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Programming code for quantitative finance study

tigergb — Sun, 24 Aug 2008 14:47:14 GMT

There are many methods an investor can use when it comes to speculating on a financial asset and the minority of people who make a decent income from investing will almost certainly have a set of rules to which they adhere. There are those that are less complex and those that are more and the use of quantitative finance is definitely one which requires some level of technical knowledge.

But these techniques are becoming more accessible to your average investor thanks to programming languages and mathematical software that allows complex data sets to be processed and relatively simple outputs delivered.

The quantitative finance code index is a new website that has been set up to bring together examples of code that can be used with certain softwares to take data on an asset, particularly derivatives, and produce simple information that can greatly aid the decisions of an investor, for instance, black scholes model implementation.

A program called matlab is one of the most popular software packages to use for this sort of financial calculation which is why it is no surprise that the matlab code for financial engineering category is the biggest on the site and still growing. The code samples provided will help teach you many aspects of quantitative finance from the basics right up to advanced manipulations such as quantile regression.

Another well populated category utilises Excel VB code in finance to enable Visual Basic to model various things such as the multi-period binomial case and the Rainbow option price.

So you see these complex and yet effective investment techniques are no longer reserved for investment houses in the city. Any investor can now learn to use quantitative research at a much higher level than before to make sense of chaotic systems such as stock markets and derivative markets.

New English Premiership season kicks off!

Prateek Bhatia — Mon, 18 Aug 2008 06:36:43 GMT

Greetings everyone.

Football enthusiasts will be knowing that the English premiership season has kicked off. The first round of fixtures were completed over the weekend.

The gunners ( Arsenal) made a good start with a win although the performance could have been better. Manure ( Man united) faltered which is always great. Big Phil ( Phillipe Scholari) had a good start with Chelsea who won 4-0 which is sad.

As you may have guessed I am a Gunner fan. A BIG gunner fan. Hoping to interact with fellow EPL followers.

Finding a job in finance - Emanuel Derman

Andy — Thu, 14 Aug 2008 15:49:17 GMT

Here is an article by Derman appeared on Risk magazine (2004). This was before his book "My life as a quant" got published.

When you do get a job, even if it�s not exactly what you thought you were looking for, stick with it for several years. Get to be an expert in your firm that people around you can rely on. Make the best of what you�ve found and then, if you move, move cautiously � there are idiot bosses everywhere. A resum� filled with short innings doesn�t look that good. And when you leave, don�t tell your boss off; he may be interviewing at the same place you just moved to.

Download the pdf here http://www.ederman.com/new/docs/risk-job_market.pdf

Beijing 2008

Andy — Fri, 01 Aug 2008 02:53:57 GMT

Is anyone getting anxious? For all the Chinese members on Quantnet, this is probably one of the best highlights of their life so congrats ;)
The two events I'm most looking forward to is basketball and swimming. I expect to see Basketball USA revenges their embarrassing loss 4 years ago and reclaim world domination (whatever that means today). The first game would be again China (Yao Ming and friends).
Look for Kobe, LeBron to put on a good show.
As for swimming, the story would be Michael Phelps. It would be exciting to see how he tops his performance 4 years ago.
Next Friday, the big game will begin. Pollution in Beijing and all the side stories are a different matter, right :D

Let's see who will have the most total gold medals.

UPDATED: The complete Olympic TV broadcast schedule is here
http://www.philly.com/philly/sports/..._schedule.html

Top 10 reasons why Baruch MFE is for you

Andy — Tue, 29 Jul 2008 02:48:00 GMT

Top 10 reasons why Baruch MFE is for you

1) You do or want to live, study, work in New York City.

2) You want to study in a close-knit program that feels like a big family

3) You study part-time but want equal placement support and personal attention as full-time students

4) You want to join one of the most C++ intensive programs in the country

6) If job placement is very important to you

7) You want 24/7 access to class, homework material in an interactive way.

8) You want to build teamwork skills

9)

10) The director
................

Feel free to add to the list and make it complete.

High living cost in NYC

physics — Fri, 18 Jul 2008 18:19:19 GMT

I am curious that how earnings of quant job beat to the high cost of NYC. I have never lived in NYC, but I am learned that NYC is so expensive. As a quanter, do you really save money in NYC? If I move to NYC for study, how difficult it would be for my kid's school?
After graduation as FEM, what places good for quant jobs except NYC? Currently, I am living in Maryland . The Washington DC area has been really great for us.

ex physicist

physics — Wed, 16 Jul 2008 17:19:33 GMT

Is there any one who are doing quant job without MFE degree, of course, except Derman?

problems with the pre-requsite math classes for the MFE program

TIFFY — Fri, 04 Jul 2008 03:17:40 GMT

hi everyone,
since i didn't take many calculus during the undergra years at Baruch, i have to take the math classes now in order to apply for the MFE program at Baruch. i plan to take Linear Algebra, and introduction to probability at Baruch. however, the Intermediate Math is the pre-requisite for Linear Algebra and intro for probability. that means i have to spend one semester (Fall 08) to take the intermediate cal and will take the other two calsses on spring 2009 so that i could apply for the MFE for the Fall 09 semester. it seems that's not a problem. but i am working full-time and i am afraid that i have conflict between the class schedule for math on Fall 09 and my working hours since Baruch does NOT have classes on weekend. can anyone help me out here?:prayer: any advice will be appreciated:dance:Thanks!!

PS: let me talk about my profile. i graduated from Baruch College with a major in Finance and Investment. i had a GPA of 3.7+, but i got a C+ at the Options class, will it be a problem when i apply for the MFE program? i passed the CFA level I exame, and currently working at a bank.

Learn the Content

chenchen — Fri, 04 Jul 2008 02:02:28 GMT

I hadn't been understanding what is happiness is on earth all the time , I had been yearning for the happiness very much all the time, wish eagerly, enjoy others in the mouth forever that piece feel happy happiness very once touching and meeting very much, I had been thinking straight it has been too happy that I never enjoy, but didn't know that had patronizing everyone happily all the time originally, including I.

When I was young I could have many candies to happy and very fuzzy feeling, but I didn't feel happy, because I can only eat two every day, and other candies are on the very high cupboard forever. Then I always feel wronged and act rashly with parents. But I know a at that time one already very getting happy in I, because of the world, there is a lot of poor people's breakfast,lunch and dinner that is not continued, even wear shabby clothes. I basic necessities of life carefree, can have with all day they think luxurious food also --Candy! I ravage food is everywhere whom meal spilt often, still pour out the meal stealthily sometimes still sometimes, when being forced by family to have a meal, I hate them to force me to have a meal very much, feel and detest. I 13 years old have been already more and more sensible gradually nowadays, of today I feel shame for my original naivety, because I was really very happy at that time, it was happier than many people.

Still remembering my time in grade three, I dislike having a class very much, because can not speak with classmates to have a class, can play games, can eat, hold listening to Mr. say uninteresting text proper, undisciplined but be abused by the teacher. I thought oneself very painful at that time, forced and come to class, a lot of homework waited for me to do after leaving school, can not choose to leave school ... I do not know at this moment, my parents are going to school to work in order to support me hard on very scorching cool day; There are some people, they are thirsting for reading, but because of the poverty, can't go to school in but all sorts of reasons such as disease. How it is in I the happy,I needn't worry everything,be in order to coming a lot of campus that be dreamt of in people to accept by good education.

I feel oneself well happy now, while downing the torrential rain, I don't look for the place to take shelter from the rain everywhere; Having fallen ill, there is treatment which parents concentrated one's attention on; Never lonely, because I will have a lot of friends and family. Perhaps a lot of people do not know what happy definition is, in fact happy domination person is oneself, whether lie in your psychology happily or not, how you think, you have ten yuan, person blaming Heaven and man will talk about Qian TaiShao, it is non- enough to buy anything; Content with one's lot person of Changle think already very getting happy, because you needn't worry, have a meal, wear the clothes, have change to spend while in question.

Everybody should learn the content, we can live, actually we're lucky, a kind of happiness, we should not make the happy definition too high, no one would happy forever; If we don't feel content, then, we would never feel the happy exist!

My first post, I have three questions

samuel — Wed, 02 Jul 2008 05:30:28 GMT

Hello to all,

I have three questions:

I'm a senior undergraduate in mathematics and haven't completely decided what career to persue because several interest me. These include finance, actuary, and math research in different areas as nonlinear dynamics/chaos and computational number theory. To keep my options open, I'm asking for advice from the more experienced.

Q 1) What electives from the following would you recommend as preparation for graduate work/career in quantatitive finance, and for graduate school (phd).
I can choose three from: graduate partial differential equations, statistics, financial math (based on Baxter's book), complex variables, actuary science, independent study in topology or numerical analysis, cryptology.
I'm familiar with complex varibles, statistics, and cryptology; if perhaps this should influence your recommendation.

It's especially hard for me to choose between electives since I like all flavors of maths; logic, algebra, adv calc, probabilty, and so on.

