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I believe that I've found some errors in a paper published by Hull and White, or at the very least, I found some assertions that can be improved upon. The trouble is I'm working off a preprint. The published article itself is $99. Jeez.... wtf! Can some kind soul who's still in college and...

Does that include dodging the seemingly endless list of nature's creatures that wants to kill human life from this Earth? Seems like the list of Australian denizens can be described as "The most (poisonous|cuddly|weird|dangerous|venomous|pretty|cannibalistic|..) on the planet. Hahaha! But...

For what it's worth, I have a friend who made 120k (plus a meager bonus) for being a risk management analyst for a company that specializes in risk management consultancy here in NY. Westpac offered him a sufficiently sweet deal that he picked up and left for Australia. He wouldn't tell me how...

Perhaps the OP did just that, and the internal recruiter instructed him to create a profile on their internal career system. And maybe it's not just this IB. Perhaps one of the big-three ratings agencies also instructed him to fill out their internal profile after they approached him on...

No, I realize. It's pretty obvious when you go to apply for a job at some top tier place and "jobs.somebigname.com" gets redirected to "server.openjobsisourbiz.com". Take a look at what I got this morning for a good laugh. So, yeah. It is what it is, but it's still a necessary thing to deal...

Good guess, but no dice. But even so, considering there's almost 300 majors, putting physics under STEM or Natural Sciences would be really strange. Suppose Emanuel Derman wanted to apply for a job here. How would he enter his educational background? ;-)

I'm filling out a job application at a major investment bank. One of the "canonical" banks people always blurt out when you ask them for an example of an IB. You know the deal. You attach your resume and then get the pleasure of typing the whole thing again. I'm working on my education...

A swap curve is to swaps as a yield curve is to bonds. Swap curves and yield curves represent similar types of data in the same kind of manner. They both give you the yield for a given maturity or tenor on the assumption that each point on the curve represents a contract made *right now*...

Has anyone taken the PRM Certification in the past year or so? I don't suppose there are any used copies of Professional Risk Managers' Handbook - 2015 Edition for sale? Strangely, I can't seem to find this book used.

I'd like to second yetanotherquant's reply. Your age might be a bit of a problem if you're just now coming into the field, but more importantly is your lack of finance knowledge. You'd probably land a programming job as a quant-developer if you've got good programming skills. I would say the...

OK, thanks for clearing that up. All 3 of my physics degrees say "physics" on them, but that's University of California and California State University.

Well, I'm now a master of science of financial engineering. Yay!!! I do have a question about the sheepskin, though. I picked up my degree from the registrar, and it says: The Bernard M. Baruch College The City University of New York blah blah blah confers upon: Peter Jay Salzman The Degree...

Really enjoyed your story. This is very helpful. Cheers from Peter in Toronto

From: Par value - Wikipedia, the free encyclopedia Isn't this misleading? If the bond pays coupons, there's a last coupon payment at maturity, and it certainly isn't "stated on the face of the bond". Shouldn't the sentence be changed so:

My background is general relativity and cosmology, so I'm in a position to comment on your proof. Here's my comment (and trust me, I'm being kind): Crank Dot Net | physics

No, I agree with you. We do have one of the best countries in the world, and it is a testament to it that I can talk freely like this. However, that doesn't change what I've said. I still think it's an honest and good question to ask why we have been so docile in our own repression of...

Tigga, it's more surprising that you (and me, for that matter) are perfectly OK with: the Patriot Act the Digital Millennium Copyright Act the expansion of powers of the TSA and Bureau of Homeland Defense the defacto death of the 4th amendment warrantless wiretaps (even for non-terrorist...

That's the kind of pithy reply I wish I had written. Well said, Andy.

It looks like quantnotes.com is belly-up as well. I always thought it was a bit silly to use Mathematica to typeset stuff, but still, they had some great articles. What's going on?!?

My job title is "developer" and sit next to people whose job titles are "programmer". The difference between what I do and what they do pretty much fits what Andy posted to a tee. A programmer can be on a different project each week. I've been on the same residential MBS application for...

I found FEN when I took stochastic calc at the Courant. It was a really awesome resource. I recall one article in particular in a "learning corner" type column on Wiener processes that was truly top notch - *very* accessible yet sophisticated enough to be useful to FE students. It was sad to...

