Nuclear Phynance

Masters in Physics at Cambridge or Applied Maths at Imperial?

barnflakes — Sat, 31 Jul 2010 02:49:48 GMT

Hi all, was looking for some advice re: which course to take.

I have offers to study for a Master of Advanced Study in Physics (basically part III of the tripos) at the University of Cambridge and also an MSc in Applied Mathematics at Imperial. I'm a little bit unsure as to which offer to take. Basically, I can take no relevant options at Cambridge, at Imperial I can take courses such as "Applied Stochastic Processes" and "Introduction to Financial Mathematics" and also things like "Numerical Methods for PDE's" and "Asymptotic analysis" which I gather are very useful for understanding finance.

I did my undergrad in Maths and Physics obtaining first class honours at the University of Nottingham - everything at Imperial would be completely new to me, I only studied basic PDE's and fourier series as well as real analysis, complex analysis and probability but no numerical methods or stochastic processes etc. so I think it would be more useful in that sense. At Cambridge it will just be a continuation of the physics I have already studied to some extent.

I want to work in FO but not necessarily as a quant - I've been looking at trading, structuring but also structured sales. My dilemma is that at first I thought I should just go to Cambridge due to the better brand-name and study finance in my spare time. However, I've been trying that for a while and I find it extremely hard to make any real headway into mathematical finance. It feels like I need to properly dedicate myself to the maths and concepts involved rather than spending an hour or two reading around the subject in the evening (and quickly finding that my probability and measure theory background is not sufficient so having to fill in gaps in that regard too). Also trying to learn C++ without having any concrete examples to work on is going extremely slowly.

I'm not yet sure if I want to do a PhD in physics or applied maths - at present I have done two summers as a research student in the physics department - while I find the ideas in physics interesting I find that life as a research student maybe isn't quite as interesting for the majority of the time - at least in experimental, I'm spending a lot of time doing electronics and calculating simple quantities for laser optics etc.

So basically I want to work in a bank rather than do a phd, I think, but at the same time I don't think I could be anywhere near ready in terms of understanding the concepts and maths in finance by the time it comes to interview time in Autumn, and I think Imperial is more useful in that regard, but if I decide I want to do a phd, maybe Cambridge is the best bet?

Any advice is much appreciated, I am one confused soul at the moment.

swiss govie market commentary ?

silverside — Fri, 30 Jul 2010 11:26:43 GMT

Can anyone recommend a source of commentary on the Swiss bond market ?

From initial investigation it seems less liquid than the Eurozone... specifically I am digging to see why the bonds and the 10y future seem to have diverged around the 20th/21st July and wondering if you have any pointers ?

Thanks !

Entropy as a diversification measure?

agentq — Fri, 30 Jul 2010 03:46:12 GMT

As an example, this:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533

At my firm, we've recently started considering using this metric as an additional limit on some of our portfolios. I'm working on applying the basic idea of this paper (PCA, shannon entropy) to some of our more complex bond portfolios.

Anybody else have any ideas of using this in practice?

Opinions on Headhunters

DevilStaircase — Thu, 29 Jul 2010 22:03:56 GMT

Hi all. I realize this is a common thread-title here on the career board, but neither a Google search nor an NP thread-search has yielded any results, so here goes..

Has anyone had any experience (or heard any good rumors) about the following headhunters:
> Hagan-Ricci
> Rimrock
> BCI
> Capital Markets Global

Thanks!

U.S. Long Leading Index (USLLI) time series

dgn2 — Thu, 29 Jul 2010 17:57:07 GMT

Does anyone have access to the U.S. Long Leading Index (USLLI) time series data?

On the simplest way to price american style options using MC

SunFrenchy'sCo — Thu, 29 Jul 2010 16:20:54 GMT

Hi,

Longstaff-Schwartz seems to be the standard method to price an american option using MC.
I don't want to seem tilting at windmills, but is there no simpler/better way to do that using MC ?

CTA in New Jersey

sunnybm — Thu, 29 Jul 2010 14:44:50 GMT

I am looking for information on Commodity Trading Advisors (CTA) in New Jersey. I am wondering if anyone has a list or can point towards the right place to look for such information. Most of the lists I found online, don't show the location of the CTAs. Thanks.

barone adesi whaley - options on futures

hilss — Thu, 29 Jul 2010 13:50:15 GMT

Hello,

Does anyone have the code for American Option Prcing (for options on futures) using the Barone-Adesi-Whaley Model?

It is my understanding that as long as the interest rate is greater than (or equal to) the dividend, the price of an American Call option on a the spot is equal to the price of a European Call option on that same underlying - since the expectation of is to grow at a rate of (r-q). But if the underlying is a future/forward, there will be a premium to the American call option because sometimes it's more benefitial to exercise and get the future/forward. Can you explain why this is?

If you have the code for it, would you please paste in here? I just want to go through a bunch of examples and see where the difference comes from. I already have the code for the spot.

Thank you

Recruiters/headhunters for Moscow

pleb — Thu, 29 Jul 2010 13:25:06 GMT

Does anyone have any experience of recruiters/headhunters recruiting into Moscow? It seems to be much less open than the London scene (where I'm currently based).

Any help would be great.

Any opinion about ITO33Convertibles?

pj — Thu, 29 Jul 2010 12:10:53 GMT

Out of pure curiosity.
< disclaimer > I have no opinion about it.
I simply don't know (and that doesn't tell anything
(about ITO33Convertibles) )

How do I convert a 3-variable stock screen into an absolute ranking?

math_trading_coding — Thu, 29 Jul 2010 01:04:49 GMT

Very simple question here:

Let's say you have a stock screen that filters by:
1) Return on Equity (0-20)
2) Price-to-Earnings (0-15)
3) Price-to-Book (0-2)

Theoretically, you want to maximize #1, and minimize #2 & #3.
Say 500 stocks pass your screen on all 3 measures.
Along with ticker, I have these in 3 values in Excel columns.

I want to rank them. so I can buy the 10 "best".
What algo/formula can I use to create a "rank" column? (that I can sort by)

Thanks!

Brazil CDI Curve

neel2783 — Wed, 28 Jul 2010 16:34:46 GMT

I have heard that Brazil CDI rate curve is only a continuous daily compounded basis. Is there a way to convert the rate from compounded basis to normalize basis?

Options on dividend futures

HighYield — Wed, 28 Jul 2010 15:08:55 GMT

Hi guys, I wonder has anyone worked on modeling options on dividend futures. My questions are mainly how to best model option dividend volatility surface and account for the volatility decay in the delivery year of the future contract.
Thanks

question on alglib levenberg marquardt implementation (C#)

manik — Wed, 28 Jul 2010 11:13:18 GMT

Hi,
I am using the c# implementation of alglib.
Is there a way to use an LMA implementation (from alglib) in which you do not need to provide any of the derivatives ( trying to calibrate heston).
It is easily possible in Matlab (lsqnonlin doesnt necessarily ask for calculation of the derivatives).
However it would be great if it were possible in c# as well.

Manik

Selecting gamma and delta exposure

macrotrader — Wed, 28 Jul 2010 09:59:33 GMT

I have a risk-indicator which I want to trade. The indicator is supposed to tell me whether the equity markets are biased towards a sharp downward movement. How do I select an appropriate put option given a certain delta and gamma exposure? Or rather, how do I map my indicator on a gamma exposure in relation to theta? Thanks.