Q 2) High on my list of options is applying to Baruch's MFE program for 2009. There is a requirement to have taken at least one course in finance. I've never taken a course in finance, but have in accounting, economics, and management (all intruductory courses). Do these satisfy the finanicial course requirement? If not, the financial math course in my school happens to be cross-listed as a finance course. If acc/eco/mgt fail to satisfy this application requirement, will the math course based on "Introduction to Derivatives Pricing" satisfy it? (I think it should.)

Q 3) Concerning C++ requirements: I've taken five programming courses, but haven't taken any since last year. I stopped because the classes were slow paced, and thought it better to continue alone. Would you recommend taking one or two more during my senior year? If not, what text on C++ for finance do you recommend?

Thank you for your time and advice.

Reference data - the complex life

Andy — Wed, 25 Jun 2008 10:17:08 GMT

I have a chance to work with a few data providers mentioned in this 2-year old article. Even though things have improved significantly since, it pains a good picture of what trading desk and hedge funds in the credit space face when it comes to clean, good data.

I found this article when looking for a new data provider.
http://db.riskwaters.com/public/show...ml?page=343550

If you work with CDS data, you will find much of the article spot on. If you interview for some of the credit desks, read this article.

Who we are?

IndusGIR — Sat, 14 Jun 2008 09:55:31 GMT

We are an investment research and capital management firm based in California USA. Our main objective is to enable our clients the opportunity of high returns on investment by providing clarity of research. We help our clients understand various investment options in terms of various asset classes. These options vary based on the each individual client's personal objectives and risk profiles.Our main objective is to ensure with confidence that the investment they are going to make is backed by quality and innovative research. We do a comprehensive analysis of your financial goals and then suggest asset allocation based on that. We manage these assets actively and our own investing dollars ride beside yours. If you would like to know more feel free to e-mail us at investor.indus@gmail.com. Thanks again... and kindly leave your feedback/comments for any articles you like on http://indusglobal.blogspot.com/.

Spain win EURO 2008

Yuriy — Sun, 08 Jun 2008 20:08:13 GMT

Saturday 7 June 2008
Match 1 Group A : Switzerland 0-1 Czech Republic
Match 2 Group A : Portugal 2-0 Turkey

Sunday 8 June 2008
Match 3 Group B : Austria 0-1 Croatia
Match 4 Group B : Germany 2-0 Poland

Monday 9 June 2008
Match 5 Group C : Romania 0-0 France
Match 6 Group C : Netherlands 3-0 Italy

Tuesday 10 June 2008
Match 7 Group D : Spain 4-1 Russia
Match 8 Group D : Greece 0-2 Sweden

Wednesday 11 June 2008
Match 9 Group A : Czech Republic 1-3 Portugal
Match 10 Group A : Switzerland 1-2 Turkey

Thursday 12 June 2008
Match 11 Group B : Croatia 2-1 Germany
Match 12 Group B : Austria 1-1 Poland

Friday 13 June 2008
Match 13 Group C : Italy 1-1 Romania
Match 14 Group C : Netherlands 4-1 France

Saturday 14 June 2008
Match 15 Group D : Sweden 1-2 Spain
Match 16 Group D : Greece 0-1 Russia

Sunday 15 June 2008
Match 17 Group A : Switzerland 2-0 Portugal
Match 18 Group A : Turkey 3-2 Czech Republic

Monday 16 June 2008
Match 20 Group B : Austria 0-1 Germany
Match 19 Group B : Poland 0-1 Croatia

Tuesday 17 June 2008
Match 21 Group C : Netherlands 2-0 Romania
Match 22 Group C : France 0-2 Italy

Wednesday 18 June 2008
Match 23 Group D : Greece 1-2 Spain
Match 24 Group D : Russia 2-0 Sweden

Thursday 19 June 2008
Match 25 Quarter Final : Portugal 2-3 Germany

Friday 20 June 2008
Match 26 Quarter Final : Croatia 1-1 1-3(p) Turkey

Saturday 21 June 2008
Match 27 Quarter Final : Netherlands 1-3 (aet) Russia

Sunday 22 June 2008
Match 28 Quarter Final : Spain 0-0 4-2(p) Italy

Wednesday 25 June 2008
Match 29 Semi Final : Germany 3-2 Turkey

Thursday 26 June 2008
Match 30 Semi Final : Russia 0-3 Spain

Sunday 29 June 2008
Match 31 Final : Germany 0-1 Spain

Spain win EURO 2008

Note: advancing teams in red

Boston Celtics Win NBA Title

Yuriy — Fri, 06 Jun 2008 04:09:10 GMT

Game 1: Los Angeles 88 - 98 Boston

Game 2: Los Angeles 102 - 108 Boston

Game 3: Boston 81 - 87 Los Angeles

Game 4: Boston 97 - 91 Los Angeles

Game 5: Boston 98 - 102 Los Angeles

Game 6: Los Angeles 92 - 131 Boston

Boston wins 4 - 2

Detroit Red Wings win the Stanley Cup

Yuriy — Thu, 05 Jun 2008 03:24:52 GMT

It happened in game 6, Detroit won the game 3 - 2. Trailing 1 - 3, Pittsburgh managed to score a goal 18:33 into the 3rd period but failed to score the 3rd.

French Open in Rain

Yan He — Tue, 27 May 2008 18:02:05 GMT

Kuznetsova, Safina advance at French Open

By CHRIS LEHOURITES � 2 hours ago
PARIS (AP) � Russian players Svetlana Kuznetsova and Dinara Safina advanced to the second round of the French Open on Tuesday before rain again disrupted play at Roland Garros.
The start of play was delayed by 2 hours, 50 minutes. Fourth-seeded Kuznetsova defeated Aiko Nakamura of Japan 6-2, 6-3 before the rain returned.
"I was first. I was lucky with that," said Kuznetsova, the 2004 U.S. Open champion. "I get in my match, so I have the rest of the day to relax, to take it easy, and tomorrow I practice and get prepared for my next match."
Safina, seeded 13th, defeated Kateryna Bondarenko of Ukraine 6-1, 6-3.
"I'm really happy that I could go through in two sets, especially before the rain started," said Safina, who missed the Italian Open with a back injury.
Each of the first three days of the French Open have been affected by rain, but Tuesday's weather was the worst. It led to the postponement of at least 20 matches, including top-seeded Maria Sharapova's encounter against Evgeniya Rodina.
Later Tuesday, Rafael Nadal was scheduled to begin his quest for a fourth straight French Open title against Thomaz Bellucci of Brazil. Nikolay Davydenko won the first two sets of his match before play was halted early in the third, and Lleyton Hewitt and 2003 champion Juan Carlos Ferrero were scheduled to play later in the day.
On the women's side, two-time Grand Slam champion Amelie Mauresmo was in the second set against Olga Savchuk on center court when the rain returned.
On Monday, Roger Federer added another win to his already burgeoning clay-court record this season.
Federer improved to 16-3 on clay in 2008 by beating Sam Querrey of the United States 6-4, 6-4, 6-3 in the first round. Federer is attempting to become only the sixth man to complete a career Grand Slam.
"I've played well all clay-court season long," said the top-ranked Federer, who is 27-7 overall this year. "Didn't have many hiccups really, and I have plenty of matches. That was my goal as well."
Federer came into the French Open with only one title this year, which he won on clay. His seven losses are more than he had for the entire season in 2004, '05 or '06.
No. 8 Venus Williams joined sister Serena in the second round, completing her win just before play was suspended Monday. The eight-time Grand Slam champion overcame a second-set lapse to beat Tzipora Obziler of Israel 6-3, 4-6, 6-2.
"It's nice to have a quick match but it's nice to have a challenge also," said Venus Williams, who had eight double-faults. "I'm glad at the end that I figured it out."
Third-seeded Jelena Jankovic also advanced, defeating Monica Niculescu 7-6 (3), 6-2. Anastasia Pavlyuchenkova of Russia, the youngest person in the singles tournament at 16, reached the second round by cruising past Maria Emilia Salerni of Argentina 6-1, 6-1.

:-\":-\"

What to do when you lost your Wall Street job

Andy — Sun, 25 May 2008 12:20:39 GMT

I saw this article on NYTimes late last night and I tried to stay awake to read this whole article. I find it to be spot on, straight to the point and a very good read for people who is about to enter the industry. I sure learned a few cold hard facts about Wall Street jobs i.e it's a high pressure job. Certainly not everyone can make or strike in this environment.

Wall Street Exodus: Fear, Panic and Anger

By SARAH KERSHAW
THE mind wraps itself around losing a job, one of life�s great traumas, in jagged and swerving fits. When the call comes in, when rumor turns to reality, when it�s not the broker in the next cubicle but you who is presented with a stack of severance papers, the psyche takes over.
It goes numb. It goes into survival mode. Fear quickly turns into anger. For some, there may be relief in saying goodbye to what therapists call the �psychological terror� that has haunted the corridors of troubled financial institutions since last summer. But what follows � the unknown � may be no less frightening.

