Master Happy Birthday thread

    Happy Birthday!
  16. maciek

    The Master Happy Birthday thread

    Yes!, it's my Birthday!! Thank You :)
  17. maciek

    Question about database and Bloomberg

    I don't think this is possible, perhaps you could use some vba to get around this... Call the BB technical support at 212 318 2000, they should be able to help
  18. maciek

    Interview with Bruno Dupire on volatility modeling and trading

    Interview with Bruno Dupire on volatility modeling and trading. I think it's very interesting and informative: http://www.edhec-risk.com/site_edhecrisk/public/Interview/RISKArticle.2006-08-03.1854
  19. maciek

    The Master Happy Birthday thread

    HAPPY BIRTHDAY !!
  20. maciek

    The Master Happy Birthday thread

    HAPPY BIRTHDAY Andy! Thank you for your Great work, You made Baruch MFE famous! We all benefit from this!
  21. maciek

    New Quantnet members say hi

    Hi Raja. Of course you will need to take GRE and get a good score. If you made your undergrad outside USA you will need to take TOEFL as well. You will find more information here http://www.baruch.cuny.edu/math/masters_application.html Welcome and good luck!
  22. maciek

    Quant Job offers posted recently on Bloomberg

    A couple of job offers from Bloomberg: Location: U.S. - New York City Salary: over 100,000 USD Description: Top tier Investment Bank seeks a Quantitative Analyst to support an equity derivative team. Candidate will be supporting OTC and listed derivative tr ansactions...
  23. maciek

    A Trader's Train to Wall Street, Connecticut

    I heard an opinion that in general european banks require shorter working hours than the american ones. This might be true because there are a lot of European managers at those firms who set the pace of work for all others. I can confirm that from my experience. I used to work for a German...
  24. maciek

    Is one C++ programming course enough?

    We have different backgrouds and each of us expects something different from the programm. As finance graduate I came to the program to learn to read academic papers (with all that stochastic calculus) and then to code it in C++, VBA and Matlab. I want as much Math as it is needed to uderstand...
  25. maciek

    Integrate C++ program into VBA

    Using ActiveX you can also access to Bloomberg servers and pull anything you want into excel or access. This is used rather for historic, static data. For live data you just type functions in excel cells. How about creating our own database with C++ and VBA codes so we can exchange them?
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