That's a good description. It was amusing at first, but got really monotonous. I thought there would be some great revelation or some kind of plot resolution at the end. Not much insight either. If you want to go into an emerging Latin market, Chile is probably your best bet. Not a country...

Step 3 is profit!!! :-)

OK, here's my wish list: 1. We need a mobile version of quantnet that makes navigation easier for cellphones. Sometimes I have to "sneak" out of work to make a class, and I completely forget to check the course forum to see if the class is canceled. Running to the 4-train at full speed...

Andy, even just a simple email will do. Doesn't have to be anything flashy like SMS. Sometimes I have to sneak out the door at 5:30 and don't have time to scour the forums to see if class is canceled. Just any way for the professor to send out class communiques. I've burned 3am oil just to...

True enough, but I'm pretty sure we have the concept of "permissions" on quantnet. I was a member before officially enrolling in any classes. I seem to recall not seeing the class forums before I matriculated. The first time Dan said "go to the class forum" was like ... "what class forum?"...

I'm not sure of the legality of this, but I'll throw it out here anyhow. If it's not legal, just forget I mentioned it. We all download journal papers through Baruch and whatever schools we came from and still have accounts at. I'm sure many of us have downloaded the same papers over and...

Wow!!! SMS would be simply _amazing_. I think for me, this kind of rapid communication thing would be the most tangible QuantNet improvement possible. I volunteer in advance if you need an extra set of fingers that know PHP. :-)

At the risk of sounding like an AOL user, "me too". I second this question. What we really need is a way for professors to send out *emails* to the class telling us things like "class canceled tonight" or "Assignment 3 has been posted". Forums are an inefficient format for that kind of...

OK, not an interview question (but it oughtta be!) :D

What is the volume of a pizza with radius z and height a?

The person appears to be a professor of finance. I have to confess that I only read the abstract. I wonder if the paper is supposed to be an object lesson on the abuses of econometric time series analysis? Or maybe it was supposed to be some kind of prank ala Alan Sokal?

This might be a good subject for a Capstone project. It's a great paper, but I think there are some lingering questions that are begging to be answered. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1366663

No problemo. I'm a working grunt, so I only scan the forums when my code is compiling or I'm waiting for output. :-) Feel free to ask further about LDN and MC, since it's an interest of mine.

Let me see if I understand what you're saying. Suppose we have 2 stocks, A and B. We certainly know how to compute the autocorrelation of stock A's returns. We also know how to compute the correlation between the returns of A and B. Are you interested in the influence of autocorrelation(A)...

And as luck would have it, there are free Sobol implementations for just about anything you'd care to use, including MATLAB.

Hi Featips, If you are serious about using Monte Carlo and not just doing an academic exercise, then you should not be using PRNGs. People who really do MC for a living use low-discrepancy numbers (LDNs), definitely not pseudo RNs. At least, the ones who know better. ;-) When using LDNs for...

That would be correct if you wanted to disable networking and video on the machine. Since I'm guessing you'd like video and networking to work, it should be: "build kernel x789* mthsl wktrlkjwerl --xxy *77**Tm hit me here" Obviously, "T" stands for the "network transport layer enabled" and...

Guess I just wanted to know who my fellow Linux users were. :) I'm surprised there's not more of us. I use Linux (Debian) for everything except for Excel stuff and sometimes gaming. I can get most everything to run under wine. Biggest exception is VBA under Excel, which makes Excel useless...

Are there any other people in class who use Linux exclusively?

It's true that Peter Carr's education on paper is not typical of a quant, but he is one of the most technically masterful people I've ever met (aside from being a really, really, really nice guy and an outstanding professor.) If I didn't read his bio, I would've mistaken him for a theoretical...

In case you haven't heard the news, Professor Neftci passed away yesterday in Geneva. Professor Salih Neftci was born in Kirkuk from a family connected with oil fields but that had themselves emigrated from Turkmenistan... and he made his way to the highest circles of Istanbul, NY, London. He...

Nice. Kind of round-a-bout, but much more palatable than the brain-dead way of doing this. Thanks! I wonder WWSMD? (SM == Scott Meyers) :D

I second that. Here's a diverse list of things I've accomplished with Perl: Back in the day I used perl to download Howard Stern recording chunks off Usenet, uudecode and concatenate them and store them in directories based on the original air date. I wrote a usenet newsreader that allowed...