Since August, banks worldwide have announced plans to eliminate as many as 65,000 jobs. Many losing their jobs now have lived through other crises on Wall Street � the 1987 market crash, the widespread layoffs of the early 1990s and the financial upheaval of 1998. But investment bankers, recruiters and psychologists say the current economic downturn, the cascade of layoffs and the steady beat of grim financial news have exacted an especially daunting psychic price.

�These are people�s lives,� said an investment banker in his 30s who was laid off in November from his job at a Bank of America office in New York. �It�s not head count. We�re not cattle.�
Like other employees interviewed for this article, the Bank of American employee spoke on the condition of anonymity. He and several others who were laid off said that under the terms of their severance packages, they are not permitted to sue the company or to speak out negatively about it.

In an e-mail message, Bank of America said: �Job reductions are sometimes a necessary course of business, but they are never easy, whether you are receiving the message or delivering it. We always try to be as respectful as possible.�

Even for some of those who survive a job cut, the emotional landscape can change. �It�s like I woke up and I�m in a different country,� said a person who has worked for Merrill Lynch for more than two decades and has weathered a recent round of layoffs there.

He described widespread anger, mistrust and angst at Merrill, both among those leaving and those staying. �People are reeling,� he said. �The culture has turned. It is a nasty culture.�
Merrill Lynch laid off 20,000 people in the wake of the Sept. 11 terrorist attacks, and while many Wall Street workers say the deaths of co-workers were a shattering experience, they draw a distinction between banks� actions then and now. Merrill has laid off 4,000 employees this year. In this round, �these were self-inflicted wounds,� the Merrill employee said.

The Merrill banker spoke on the condition of anonymity, saying the company does not permit employees to speak to reporters without permission, and he said he feared retribution if he sought that permission or identified himself.
Officials at Merrill Lynch declined to comment.

MARLIN S. POTASH, a Manhattan psychologist who specializes in financial issues and whose practice has been overwhelmed with new clients from Wall Street in recent months, describes the emotional reaction as �the depression of the depression,� even as she acknowledges that the economy hasn�t ground into a recession, let alone a depression.

�This time versus other times, it feels like there are more moving parts moving faster, and more unpredictability,� she said. �The lack of predictability seems to be taking a huge psychological toll.� After the crash of 1987, for example, the markets stabilized quickly.

And even with the financial markets gaining some ground recently, analysts say that there is underlying panic, a sense that more bloodshed lurks, that upturns are only fleeting.

�The financial market volatility leads to a kind of emotional volatility,� Dr. Potash said. �There are seismic shifts, up and down and up and down: �I�m optimistic � the market�s looking good, the mortgage crisis is over. Oh, my God, they canceled an order. I can�t concentrate.� �

Among the patients who have seen Alden M. Cass, a psychologist who treats Wall Street traders and executives, are several who were laid off from Bear Stearns after the bank collapsed.

�They felt as if they were led with blindfolds on into a firing squad,� Dr. Cass said.
Officials at JPMorgan Chase & Company, which is acquiring Bear Stearns, declined to comment.
Dr. Cass and other psychologists and researchers who have worked with Wall Street employees say that these workers � often drawn to the intensity and volatility of their profession � are more prone to anxiety, depression, substance abuse and other mental stresses than the general population. They drive themselves hard. Working 10, 12, 14 hours a day is not only expected; it is also a badge of honor.

In some ways, these experts say, Wall Street types are perhaps better prepared to handle the shock of sudden change than those in more stable professions. But because they are typically measured by the size of their paycheck � bonuses, in particular � their self-worth is deeply threatened when the money evaporates.

�We�re talking about individuals who base their identities and egos on what they do for a living and how much they make,� Dr. Cass said.
Yet Wall Street is also a macho, �don�t let them see you sweat� world where showing self-doubt and weakness, whether to clients or co-workers, is about as welcome as a stock whose value is taking a nosedive.

Still, psychologists say, for those being laid off, whether or not they are comfortable expressing it, there is boiling anger, a sense of betrayal and loss that is bound to rise to the surface.
That appears to be true for the former investment banker at Bank of America who talked about being treated like cattle. He said he went numb when he was brought into a conference room with his manager and told he was being let go. He would get no bonus for 2007, either, typically 40 percent of his $120,000-a year salary, he said, and he was offered eight weeks of severance pay, which he accepted.

�I had no emotional response,� he said. Yet he is clearly angry now.
�Someone who shows up to work every day, that should engender some sense of loyalty,� he said. He was at Morgan Stanley in 1998, when it and other Wall Street banks were laying off thousands of workers. He had joined the bank in 1997, and before the layoffs, he said, �There was a sense of loyalty, they got my back, that sense of pride.�
�But that loyalty idea is gone for most of these banks,� he said.

He had been with Bank of America for three and a half years when the layoff rumors, swirling in his department for weeks, reached a high pitch. Since October, the bank has cut 1,150 jobs.
He looked for work for six months, ran through his savings and recently found consulting work. He is single, rents an apartment in Manhattan and is still paying off loans from business school, as well as several thousand dollars of credit card debt.

He says he decided to stick to consulting because he no longer believes he can rely on bonuses or the guarantee of a long-term full-time job. With the layoffs, he said, the banks are �destroying their greatest assets. It�s an us-against-them mentality now.�

KATHLEEN GURNEY, a financial psychologist, a researcher and the author of "Your Money Personality: What It Is and How You Can Profit From It," has developed several personality profiles of workers on Wall Street. Each, she says, will respond differently to layoffs.

The �High Roller� lives on the edge financially and becomes addicted to the thrill of earning large sums of money. But when things go bad, �they feel the greatest frustration both financially and psychologically,� she said in an e-mail message. The most common profile is what she calls the �Entrepreneur,� thriving on ambition but not taking as many risks as the High Roller.
�But they can be their own worst enemy in setting up ever-larger challenges and more rewarding challenges,� she said, and in the face of losing a job, the Entrepreneur may deny the emotional impact.

�Denial is a wonderful defense mechanism as it eases the pain,� she said, �but it also delays the day of reckoning.�
A third type is what she calls the �Money Master.� People who fit this profile typically earn less than and take far fewer risks than the other two types and are better prepared to handle market swings and even layoffs, she said.

�They can come out of it feeling even more confident than before if they use their flexibility and figure out a new game plan,� she said.

A 50-year-old Merrill financial adviser had already survived the 1987 stock market crash and crushing waves of layoffs before the Bank of America employee had even graduated from business school. For him, the layoffs at Merrill were not surprising, and the opportunity he took this month for a buyout felt like a gift.

He said that because Merrill would not authorize an interview, he did not want to be identified and risk jeopardizing the package, which provided him with 67 weeks of pay on a $101,000 salary, and the ability to stay on the company health plan, paying out of pocket about $400 more per month than he did when he was with the company.
He said he was sometimes irked by news media coverage that described the layoffs as shocking and devastating.

�If you went to school and you studied this industry and you studied economic cycles, why are you now surprised that this is happening?� he said. �It�s like going into politics and saying, �I didn�t know I could be voted out of office.� �

He described himself as very cautious in his own financial affairs and said he began planning for retirement early in life. �I�m in financial planning,� he said. �Isn�t it a sin not to do so for yourself?�

For others, though, especially those not close to retirement, the trauma of losing a job and the uncertainty in its wake can be devastating. That is particularly true for Wall Street workers, psychologists say, because their colleagues, family members and neighbors typically consider them to be financially secure.

�Since they are expected to be experts, job loss and financial strain can trigger shame and embarrassment,� said Bradley Klontz, a psychologist who specializes in financial matters. �The shame can be similar to a cop who gets mugged.�

FOR a 40-year-old midlevel employee at Bank of America in New York, being laid off was akin to losing her identity.

She had been in the industry for more than 15 years, and at Bank of America for five. But she was quick to say that no one should have a �pity party� for her when people earning far less were losing their jobs. In good years, with a good bonus, she earned as much as $400,000.
Still, it was the money that made her feel worth something, she said. �There�s not a sense that you�re helping the world,� she said. �I�m not curing cancer. If the money goes away, then what?�

She was offered 10 weeks of severance pay. �When I got laid off, I felt a sense of panic � what am I going to do next?� she said. But after that initial shock, she grew calm. �I don�t have to get up anymore and go and pretend things are fine when they�re not.�

She spoke on condition of anonymity because she said she feared retribution. She has been looking for jobs, but, as many recruiters say, it is an employers� market.

She has had trouble sleeping; she has lost weight. She started therapy but wonders whether it is helping. Not having a schedule is disorienting. She was accustomed to leaving the house even before her child woke up and getting home after dark.

