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  1. MiloRambaldi

    actual C++ interview question

    If a class only has non-const PODs, e.g. class A { int x; double d; }; is a copy-constructor auto-generated?
  2. MiloRambaldi

    Quant Jobs in Tokyo

    From what I've heard, most of the new positions start in May every year (or maybe it was beginning of April at the start of the fiscal year?). Which month is best to be there for quant job interviews?
  3. MiloRambaldi

    Double barrier, ctd...

    This is continued from this thread. A common quant interview question: Let (\tau_a = \min\{t:W(t)=a\}) be the first hitting time of Brownian motion (W(t)) at the level (a). Find (P[\tau_a < T]), in other words probability that BM hits the barrier (a) in time (T). A more challenging question is...
  4. MiloRambaldi

    Obituary

    This is a couple of weeks old but I don't think its been posted on Quantnet: David Heath, co-developer of the Heath–Jarrow–Morton framework for Interest rates, passes away Tue, 16 Aug 2011 08:52:00 GMT Public Sad news. Via Biao Guo's Blog comes the news that David Heath has passed away. David...
  5. MiloRambaldi

    Unstable run-times when multithreading with Boost

    I read the very nice article “C++ Multithreading in Boost” on Quantnet, and tried my own simple example. The n-word checksum of the consecutive integers 0, 1, … is computed. For example, for n = 3 it looks like 0 1 2 3 4 5 6 7 8 : : : The strange thing is, that on a quad-core computer, the...
  6. MiloRambaldi

    Financial Econometrics textbook

    Any suggestions for a good econometrics textbook for modeling financial time series?
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