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Many thanks Daniel, Very interesting results, and great food for thought! Best Regards Timmi

Hi Daniel, If we express the PDE as Vt = LV(t, S) with L denoting the operator, take the forward difference approximation of Vt between time levels n and n + 1, and discretise LV(t, S) at time level n, with the time step sufficiently small, I believe one should be able to march the solution...

I think if the time-step size is chosen carefully, a simple explicit finite difference scheme will suffice - or you could go for a Crank-Nicolson finite scheme with a PSOR solver.

Sorry the symbols look awful

Hi kernel, I can tell you that the problem is not ill-posed and it is exactly the same as the free boundary problem to be solved for the arbitrage-free price of an American Put Option. In financial literature, the free boundary problem to be solved for the arbitrage-free price of an American Put...

I guess I'm a year too late, but as part of my interview preparation process I've been searching for difficult quant questions and brainteasers to attempt. So I'll have a 'go' at this question: Let the number in question be N = 1000w + 100x + 10y + z, where, w, x, y and z are single digit...

There are key differences. From the first equation you have provided for x(t) = ln(s(t)), I can deduce from Ito's Lemma that your model can be expressed as ds(t) = r*s(t)dt + v(t)*s(t)*dws(t) dv(t) = k(o-v(t)) dt + sig*dwv(t) I express it in this format so I can compare with the Heston...

@Ying Zhao, whats the duration of the program? and have you completed a semester? What is their policy on partial fee refunds? If you've got less than a year to completion, and can't get a refund, I would complete the course, and apply for jobs after. And if that does not yield fruit, then...

Congrats, @wuzhemin The interview will be very technical! but they usually give you some topics to revise for the interview. There are a set of questions to be solved as part of the application, so that would probably give you an idea of what questions will be asked during the interview. All the...

@Novak, I would have thought Paris should be a good start. I may also be wrong here, but Tokyo seems to be a popular destination amongst PhD quants from France, and Singapore also seems to have an open door policy for the young (under 30, not sure though) and talented, when times are good.

@ekta and wuzhemin I'm aiming to submit my Oxford application by the end of this week, and the Imperial application by the end of next week. I think Oxford's MSc MCF program will be as mathematically rigorous as Imperial's MSc M&F. You should compare and contrast their course contents. Also...

@Novak, I agree with Dominic here. It will be better to secure a quant role outside the UK, but with a firm that has an established presence within the UK, and then seek to move to the City via an internal transfer after a year or so. Despite the immigration rules, there will always be a high...

@ekta, I'm applying to Imperial's MSc in Mathematics & Finance and Oxford's MSc in Mathematical & Computational Finance. Is there any reason why you prefer Imperial's MSc in Mathematics & Finance to their MSc in Risk Management & Financial Engineering?

@Lovjit, I'm guessing you're at Imperial College. Which program are you on, the MSc Mathematics and Finance or MSc Risk Management and Financial Engineering?

@Lovjit, You may well be right. But, looking at LSE's rival courses - Imperial's MSc in Risk Management/Financial Engineering - Imperial's MSc in Mathematics/Finance - Oxford's MSc in Mathematical & Computational Finance - Warwick's MSc in Financial Mathematics In terms of prestige, these...

Hi Wuzhemin, I have a similar background to yours and I've been looking for the right UK University to pursue an MSc degree in Financial Mathematics/Engineering. It seems most people make this choice based on a number of factors which include the cost, the prestige of the university, the...

@Ken Abbott, thanks for the advice. My observation is that a lot of job specifications for quant roles ask for PhD's in quantitative fields, typically engineering, mathematics (including statistics) and physics. Upon graduation, the typical UK/EU PhD in one of such fields will be aged 27, and...

Hello All, I'm also in a very similar situation to RedPanda, and was hoping I could get some precious advice on this forum. Profile - first class MEng + PhD in Aerospace Engineering from a UK redbrick university - 3+ yrs of Work Experience in Engineering - 31 yrs old - strong math...