�The first thing people ask you is what you do,� she said. �If you don�t do anything anymore, then how do you feel about your- self?�

Stanley Cup Finals, Game 5

Yuriy — Sun, 25 May 2008 06:03:55 GMT

Game 1: Pittsburgh 0 - 4 Detroit

Game 2: Pittsburgh 0 - 3 Detroit

Game 3: Detroit 2 - 3 Pittsburgh

Game 4: Detroit 2 - 1 Pittsburgh

Game 5: Pittsburgh 4 - 3 Detroit

Detroit leads 3 - 2

Manchester United wins UEFA Champions League

Yuriy — Wed, 21 May 2008 22:12:33 GMT

Manchester United won the UEFA Champions League by beating Chelsea 6-5 on penalties.
The teams were level 1-1 after extra time. MU were better on penalties: even though Cech saved one from Ronaldo, Terry missed the penalty, and at the end Anelca's shot was saved by van Der Saar to give MU the 3rd UEFA Champions League win in their history.

Canada 4-5 Russia in 2008 Ice Hockey World Cup Final

Yuriy — Sun, 18 May 2008 20:54:00 GMT

2008 Ice Hockey World Cup Final

Canada 4-5 Russia

1st period 3-1
2nd period 1-1
3rd period 0-2
Overtime 0-1

Russia won in overtime playing 4 on 3 after canadian player was sent to bench for 2 minutes.

This is the 1st World Cup medal for Russia since 1993.

Zenit Sankt-Peterburg (Russia) won the UEFA Cup.

Yuriy — Sun, 18 May 2008 01:48:36 GMT

Zenit from Sankt-Peterburg (thats how it reads in Russian), Russia, won the UEFA Cup beating Rangers from Glasgow, Scotland. This is the 2nd time in the last three years a Russian team wins the UEFA Cup. The first was CSKA Moskva (correct prononsiation) in 2005.

The UEFA Cup is the 2nd most important club tournament in Europe. Next week in Moscow, Man. United will play Chelsea in the UEFA Champions League final.

Who do you think will win?

Also, EURO 2008 starts on June 7. Most (if not all) European leagues will either finish by May 18 or have a break for the duration of the championship. I plan on posting some info about the games, stats etc.

For those who watch hockey

Yuriy — Sun, 18 May 2008 01:40:53 GMT

Sunday is the last day of the 2008 Ice Hockey World Cup. The final game is Russia vs. Canada. Both teams played extremely well in play-offs and qualifying games. If you get a chance, watch this game. There is plenty of info about the World Cup on the IIHF (International Ice Hockey Federation) website www.iihf.com

Time to overabuse dancing bananas!

VladimirBunicu — Sat, 17 May 2008 15:18:40 GMT

To put it in three short words (and many more dancing bananas!)
:dance::dance::dance:I AM IN!!!!!!! :dance::dance::dance:

Thank you to those of you who were there to support and encourage me to prepare and apply to Baruch MFE program, as well as to those who made the final decision. :tiphat::cheers:

BE WELL

Yan He — Thu, 15 May 2008 17:23:12 GMT

看了这篇文章，泪水不断。可爱的孩子成了孤儿。
Toddler survives quake after 43h, thanks to dead parents

2008-05-14 00:32:13 Xinhua English

Song Xinyi, a 3-year-old earthquake survivor, is saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. Song was saved after being buried in the ruins for more than 40 hours. (Xinhua Photo)

Soldiers carry Song Xinyi, a 3-year-old earthquake survivor who was saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

Song Xinyi, a 3-year-old earthquake survivor, is saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

Song Xinyi, a 3-year-old earthquake survivor, receives medical treatment after being saved in earthquake-hit Beichuan County, southwest China's Sichuan Province, May 14, 2008. (Xinhua Photo)

BEICHUAN, Sichuan, May 14 (Xinhua) -- A three-year-old girl in Beichuan, one of the counties that suffered the most from Monday's earthquake in southwest China's Sichuan Province, has magically survived under the dead bodies of her parents.

Song Xinyi's legs were seriously injured under the weight of her parents and many layers of rubbles, but she could still talk when rescuers pulled her out at 9:40 am, after more than 40 hours.

She explained the three Chinese characters that made up her name, and told everybody she loved painting and watching TV. Despite a coin-sized wound on her forehead, she still looked pretty.

Doctors checked her wound and bandaged her, but said an immediate operation was probably the only way to save her legs.

Premier Wen Jiabao, who visited Beichuan on Wednesday morning, consoled her and checked her wounds before she was carried onto an ambulance and sent to hospital.

Rescuers found Song on Tuesday morning, but were unable to reach her right away. Her head and shoulders were seen but her legs were buried under her parents' bodies, and any careless moves could cause her further injury.

They gave her food, milk and sheltered her from the heavy rain as they cleaned the ruins to approach her.

Early on Wednesday, a group of rescuers from Liaoning Province brought tools to lever the wreckage while others supported the ramshackle wall with chunks of wood to prevent it from toppling.

As the crowd celebrated Song's survival, they lamented her parents, who sacrificed their own lives at the critical moment to save the little girl.

Attached Thumbnails

Becoming a Quant!

Fitsume — Fri, 09 May 2008 19:44:38 GMT

Dear
I am very grateful for being a new member of Quantnet Community, and i am highly aware the support that i will eceive from you.
I graduated with B.Sc from Addis Ababa University in 2003G.C. Since then i have an experience working in scientific computing and Construction companies as an a network Engineer and customs clearance agent. I have been always dreamed of studyinig Financial Engineering and working in Financial analysis companies that extensively use the Mathimatical tools.

And now i am an M.Sc in computer science , F-1 student in USA and ready to receive your kindest advice with gratitude so that i can switch to study Mathematical Finance which has been a very burning desire for me for a long time. With all my due respects to you all, i am waiting to hear from you very soon,
:)
Truly Yours
Fitsume Dagnew

Emerging Economies and Role of Financial Engineering

owais — Mon, 05 May 2008 09:10:06 GMT

:smt024

Hi All

Quantnet NYC Community for Quants actually not only for NY but giving knowledge of Financial Engineering to those Countries as well who are in first phase of Financial Engineering/Financial Innovation , I am writing this because i have to share this with people having maximum Knowledge of Financial Engineering as i started reading i gain more knowledge and the desire of gainning more is increasing day by day more over i know that what is really meant by Financial Engineering:smt006 because Economies where Financial Markets are developing people having less knowledge of practical isssues involve in Financial Innovation like a country having no derivatives markets having no background of even basic issues what i am expecting from here to disscuss solutions which we are facing in Emerging Economies give me suggetion How would i enhance my knowledge of Financial Engineering and what experts Suggests what should be starting point
for Exchange traded Products in an Economy wher people have less Hedging Instruments hope you will continue support and spend the knowledge of FE.

Thanks

Owais

Learner of Financial Engineering:)

Starting a discussion

Risk Taker — Fri, 02 May 2008 16:45:58 GMT

Let's start a discussion on this pretty hot topic. We can include Enterprise Risk Management, transfer of risk to investors, etc.

Financial health of citi bank

siddhartha — Fri, 02 May 2008 08:41:14 GMT

Hi,
In the last few months there is lot of things being told about citi banks financial health. Can we have a discussion over citis various aspects on the blog. We can put our views over the blog and can start discussion................

Hi I want to know something

siddhartha — Wed, 30 Apr 2008 13:10:38 GMT

Hi, I am a biotechnology graduate from India. I am working with a Information Technology MNC. I want to pursue MS in finance. My gre score is 1390. Please tell me :
1. Do I have to take GMAT for admission and securing scholarship.
2. Which are the good Universities.
3. Will my graduation background impact my chances of getting admission.
4. What are the job prospects after Completing MS Finance.

Actually I will go for it only if I get scholarship. I had been working in IT since nov 2007 and willing to take admission in Jan (spring) 2009 or Aug (fall) 2009

When I grow up I want to become an astronaut. Or maybe a quant.

VladimirBunicu — Wed, 30 Apr 2008 07:09:51 GMT

I am excited, and have been awake for over 40 hours now. I just decided to write down my thoughts and emotions to alleviate the tension so that I could sleep.
There is a famous "blonde" joke :smt061, when a lady was asked what would be the probability of meeting a dinosaur in the street. Her firm answer was, "50 per cent". When she was asked to back up her answer, the blonde confidently explained, "Well, it is simple. Either I meet a dinosaur, or I don't!"
This week I have applied to Baruch MFE :tonqe:, and now, following the above stated logic, I have a fifty percent chance of being accepted :)
This is the first time I apply to grad school. To say more, this June will be the first time I graduate from somewhere! I have changed 3 schools and 3 colleges, but never actually graduated from any of them, always transferring. Even the high school years finished abruptly on the first semester of my 10th grade, when I was accepted to university. So I am kind of jealous to people who actually partied on a prom, holding a high school diploma in one hand and a sexy classmate :smt061 in the other; took a ride in white limo; got drunk like there was no tomorrow :partyman:- and there surely was no tomorrow :):deadhorse:
Regardless of the verdict from admissions office, the studying and preparation for the program is a pleasure by itself; for the last year and half my understanding and interest about finance and mathematical applications in finance have improved drastically :smt115. Before reading the books, articles and posts from Quantnet, as well as taking certain classes, my perception of the word "quant" was pretty childish.
You know, in Russia when asked, "What do you want to become when you grow up?" a kid would answer "I want to be a cosmonaut" (or astronaut, but in Russia we have cosmonauts, they are more cool :smt006). In child's head there is no specific understanding of what cosmonauts particularly do, except for that they fly in space and get awarded with the Order of the USSR Hero. A year ago, my abstract perception of a quant was somewhat similar to a child's perception of a cosmonaut. In real life there is no such unified concept as "cosmonaut", since there are many kinds of them, each having their own role in exploring space. And what is more to it, only one out of hundred gets into space!
I want to thank Quantnet members for being informative, educative, supportive and friendly. I am very happy to meet good friends, among both students and faculty, at Baruch and on Quantnet.

