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| Pricing Basket Options With Skew |
| Dong Qu |
2102 Views |
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Equity basket options have long been important
tools in structuring financial products. They are widely used in portfolio
management and as retail products as they are typically more
cost-effective than multiple single underlying options. The components in
a basket can be single stocks (names), equity indices or funds.
Historically, managing basket option books has proved to be problematic
and rather difficult for many banks.
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| Fooled by Randomness lecture |
| Nassim Nicholas Taleb |
10159 Views |
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On 28th June 2004 NNT gave a Finance Focus lecture on his book 'Fooled by Randomness.' This event was held at the Financial World Bookshop and sponsored by Wilmott magazine, d-fine and 7city. Nassim Taleb is an essayist principally concerned with the problems of uncertainty and knowledge. Taleb's interests lie at the intersection of philosophy, mathematics, finance, literature, and cognitive science but he has stayed extremely close to the ground thanks to an uninterrupted two-decade career as a mathematical trader. Specializing in the risks of unpredicted rare events ("black swans"), he held senior trading positions in New York and London before founding Empirica LLC, a trading firm and risk research laboratory. Taleb is a fellow at the Courant Institute of Mathematical Sciences of New York University where he has been teaching a class on the failure of models since 1999. His degrees include an MBA from the Wharton School and a Ph.D. from the University of Paris Dauphine. Fooled by Randomness has been published in 14 languages and the author's ideas on skeptical empiricism have been covered by hundreds of articles around the world. Since childhood, Taleb has been obsessed with the defects of his own thinking. In addition to his scientific and literary interests, Taleb enjoys cafe lounging and museum hopping.
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| Quantitative Analyst, Equities /Commodities Leading European Hedge Fund London £250k - MA210 |
Quantitative Analyst, Equities /Commodities Leading European Hedge Fund London £250k
Quantitative Research, Quantitative Analyst, Quant, Systematic Trading, Algorithmic Trading, High Frequency Trading, Commodities, Equities, C++, Matlab
Leading European Hedge Fund Manager with a strong reputation for successful and high quality Investment Performance seek an experienced Quantitative Researcher/Quantitative Analyst/Quant with experience in Equities or Commodities from a top tier Investment bank to join their exciting and intellectually stimulation environment.
You will join a successful quantitative research team as an experienced quantitative analyst and will be responsible for researching and implementing alpha generating, risk and trading models in the Equities, and/or Commodities space. You will be responsible for creating high frequency quantitative systematic portfolio models from scratch, back testing and optimising the alphas. You will develop trading hypothesis, write simulation and back testing code, formulate concrete and creative solutions and leverage the experience of your fellow quantitative researchers/quantitative analysts to take models from research to production.
Experience Required
PhD in a quantitative Discipline from a top tier University
Exceptional coding skills in C++, Matlab or equivalent
Ideally previous experience as a Quantitative Researcher/Quantitative Analyst in a top tier Investment Bank within the Equities or Commodities space (although other asset classes will be considered)
Excellent understanding of quantitative finance, portfolio theory, derivatives
Strong financial data analysis and research experience, time series modelling, simulation experience
Experience of working with large and complex data sets
Excellent communication and problem solving skills
If this position sounds interesting to you , then please send your resume in confidence to Ada Offonry - a.offonry@mavenalpha.com or call on +44 (0) 20 3178 5678 for a discussion. |
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| Paul
High-frequency Trading: Where are we and how did we get here?
28 06 10: 10:30 AM |
| NNT
My Technical Appendix
16 04 09:2:40 PM |
| Collector
Unpublished, unedited, undated, unread
31 08 10:11:18 PM |
| Emanuel Derman
There Must Be A Pony
30 08 10: 9:27 PM |
| Satyajit Das
Cross Dressing in Political Economy
26 08 10: 8:08 AM |
| DCFC
deMorgans Law
22 07 09: 3:04 PM |
| Pablo Triana
Donald Van Deventer“s Self-Serving And Childish Critique
05 08 10: 12:21 AM |
| Jan Dash
Free Opera - NY Grand Opera 2010
12 07 10: 8:34 PM |
| Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM |
| Iris Mack
"Inside Job": Documentary Investigates the Financial Crisis (video)
02 09 10: 9:26 PM |
| Cuchulainn
Higher Order PDEs and the Curse of Dimensionality
06 06 10: 4:12 PM |
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