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I wish I was writing the exam then! :) Andy! thanks for the hints..

I have been invited to write a written quantitative exam for Credit Suisse openings. It seems it's a preliminary process devised by recruiters to filter candidates before inviting them to the real interview and it also seems they have been doing this for the past couple of years. Could anyone...

I suggest you to stay at some temp. place for a week or two and then look for apt. For temp. (or sometimes longer contracts) you can look up McGill's classifieds: Classified ads Concordia university also has a similar website (I don't remember the address). good luck.

Millions of dollars have been lost and won. I cannot believe it's just a quant's dummy mistake. Is there any chance it's been planned?

Could you elaborate more on your comment? Don't you think most of the MFE seeking students (if not others) will find something to learn in this video?

An impressive video on Quants role in financial crisis (and a bit on MFE programs) with Paul Wilmott, Derman, ... Enjoy...

Hi I appreciate it if you guys could help me with this. I am looking for a simple library that does simple stuff (like copula density and inverse CDF calculations). Thanks in advance..

I think BSM is a bit different story.. In the 70's, alternative models such as Stochastic Volatility and GARCH were not developed and modern finance was still an infant. In 90's, however, people has a good knowledge of financial math and stats (and in particular copulas). I see papers dating...

I've been reading about Copulas for my PhD research for the past few weeks and even with such short exposure, I find Gaussian copulas inappropriate for modeling correlation in financial time series. So it's kind of weird for me how people in WS fell in love with this model.

Really?! nobody has any clue?!

Hi My question is if people use Bayesian Statistics and its computational tools (like MCMC) in quant research and modeling... comments from industry people are very appreciated...Thanks

This might be a bit off topic... but speaking of MC methods, may I ask if Markov Chain Monte Carlo (MCMC) methods are used in finance world at all?

For the 'log' approach, to avoid the problem with x,y << 1, you can simply check if x,y<1 and then proceed: if at least one of them is less than one, (and assuming that both x,y < max which I think can be assumed from the problem) , then we're fine (no need to worry about log(x) tending to...

I liked the binary representation idea...but is there a straight forward way of doing that? just thinking out-loud: if we know the max, can't we just use "log"s? i.e., log x + log y < log max ==> xy < max any ideas on this?

As a relative question; is GSL used in finance industry? I use is a lot in my PhD research and find it very useful.

If you are coding in C++, you can find Simplex algorithm in GSL library. I have used it and it works perfectly. Not sure if you can use it with constraint though...

Hello, I am a Statistics PhD student choosing between the following two books: 1- Investment Science by David Lenberger 2- Options, Futures, and Other Derivatives by John Hull I want to get myself familiar with finance as well as explore a bit of math used there. I appreciate your advices...

I'm afraid your question is not clear. In a conventional regression problem, y values always depend on x values. So the dependence structure could be either among X or Y. Are y_i a times series?

If you mean dependence among X elements, yes we do. If the variables (elements of X) are highly correlated, then we face "Multi-colinearity" problem which results in the coefficients "b" having large (inflated) variances, i.e., a small change in a variable may cause a big change in the...

I kinda have the same concern. How long can you work like that? till you burn out?! what is the culture in this regard on the Street?

Hi, I have a related question here. Do I need to learn C++ or C is good enough? My impression is they don't need a lot of OO programming in financial math. Is that right?

ImpliedVolatility: P(rolling a number on any toss) = 1/6 P(telling truth) = 1/4 P(lie) = 1- (1/4) = 3/4 Answer in my opinion is: P(rolls 6|he says the truth) + P(doesn't roll 6|he lies) = (1/6)*(1/4) + (1/6)*(3/4) -------------------------------------- Your answer = 1/6 which means...

Hey guys I am doing a PhD in Statistics and expect to finish it in Summer/Fall 2011. My research is application of computational Bayesian Statistics methods(e.g., monte-carlo simulations, particle filters) for inference (e.g., parameter estimation) in Stochastic Volatility models (e.g...

Greetings and questions Hi I am a new member, recently started my PhD research in financial math. I'd appreciate if you guys can help me re the following two questions: 1- I couldn't find a technical forum in Quantnet, I mean somewhere we can share ideas about our research and technical...