Upgrading Quantnet

Andy — Wed, 30 Apr 2008 05:02:58 GMT

VBulletin 3.7 was released today. I need to renew the software license to upgrade Quantnet. I need to find some time to do it the next few weeks unless something crazy happens.
I have been holding up against upgrading QN for a while since I can't find time and I know v3.7 is coming shortly. This version presents some of the largest improvements to the codebase.

This would mean that for the highly customized website like Quantnet with several dozens of mods and addins, something bounds to stop working. That is what I expect and eventually will find fixes for.

I'll keep an eye on how the new version works and for updates on the addins.

To read more about the new version and what new features we will have (I'm pretty excited about it)

http://www.vbulletin.com/forum/showt...90#post1549690

Hi,

Sangwon Hyun — Sun, 27 Apr 2008 16:31:00 GMT

I'm aiming for a job as a quant, and I'm majoring in financial mathematics right now. I don't know whether to double major or minor in CS, and what to do in grad school. I'm thirsty for information. Thanks!

Seeking Quants soon-to-be Graduating to be Featured in Advanced Trading magazine

Kerry Noel — Wed, 02 Apr 2008 19:16:44 GMT

I'm new to quantnet.org. I'm not a quant, I'm editor of a magazine and web site called Advanced Trading. (https://www.advancedtrading.com) Our audience is comprised of buy and sell side traders, quants and trading technologists. One of our up and coming issues will be dedicated to quants on Wall Street, and we have written many stories on how Wall Street firms recruit quants.

Hiring the Next Generation of Quants
http://www.wallstreetandtech.com/adv...leID=184417510

Demand for Quants Surges as Trading Requires More Math and Programming Skills
http://www.advancedtrading.com/story...4701310&pgno=3

We also have a job board where Wall Street firms post quantitative and trading postiions:

http://advancedtrading.thewallstreetwiki.com/jobs/

I'm considering doing a feature on up and coming quants--those graduating from notable programs hoping to enter Wall Street. I figured this would be a good place to start looking for candidates?

Top 10 reasons why Baruch MFE is not for you.

Andy — Mon, 24 Mar 2008 22:06:12 GMT

As most of you have known by now, I'm a Baruch MFE grad and have sung the praises many times. While I doubtlessly believe Baruch is an excellent program by all measure, I do not think it's the right program for many people. Many students want to get in Baruch program. Many have turned down well known programs to join Baruch. Some may have joined the Baruch program for the wrong reasons.

This is an attempt to give all prospective Baruch MFE students a reality check on whether it's the right choice for them.

Top 10 reasons why Baruch MFE is not for you.

1) You want to associate with a university that has worldwide recognition.
Chances are your friends, grandmom, uncles never heard of Baruch outside of NYC. If you want something they may hear of, go to Columbia, Stanford, NYU, etc
If your parents finance your education, you may want to go to a more famous program so they can be more willing to pay or can brag about it.
2) You want to have someone famous in the program
Columbia has Derman, Glasserman. NYU has Peter Carr. Baruch has no permanent big names even though Salih Neftci, Peter Carr do guest lectures. Instead, they have many non-famous faculty who love teaching.
3) You want to study in a beautiful 30 acre campus with Gothic buildings and huge dorms.
Baruch is a commuter college i.e its buildings are right in the middle of a densely populated urban area in lower midtown NYC. Its students live and travel to school from around the tristate areas. Cornell in Ithaca is a beautiful place.
4) You don't want to deal with the barrage of snide online comments
You will see lots of "Baruch is third-tier college, Baruch MFE is second tier program" kind of posts online. If you don't want to deal with these constant ridiculous, foolish attacks, then it's not for you.
5) You don't want to do too much C++ coding in the program
There is no escape from C++ at Baruch. There are other programs that do Matlab, VBA.
6) You want guaranteed internship and job placement
Then you want one of those programs that advertise intergrated internship/job. Even though Baruch has been very successful thus far, it does not guarantee you will have internship or job. You will have to work very hard and harder given the current market condition. They are more involved in helping you than others.
7) You want to do a PhD right after MFE
Very few Baruch MFE grads went on to PhD. The program is very practical and geared toward providing hand-on skills that plug you in a job right away.
8) You want a program with a huge MFE alumni network
Baruch is a new program that only graduated 100 or so since 2003.
9) You want all the courses to be taught by practitioners.
Even half of the courses are taught by practitioners, most of the core courses are taught by full time faculty who are math professors given the program is under Math dept. You may or may not like it. They are hiring more practitioners to teach in the program.
10) You plan to study part-time and expect a lighter load
There is no such thing as lighter load for PT students. If FT students have to spend 20 hours a week for one course, you are expect to spend the same amount of time regardless of how many hour you work, family, etc. You should know better before you join Baruch MFE. It's not a walk in the park.

Mortgage backed securities?

Buzancho — Mon, 17 Mar 2008 21:33:49 GMT

Is this article talking about not being able to value Mortgage backed securities?
An article from Cnn states how Bear Stearns got into this mess.
It states, "Suddenly, investors found they couldn't put a value on much of what the banks were selling."

Article:
The answer starts with investment banks: They sold complex securities backed by debt that was a lot riskier than most realized. The realization that the banks had failed to manage this risk sparked widespread concern among investors and other financial firms. Suddenly, investors found they couldn't put a value on much of what the banks were selling. As a result, the lending markets that keep Wall Street humming seized up because people feared they wouldn't get paid back.
http://money.cnn.com/2008/03/17/news...ex.htm?cnn=yes

Eliot Spitzer and the call girl

Andy — Tue, 11 Mar 2008 02:58:57 GMT

Probably the story of Monday would be news that NY Gov. Eliot Spitzer has been linked to a prostitution ring. When the news broke on NYTimes and then on CNBC, I heard several people snickered and made jokes. One kept repeating "niceeeeeee" every time a new detail emerged on TV. :D
He probably didn't have many friends on Wall Street and there are people who love nothing more than to see him goes down in this fashion.
Some said he got set up, some questioned who paid for Client 9. He is definitely done with his political career.

Is it MSFE?

gshah — Fri, 07 Mar 2008 18:11:43 GMT

I have done my Bachelors of Engineering in Electronics and Communication. I am right not working as a product test engineer in wealth mangement systems for a multinational company. I will be doing my MS in a course, which in the future helps me use my engineering and analytical skills to make business decisons and strategies. So in this respect,is MSFE going to satisfy this goal of mine?!
Any pointers will be really helpful.
:prayer:

A tough time to find jobs this year (Part 2)

Andy — Thu, 06 Mar 2008 06:45:09 GMT

The last time I blogged about the job scene for the 2007 MFE class, things were bleak. Now, it appears things are really, really bad at most of the well-known programs. I thought the Baruch students who graduated in Dec 2007 were in a bad situation but now all thing considered, we do a remarkable job.
The official stat the last time I checked was that 17/20 students got jobs. That means there are officially 3 more students still hunting until the end March. Through unconfirmed, I also heard that one more just got offer recently. I haven't been up to date with this matter but I have absolutely no doubt that my classmates will be able to land good offer by the end of March.

When that happens, we will be able to look back and realize the significance of this. That would mean Baruch is only one of the few that able to place 100% its students despite the deteriorating job market. This is not without some effects. The starting salary is not as high as we hope and some offers took longer to materialize. Also, some positions where our students did internship did not extend an offer as banks pulled back hiring plans.

Now let's make a round to see how everyone else is doing. I will only focus on the programs in NYC and other highly regarded ones.

Columbia MFE program:
This seems to be the hardest hit program this year. To be fair, we don't know how well they placed their students last year since there aren't much info to go around but this year, words got out that their flagship program has placed only 15/67 of MSFE graduates. And no student in MSOR got placed by end of Jan. That does not include the students in MAFN, EMS, Stats, PhD.
This is what being posted around on GD by a student from their program. I also heard this from others with knowledge of their placement this year.

Apparently, the size of their program and a lack of internship are not helpful factors in this market.

CMU MSQF program
This used to be the one that sets a standard very high on placement and salary for their graduates. According to this post, many of their students end up back in Asia. While it was not exactly the location they had in mind when joining CMU, I guess they are just happy with any job now.