Suppose I have a base class Domain and derived class DomainFloating. Domain is abstract, since it defines an interface:Domain.h: virtual double deltaCentral() const = 0; virtual double gammaCentral() const = 0; virtual double uApprox() const = 0; virtual double vApprox() const = 0...

A little known fact is that Perl6 is the official scripting language for Duke Nukem Forever mapping utilities as well as the Infinium gaming console.

Of course, you need context for crappy to have any meaning. :) For a large number of purposes, rand() is fine. If you want to generate RNs that are suitable for crypto, you couldn't do much better than reading bits off of /dev/random (preferred) and /dev/urandom which get their randomness...

Here's one of my favorites: At the height of the cold war, Poland's most magnaminous master spy was able to infiltrate a Soviet airbase and make off with the MiG-21, the most advanced fighter aircraft. Infiltrating the base was easy. So was subduing the guards and taking off on the plane. He...

Not to take anything away from the turmoil in our career, but as an ex-Californian who was living in CA before, during, and after the dot-com period, I can definitely say the bust can hardly be categorized this way. The good times never really came back. What happened is that the industry grew...

I tell ya, it's the story of my life. I took a full year of topology and we did lots of surgery, but no sex and perversity. Just my luck... :cry: Drag and drop smileys?!?!? You have GOT to be kidding me. Who the heck wrote this software?

Was she ok?

BTW, if my joke didn't make sense to anyone, you actually need to _solve_ the differential equation to understand the joke... :-) Get the general solution and apply the initial condition. Not promising you'll laugh. But you may be slightly amused. It's worth at least an eyebrow raise. :)

Romania removes theory of evolution from school curriculum | International Humanist and Ethical Union I understand how there can be a national debate on a "controversial" topic, but when an entire country strikes a major theory from its national curriculum, that just blows my mind. Edit: Whoa...

Yeah, stimulants. I drink coffee in the morning. I drink coffee throughout the day. I drink coffee on my way to my classes. I get a coffee before class starts. I drink coffee with dinner. I have coffee with milk and sugar for dessert. I'm not talking about writing a few extra lines of...

I wrote this joke when I was an undergrad at San Francisco State University: A mathematician's untoward pick-up line at a bar: \frac{dy}{dx} = y(x), \qquad y(0) = S

I can easily work 60 hours or more (I guess you'd call me a quant developer). The pay is phenomenal -- I have *no* complaints in that department. But my job is kind of like the military. It's pretty cushy for stretches of time until a "push" comes, and suddenly you'd think the world was...

There's going to be a conference on Algorithmic Trading at NYU's Courant Institute on Friday, October 3 2008, starting at 8:30am. The venue will be the Skirball Center The conference's title is: "Algorithmic Trading: Dynamic Portfolios, Optimal Execution, and Risk" and the list of speakers...

That's what I was afraid of. Rats. Thanks for confirming! I'd rather not use "using std::foo" for each symbol not in the global namespace. It's so odd --- the namespace concept is so powerful and useful, but the standard basically ignores its full potential with regards to std. Just...

Dunno if this is the right forum, but the question sprung into existence as a direct consequence of HW #1, so perhaps this is the right venue for a programmy type question. "using namespace std;" brings in all kinds of stuff into the global namespace, ranging from file readers to iterators, to...

Thanks. I had suspected it was something like this, but I couldn't find the details. It seemed like all the news outlets were focusing on how taxpayers were going to fund a "bailout of Wall street bank". I think the media's usage of the term "bailout" in this case is disingenuous since it's...

Bailout Hi Giampiero, But if the fed is *loaning* the money to JPM, that's a whole different story from bailing out. Loans need to be paid back, with interest. Using MBS as collateral simply means that should JPM default on the loan, the govt gets to keep the worthless paper. Like a pawn...

Bear Stearns bailout I've read that the federal reserve is bailing out Bear Stearns, but I'm having trouble figuring out exactly what bailout people are talking about. JPMorgan offered $2/share and has raised that to $10/share today. That sounds like a takeover to me. And I can't figure out...

In Neftci's book "Principles of Financial Engineering" on pg 37, first paragraph he writes: "The bid-ask spread suggests that the interest is the asking rate" I don't understand this. First of all, what exactly is the bid-ask spread here? I would think the "bid" rate would be zero: if I...