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  1. Quantitative Interview questions and answers

    Hi, quantyst, thanks you. I got another one on Brownian motion: Suppose price S_t follows dS_t = mu dt + sigma dW_t. M_t is its running maximum. Define a stopping time tau = inf{t>0: S_t < M_t - C}, C is a known constant. What is the expected stopping time E[tau].

  2. Quantitative Interview questions and answers

    Anybody has idea how to solve this one: A basket has N balls which are numbered. N is an integer between 1 and 100. You randomly pick a ball and find that it is the 5th ball. What is your best guess of what N is?

  3. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    Thanks, Dave, for your wonderful job.

  4. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    I checked my installation of Boost. C:\Boost\lib is included in VC++ 2008. But when I compile and make link of QuantLib, I have the following link error: fatal error LNK1104: can not open file 'QuantLib-vc90-mt-sgd-0_9_0.lib'. What is the problem then?
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