Chicago MF program
I haven't heard much about their placement but everything I heard indicates they used to do a good job
Updated: it looks like UChicago is not immune from this year condition either. Read here (post #16)

NYU MF program
Similar to Chicago, NYU has nothing but praise this year. I'm sure Peter Carr and his extensive network of contacts play a big part in this. Actually, both Dan Stefanica of Baruch and Peter Carr are being highly regarded for their tireless efforts to place their student. You can read the remarks by Dominic Connor (Paul Wilmott's partner) on Wilmott here (the 11th post down). It's inside a damaging thread about Fordham program but that's another story.

So after you have a broad picture of how most expensive, well known programs fare this year, you gotta appreciate all the fine jobs that we do at Baruch. When the market is bullish, everyone got jobs and it's impossible to differentiate the good from the bads. When the market hits the fan like this, all the hard work plays up.

I can imagine Prof. Dan Stefanica has to work harder this year than ever but I bet he wouldn't trade his position for others at more prestigious counterparts.

Now that I cover the placement for the 2007 graduates, I need to mention the fine jobs that the 2008 students are doing. The internship positions that they have obtained by now are nothing short of spectacular. If I remember correctly, my class obtained internship much much later last year.

Here is a partial list of the internship positions the Baruch students will be doing in summer 2008. I will be updating this once I got more good news.

BNP Paribus, Fixed Income, Tokyo
BNP Paribus, Index Arbitrage desk, Tokyo
Societe Generale, Option trading, Tokyo
JP Morgan, Structured credit, Tokyo
Bank of New York, Risk Management, New York
Bank of New York, Risk Management, New York
UBS, Fixed Income Sales&Trading, New York
Barclay Capital, Equity/IT, New York

It looks like Asian offices are recruiting heavily. I think most people who intern there are from Asia so they may be setting up themselves for great positions after graduation.

It may be a mourning period at other programs now but I see plenty of positive things we can lean on during this difficult time at Baruch.

Can Soft Computing has any role in Financial Engineering

sumitsen — Tue, 04 Mar 2008 18:04:25 GMT

I am new to this forum. As far as my background, I have a Ph.D. in area of Fuzzy and Neurofuzzy based Soft Computing techniques (like Fuzzy Logic, Neural Net, genetic Algorithm etc. ) with 10+ years of Java/J2EE based distributed application design and development.

My question is do these technologies can play any role quantative FE area as there a whole lot of algorithms there for the solutions of data classification, knowledge discovery, forecastig etc.

Thanks in advance for the reply.:)

What makes an "Ivy League"?

VladimirBunicu — Wed, 30 Jan 2008 06:14:00 GMT

What would be the criteria for college/university to count as an "Ivy League" school?
The Spring 08 semester will most likely be the concluding semester of my undergrad. Each semester has been bringing me gifts, such as new friends, inspiring professors, loads of knowledge, skills, fun and much more. And I expect more of these by the end of the spring :)
This week I got acquainted with some more bright students, sweet girls, and five more professors. Talking about faculty at Baruch I want to emphasize their backgrounds: out of professors whose student I happened to be, about 80% from Finance department and 100% of Math department faculty hold Ph. D. from Ivy League schools (Columbia, NYU, MIT and Stanford) and have sufficient real world experience.
I am turning into a Baruch fan :) Not to mention state-of-art library, trading floor, "smart" classrooms, gym... Career development center with numerous workshops... And the location of the college is at the bull's eye pupil, so to say.

So what makes an "Ivy League"? Is Baruch getting recognition?

Automation

Andy — Tue, 29 Jan 2008 05:16:02 GMT

I was looking for way to access windows api via C# but found the .NET library is rather limited. it leads me to pinvoke.net - a wiki with all win32 api function. Via this, I can access all windows control such as graphic, sounds, etc...much like how WinXP controls it.

I think it's pretty nifty.

Code:

 [StructLayout(LayoutKind.Sequential)]
[DllImport("user32.dll")]
public static extern int ChangeDisplaySettings(
   ref DEVMODE devMode, int flags);

Then I found http://www.autoitscript.com which has a program that allows you to write script that can do lot of useful things. Things i tried to use C# to accomplish now can be done using some short script. For example, we have 3 monitors and we need to disable 2 of them so that we can remote log in from home. It's a hassle to do it manually or C# (this is where user32.dll comes in). With Autoit, I can do the same with this script

Code:

; exec cpanel app `display settings`
Run("C:\WINDOWS\system32\control.exe desk.cpl,@0,3")

; wait for window to be active
WinWaitActive("Display Properties")

; select 2nd display
Send("{TAB}")
Send("{DOWN}")

; work back to the �extend desktop� controls
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")
Send("+{TAB}")

; toggle �extend desktop� control and apply
Send("{SPACE}")

Send("{ENTER}")

former professionals only...

Erica — Thu, 24 Jan 2008 05:28:44 GMT

It's not that I don't (heart) and admire your beautiful minds as well as the sterling ambition... I'm just not one of you. For those readers with actual market experience who have found their "skill set" to be obsolete...

I am (ahem) older, in some ways wiser, and forever inquisitive. This blog is soley intended for those share that state or at best, that sentiment.

First and foremost, market commentary:

Small wonder that the market (spx) set a near term bottom based on the rumor/fact of a coordinated bailout of bond insurers.. . for an idea of the notational amount involved:

http://www.dealbreaker.com/2008/01/that_bond_insurer_bailout.php

as a starting point. For any young friends in the house, it behooves you to understand what bond insurance is and reflect upon the implications of an insurer downgrade wrt :

1: a subsequnt issuer of municipal debt
2: (more salient) an owner of municipal debt

#2 means that if you are an IB that owns/holds a portion of a municipal debt offering insurred by AMBAC, your portion of this offering now impliciply has a lower credit rating and hence has less value.

#1 is not an issue, many investors, namely Warren Buffet, have acknlowleged that insuring municipal debt is a phenomanol business proposition and will happliy and graciously step into the fray.

Intersesting enough Buffeft is quoted as saying,

"We view them as time bombs both for the parties that deal in them and the economic system .. In our view ... derivatives are financial weapons of mass destruction, carrying dangers that, while now latent, are potentially lethal."
- Warren Buffett, the Chairman of Berkshire Hathaway and his critique of the derivatives market. (March 2003) ed. see global derivatives archives for more..

Either Mr. Buffet feels as though he now has a better understnding wrt " courterparty risk" or perhaps the mainline business is sufficient to outweigh potential future future liabilities.
____________________________________________________________________________

Does anyone think that the VIX resembles a normal distribution? If so, what would you do?

Happy New Year!

Yuriy — Thu, 03 Jan 2008 05:43:45 GMT

Happy New Year to everybody! :)

2008 will be a wonderful year with so many things to do and to take care of.

We will have Euro 2008 in the summer that promises to be one of the best Euro championships.

New Year resolutions

Andy — Wed, 02 Jan 2008 03:17:35 GMT

2008 is finally here. It will be a good and full of interesting events year. 2007 was a year of hard work.
I wish everyone a new year with many wishes realized. If you are looking for jobs, I wish you quickly obtain a great job that you truly enjoy. If you are in or thinking about an MFE program, best of luck.

I know that I'm supposed to have only one or two resolutions. I never made any resolutions so I'd just start a new year with something new. I'll make a few resolutions this year and see if I can keep or make it at the end of the year. I'd like to hear from my blog readers as well on what your resolutions for 2008

Be proficient with a new programming language.

I already have Visual Studio 2008 setup and been playing with it for the last few weeks. My resolutions is to be proficient with C# (VB.NET is quite similar and I can pick up along the way). I can see we moving to the .NET platform and it can help my job more efficient.

Maintain a high level of energy, enthusiasm in everything I do

I think it contributes to everything I have done the last year.

So what is your New Year resolution ?

Networking is essential

Andy — Sun, 23 Dec 2007 05:34:21 GMT

You probably have heard it a thousand times before. That's networking is the key to getting a job in the finance industry (any industry for that matter).
It seems everyone knows each other in this business. It's really a small world. It's probably not "six degrees of separation" but rather "three or four degrees of separation" when it comes to people on Wall Street.

It turns out that my boss and I went to the same PhD program, had the same adviser and studied the same subject 10 years before I started mine. It's funny when we found it out.

I came across Roger Ehrenberg a while ago on his blog informationarbitrage.com. And Roger introduced Elias Ladopoulos to me. Eli works for Roger as Director, Applied Research/Analytics at Monitor110.

I grabbed a drink with Eli last week. He is a great guy. Somehow he reminds me of a young Keanu Reeves.

Eli was in the Baruch MFE program briefly couple of years ago before work/family forced him out. I saw his post in the Introduction thread months ago but didn't reconnect it until now.

Roger used to run DB Advisors LLC which is now DB Alternative Trading LLC - the group I work under.

My new year resolution would be to network more. Networking may get me in the door but one can only benefit further in his career when keeping his mind and eyes open to any other opportunity. I would like to get to know more people, learn more about what they do. I'm of the belief that people may work in different product space but there are always things I can learn from their experience, expertise.

And for those still in school, I can't just stress enough how important it is to open up your professional network. Remember that networking is a two-way street. Don't just hit people up when you need a favor, a job, internship, etc. People network with you when you are genuinely interested in their work and offer your time and help in return.

I'm seeing a positive trend in this year group of Baruch MFE students. I see more of them on LinkedIn. I don't remember seeing any of us on LinkedIn the year before. It's a good habit to build and I'm sure they will benefit greatly sooner or later.

HAPPY NETWORKING

A tough time to find jobs this year

Andy — Mon, 17 Dec 2007 05:40:53 GMT

Some of my online friends who study at other programs in London (LSE) told me that their didn't receive any offers from the IB they interned during the summer. Some of them got the offer withdrew due to the desk's headcount being cut.
When you add the immigration issue to the mix, it is not a pretty picture. There was some change in INS policy a few months back that greatly affected H1B visa wait time. Some people told me their firm didn't extend the offer because they can't file the H1B visa for another year or so.

So some of my friends head back home to Asia. It's good to know that China, India market is growing at great pace but it is sad that the market condition in the US has made lot of people unable to find a job.

Who would have thought about this just a few months ago. The market was doing great at the beginning of the summer. Last year job prospect was great.

I heard the same stories from people at NYU, CMU, Columbia as well. This does not apply to any specific program or location. There are people who went on to several interviews without any solid promise of an pending offer.

If you just start your MFE this semester, keep studying hard. Who knows what will happen next year. It may recover as fast as it felt into a slump this year.

If you are on the job market this year, work a bit harder. There are opportunities out there to be found. This is not a time to be pessimistic.
Best thing to do is to take a break during the holiday vacation. Travel somewhere. You deserve a break after a long and hard study. There is no hiring during holiday so take this time off and rest. When you start working, it will be long before you can get a vacation.

When you are back, hit the job market hard. People in the program are working extra hard to assist you but you have to put 100% into it yourself. I would hate to see people just give up when things turn bad.

If you do everything you're supposed to do, instead of getting a job offer by now when the market is good, you will likely get an offer in Jan, Feb. That means having a break between graduating and working.

It's a positive thing, right :)

The pulse of Wall street

Andy — Sun, 16 Dec 2007 05:47:47 GMT

There is no better place to feel the pulse of Wall Street better than on a trading floor. Every movement on the market is quickly shown on the reactions of the traders. You hear people curse, scream in disgust, clap. All sort of emotion.
The flow traders seem to live and breath with the market. They are happy one minute and sad the next with every tick of market prices.
On the other hand, prop traders are mostly out of it. They go about their business every day quietly. There are not as much excitement and chatter as their flow counterpart.
It's amazing to see how much time the flow traders sit glued to their Bloomberg screens. For them, every bps counts. Except when they go the restroom, water cooler, the majority of their time is in front of their terminal. They usually order in and eat in front of their computer.

As their spend so much time on Bloomberg, they kill time by telling stupid jokes, talking about girls, emailing Bloomberg article around, all the usual guys stuff. Since there is no female on the floor, some of the talks are sometimes X-rated. It's hard to keep a straight face when those guys get a bit silly.

When the Fed lowered the rate by 25bps, you can see the disappointment on their face, talks. And you see Bloomberg news about the market reaction. These guys are spot on indicator of how the traders react to the market.

Getting to know me...

lindsay — Thu, 13 Dec 2007 20:13:17 GMT

I may as well put a bit about myself to start.

Currently doing MA in Probability and FE at York University/Schulich SOB in Toronto. Finishing April 08.

Finished BSc in Applied Maths at Uni of Calgary in 06. Concentration was in Mathematical Finance. Did minor in Pure Maths too.

Switched to probability just for something new (and it was my worst course in undergrad). Besides, there was only so much I could handle just pumping formulas in Applied.

Before I did maths, I did a couple of years of mechanical engineering, got turned off once I started working in the field. Was more interested in maths/finance.

On the path the last 6 years I've done all the usual in MathFin: Calculus, Real/Complex Analysis, Stats (blech: theory yes, applied no!), Probability, Stochastic, Linear Algebra, Numerical Methods (ad nauseum), Derivatives, ComSci.

Did a LOT of work with MATLAB, tiny bit of Java/C/C++/Pascal/VB/Maple. Spending spare time getting better grip on C++ now to prepare for the job market.

I have some connection back in the energy markets in Calgary, but I am looking both in Toronto, New York, London as well for employment. Need to get that proverbial "foot in the door".

Updates as necessary.

Very nice charts

Andy — Sat, 08 Dec 2007 04:49:32 GMT

My friend mentioned about products from Dundas and ComponentOne. They are advanced visual data tools that provide many features over the basic Excel charts.

I will look into this kind of tools and hopefully play more with the .NET set. It looks really cool.

Deutsche Bank Chief Turns Down Chance at Citigroup

Andy — Wed, 05 Dec 2007 04:57:08 GMT

Dec. 4 (Bloomberg) -- Deutsche Bank AG Chief Executive Officer Josef Ackermann turned down an opportunity to pursue the top job at Citigroup Inc., the biggest U.S. bank, according to a person with knowledge of the matter.
The New York-based bank contacted Ackermann by telephone about two weeks ago to ask the Swiss-born manager if he'd be interested in becoming CEO, said the person, who declined to be identified because the talks were private. Ackermann will stay at Frankfurt-based Deutsche Bank, the person said.

``It would look good for Deutsche Bank if Ackermann was being considered for the job,'' said Philipp Musil, who helps oversee more than $24 billion at Constantia Privatbank AG in Vienna.

``He's got a good track record running a large multinational bank with retail and capital markets exposure,'' said Andrew Lynch, who helps manage $8 billion at Schroder Investment Management Ltd. in London and doesn't hold Deutsche Bank shares. ``It's not as large as Citi, yet it's still a key player in global markets.''
http://www.bloomberg.com/apps/news?p...TMU&refer=news

Very interesting news indeed.

Euro 2008 Groups

Yuriy — Mon, 03 Dec 2007 07:44:35 GMT

My experience finding a job

Andy — Mon, 26 Nov 2007 02:42:55 GMT

So what was my goal when I applied to the Baruch MFE program in 2006 and what did I achieve at the end ? This story would hopefully give readers some realistic perspective when it times to go on their own job searching.
When I learned about the Baruch MFE program in March 2006, I knew right away it was a very good deal. The salary stats on the website were very tempting. While I knew the numbers are not indicative, I knew I would get more return going MFE than doing whatever I was doing at the time.

So here was my calculation at the time.

I was in my second year in a Math PhD program and let's assume that I would continue to find money/time/passion to finish the degree in the next 4-5 years. Let's say I got a PhD 5 years later. Then I would then spend the next 1,2 years doing post-doc and searching for tenured track assistant professor positions at some public colleges in NYC. Best I would hope is to make 50K-60K a year. Then maybe 80K a few years and several pay scales later. Not really exciting when you live in NYC right ?

So what about the Baruch MFE deal ?
Up front investment: 10K in tuition and around 18 months of intense training.
Return on Investment: potentially first year salary in the neighborhood of 100K

I understand that the deal is if I got in the program, work hard and do everything I'm supposed to do, the program will provide me with training and opportunities to obtain jobs with the knowledge I learn.

I understand that under no circumstance, admission to MFE program guarantees a job with 100K base salary. And I'm not aware of any other MFE program that can provide that promise even you pay 60K-80K tuition there.

So the responsibility is in the students hands to obtain the jobs, not the program. I've seen my fair share of people who just sit back and unrealistically expect firms to email them the offers. They should understand the deal when they come into the program. You have to be proactive and spend lot of time to prepare for interview, look for internship and full time opportunities.

Also, be positive. About everything.

If you interview a few places, chances are you will bomb in one of them. If you don't get an offer, just keep in mind that the next offer will be much better. Always.

So where does the MFE program fit in the picture ?
The program will give you access to positions you wouldn't have otherwise. They do it via alumni, networking, relationship with firms. If you look for an entry level job to break into Wall Street, this is everything you need to start your career. And this is why so many people willing to pay $80K a year for expensive programs like CMU and the like.

Now, back to my job searching experience, while I highly encourage all to do the job hunting aggressively, my bet is that you will end up with a job via the program. That has also been my experience.

I was able to get interviews with Credit Suisse, Bear Sterns, Deutsche Bank, UBS and some credit hedge fund via the program contacts. I would not able to get this many interviews without being in the program even if I have a PhD. This just goes to show why Baruch MFE opens many doors. This, in my calculation, is worth all the money and effort.

Just for comparison purpose, I did apply to Fitch internship online and got an interview. But the kind of positions I found online is nowhere near the kind I found via the program contact. Someone mentions that most of the best jobs are unadvertised. This may explain it.

So now it's Nov 2007 and I couldn't be happier of how my decision to join the Baruch MFE program turns out. I am working in a good team doing very interesting thing. It's relevant to what I learn and most importantly I love and learn new thing every single day. I owe this to the director of the program who has helped me along the way. He has his hands on most of the building blocks that leads to where I am today.

In conclusion, I hope that the readers will agree with me that a positive mindset will go a long way when it's time to get an entry level job on Wall Street. And my experience is one I hope will show that if you keep your part of the deal, you certainly will get the outcome you sign up for.

Russia have qualified for Euro 2008

Yuriy — Thu, 22 Nov 2007 11:02:46 GMT

Magically Russia have qualified for Euro 2008 because England lost to Croatia at home 2-3.

Israel 2-1 Russia, a very painful loss

Yuriy — Mon, 19 Nov 2007 06:59:41 GMT

On Saturday, 11-17-07, Russia lost to Israel in their next to last Euro 2008 qualifying game.
Given that Russia are a better team, they were supposed to win. Now that they lost in Israel, the only way Russia can qualfy for Euro 2008 is if England lose to Croatia at home and Russia win against Andorra. The second is not hard to do, but the first is almost impossible, since England and Russia are fighting for the 2nd place in the group (Croatia has claimed the first).

music websites (updated)

VladimirBunicu — Wed, 14 Nov 2007 08:22:00 GMT

Updated: 11-14-2007
From silicon valley comes another music website. :-\"MediaMaster is a player that makes your music accessible from any computer with internet access. \\:D/The difference from an online radio as Pandora is that you can upload your own music files and keep your music library on the web. Again, it is free :)

Updated: 11-03-2007
Yet another nice music website that I discovered recently:
Pandora is an Internet radio by Music Genome Project.
I heard that the inventors researched music recognition to create a search engine - but it didn't work out, however they invented Pandora as a byproduct. Very nice byproduct :)
In Pandora a user creates personalized radio stations by entering a name of a favorite song or artist. What Pandora does, it creates a radio station on this request, searching for a similar songs. One user can create numerous personalized streams.
Ads-financed, though ads are not noticeable at all - just banners, and hey, you don't hear them ;)... So the service is free, I really recommend it.

____________________________________________
09-19-2007
Today I spent more than an hour studying this:
http://www.di.fm/edmguide/edmguide.html

Electronic music is everywhere now, so this approach (as through music history) gives some exposure to fundamentals of day-to-day environment. As a fan of Psy Trance I was happy to find this visual aids.:dance:
I wish they had similar tree for classical music.

I have roots again!

VladimirBunicu — Wed, 24 Oct 2007 18:14:20 GMT

I thought immigration was easy for me. The truth is, when a plant is being transplanted to another location, it loses its roots. Hence, it sacrifices time to root again, instead of growing higher. It might not realize that it is not growing, until the time when it meets the plants that have not been transplanted.
This week I have discovered a website called "odnoklassniki.ru" - a Russian replicated realization of classmates.com. And what I've found, that my classmates from schools and universities are now a) mostly married
b) some have kids
c) most of them successfully work in field of finance and
d) the guys who were studying applied math with me are either traders, derivatives traders, or quantitative analysts in large investments banks and other investment companies! And besides that, few guys have their own successful businesses.

With my reference points restored, I realize that I was growing much slower, and was spending my energy, rooting instead.
At the same time, I also realized that I have great potential for growth and can further absorb knowledge. With the given procrastination, I will be a hot shot in 2 years (and that date coincides with expected MFE graduation date :) ) Its weird to take the acceptance to MFE as given, however I have no other choice to catch up with math and finance, but to graduate with MFE...

Feel soooo energized! :dance: I believe that is what Larry Simons called a "fire in your stomach" on his yesterdays presentation...

Part time or not ?

Andy — Tue, 23 Oct 2007 04:07:19 GMT

I have always been a full-time student my entire life which means I managed to not get a fulltime job while in school. I worked during school before but those jobs are not conflictive with my schedule. Until now.

I can't brand myself a full pledged part timer. At best, I'm just a pseudo part-timer since this is my first semester I have half course load. And next semester will be my last if things go according to plan.

I have seen many of my classmates who work full time, take 2-3 courses, with family responsibility. To top it off, they have children and a long commute to school. My hats off to them.

Working and studying are a balancing act. There are times when I have to choose between staying late at work or leaving early for class. I wish I never have to do it but being new at work, I don't have the luxury as many classmates who have been in the job for years.

The biggest downside is that school no longer interests me as much as it used to since I started working. I find it harder to concentrate on lectures after a long day at work which isn't new to anyone who's been studying and working.

So to all my friends who about to graduate and get a job, enjoy your few months left. You'll be glad you finish school before working. And to all of my friends who working FT and going to school at night, hang in there. It's a big commitment and I hope it pays off handsomely.

This gets back to the advice I've been telling everyone even before I start working: if you can afford it, study FT, get it over with quickly. MFE is a very intense program and working while studying takes away the focus and dedication that your study requires. If you are doing just that currently, stay focused and God bless !

Outlook for Trader Bonuses

Andy — Sun, 21 Oct 2007 05:40:30 GMT

Catch this article on Advanced Trading from a link on Roger's IA site. The article quoted Roger on the bonus issue but I also found some bit of useful info there.

Going forward, more experienced traders, especially in the structured credit world, will work for less money, says Dolfino. Traders in junior positions who can do hybrid trades � equity or fixed income, cash or derivatives or a combination thereof � will still have a role to play to especially on the corporate side as it pertains to high yield and distressed debt, says Dolfino.

Since most Wall Street firms make money through their proprietary traders, the question is how will traders generate profits under tighter guidelines? �They need to define and quantify the nature of risk and not just shoot from the hip, as most traders are known to do,� says Dolfino, adding, �It�s tougher, more commoditized and more regulated market.�

The full article can be found here http://www.advancedtrading.com/blog/...k_for_tra.html

I also found that the site has a photo album of UBS trading floor. We visited them before but no picture was allowed so this is a great time to see up close. I posted the link on the UBS thread but here it is http://www.advancedtrading.com/galle...l?galleryID=20

While browsing through a couple of articles here, this one caught my eyes. It's pretty accurate in describing the problems most desks have trading OTC products. Once a trade is done, there are so much work involving in confirming, clearing between many counterparties and dept within a bank. Money is not that easy to make
Link http://www.advancedtrading.com/resea...leID=201201909

Presents, books, fractals and RAM are students' best friends

VladimirBunicu — Fri, 19 Oct 2007 22:49:31 GMT

Hooray, yet another wonderful present from my boss! =D> He always gives me books, and I already can't follow up reading them.
This time it is "Fractals and Scaling in Finance: Discontinuity, Concentration, Risk" by Mandelbrot. What's funny, coincidentally we were discussing fractals with Christian last week.
Professor Shaw at Baruch had also mentioned fractals on one of his lectures, in regard that some guys were trying to calculate the length of observable plot for stock price movements, and couldn't do so, because the length was not finite, and the function was discontinuous; the observed figure was actually a fractal.

Being a freshman in Russia I used to play with fractal generators under Linux, but I didn't care for its mathematical properties; I simply liked the shapes.
Fractals are also cool looking when being animated. One of my friends is a video DJ, and he uses these to make people happy :)

Today I've received a piece of RAM, and upgraded my Thinkpad right away (I carry around a couple of screwdrivers at any time). Lets see how many running programs will my workhorse be able to handle now.:-k

Very Impressive Euro 2008 Qualifier Game: Russia 2:1 England

Yuriy — Thu, 18 Oct 2007 05:53:25 GMT

Details to follow :) as I am hoping to read more info and watch the game.

Summer gone, Winter here

Andy — Fri, 12 Oct 2007 03:32:35 GMT

Has I missed the Fall and its glorious foliage ?
Got to work this morning and the weather is cold enough to warrant a thick blazer. Office workers in midtown all wear an extra layer of clothes this morning. I like NYC during winter. People tend not to rush as much as during warmer weather.

Just last week, outdoor cafe was packed with people during lunch hour. My coworkers and I used to walk over to 48th and 3rd Ave to order lunch and sit on one of the benches there. Now, the sidewalks are thinner. We now bring our food back to the company's cafeteria or eat at our desks.

It's raining right now and the next few days. Temp is dropping to the low 50. Summer is def gone before I know it. This reminds me that Xmas is coming and I can't wait.

Winter is my fav season because sleep is more enjoyable.

excel shortcuts

VladimirBunicu — Thu, 11 Oct 2007 22:02:36 GMT

The fin. modeling classes continue. All this week I had to skip most of these, as they were at the same time with my Baruch classes. But there are three more days when I don't have school, so tomorrow from 9 to 6 I will be learning how to valuate a company to make a decision about acquisition. Exciting :)
About 8 out of 9 hours in these classes we use Excel, and they've had us to memorize some Excel Shortcuts to speedup work. Was very useful for me, I recommend to learn these to anyone who deals with Excel on regular basis. :smt024