Quantitative Finance Collector

Earn money as a part-time Quant

Mon, 21 Dec 2009 00:09:15 +0000

Thought twice before typing these words, ok, let me make it clear, this post is only for those people with similar situation with me: either being laid off as a Quant recently, or being still a student with Quant major, luckily or not, I am both types, being fired several months ago and now studying for my PhD. I am writing the post to share my experience as a part-time Quant, earn little cash to cover my living costs (plus expenses for beer in weekends), most importantly, to do jobs we like (please forgive me if you notice I add ad block on my blog, I increase my alcohol intake, practice really makes perfect...)

I know Elance several weeks ago refered by a friend of mine, who is a software engineer and gets used to do SOHO jobs, "why not try to be a freelancer since you now have enough self-controlled time?", that's the first reaction he had, then I knew the site and started to earn spare money. Basically Elance is a portal where companies find, hire, manage and pay contractors online, and is a place independent professionals to meet clients and get paid for delivering great results. I personally found several great projects already, not bad payment plus opportunities to practice our quant knowledge, for example, two randomly chosen projects about derivative: one is forex trading strategy

and the other one is about option portfolio profit and loss calculation

If you are interested, just Register Free, Find Freelance Work! and Bid on the Project, once your proposal is selected, you are in and start to do the project.

The other site I personally find useful is first tutor, a site allowing people to register as a tutor and to teach part time.

Anyway, earning by doing a job I like is always cool.
Tags - quant

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Friday reading list 12/18/09

Fri, 18 Dec 2009 17:25:03 +0000

Instead of posting Chinese financial news, I will collect a list of interesting paper to read on every Friday, hope you'll enjoy them (please don't forget to forward to and share your favorites with me). Downloading links are following the titles if they are publicly available.

1, Characteristic-Based Mean-Variance Portfolio Choice. "The empirical results highlight the potential for 'stock-picking' in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1501141;
2, An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model. "we introduce a closely related generalized Nelson–Siegel model on which the no-arbitrage condition can be imposed. We estimate this new AFGNS model and demonstrate its tractability and good in-sample fit." http://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdf;
3, MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis. "we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1523365;
4, Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence. "We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. ... Empirical results show that the reduced-form model fits callable bond price data well and outperforms the traditional approach in both in-sample and out-of-sample applications.", http://papers.ssrn.com/sol3/papers.cfm?abstract_id=972121

This week's tweets:
1, The 25 Most Powerful Men In Finance, http://dealbreaker.com/2009/12/the-25-most-powerful-men-in-fi.php;
2, Remembering Paul Samuelson, http://www.bbc.co.uk/blogs/thereporters/stephanieflanders/2009/12/remembering_paul_samuelson.html.

Have a nice weekend, everyone.
Tags - friday

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Conference on Computational Topics in Finance

Thu, 17 Dec 2009 12:41:39 +0000

As an ETH alumni, I am always with pleasure to post any issue regarding ETH, let alone this conference is highly relevant to our topic: quantitative finance and Rmetrics. Please read the conference announcement, courtesy of Yohan Chalabi.

Conference on 'Computational Topics in Finance'
February 19/20, 2010, National University of Singapore

We would like to announce the first 'Computational Topics in Finance' conference, taking place on February 19/20, 2010, at the National University of Singapore.

The conference will bring together developers, practitioners, and users from academia, finance and insurance, providing a platform for common discussions and exchange of ideas. The topics will include using R/Rmetrics in finance, but the conference is by no means confined to R.

You can find out more about both events on our website, http://www.rmetrics.org.

We would like to invite you to take part in the conference, and we are now accepting submissions; please send your one-page abstracts to submissions [at] rmetrics.org. The submission deadline is February 10, 2010.

We look forward to seeing you in Singapore.

Wishing you merry Christmas and a happy new year,

The organizing committee:
Diethelm Wuertz
Juri Hinz
Mahendra Mehta
David Scott
Tags - conference , r

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Derivative pricing Engines

Wed, 16 Dec 2009 10:30:20 +0000

Another online option calculator, the main difference with other online option calculator introduced before, as mentioned on its webpage: it is a Dynamic option calculator whose volatility curve is updated according to market conditions. The current calculator can be only used for pricing the European Vanilla FX Options, for instance, for EUR/USD, USD/TRY, EUR/TRY, GBP/USD, USD/JPY, USD/CHF, currencies, which is not so appealing, to be honest.

Interested reader shall check at its website at http://www.derivativeengines.com/index-3.asp

Tags - derivative

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Quant jobs received within last ten days

Tue, 15 Dec 2009 19:50:17 +0000

Ten days ago we set up a quant jobs board and introduced at the previous post Publish / Apply Quant Jobs, so far with the help of submitters there are over 10 jobs listed,

Market Risk Associate at Goldman Sachs in NewYork    ;
Quantitative Analyst (Market Risk) at Credit Suisse in London
Senior Quantative Analyst at ICBC in BeiJing
Summer Internship Opportunities 2010 at Macquarie in London
Trainee - Capital Markets at Calyon in HongKong
Hedge Fund Associate at Apex Capital Management in HongKong
Barclays Capital Summer Internships at Barclays Capital in London
Long-Term Internships at BNP Paribas, Anywhere
J.P. Morgan summer internship programme - London at JP Morgan in London
Global Modelling and Analytics Group - Quantitative Summer Institute (QSI) 10 week internship progra at Credit Suisse  in London
Assistant Fixed Income and CDS Trader at AXA in Paris

Apply for interested positions free and help us expand the board by posting your jobs, thanks.
Tags - quant , job

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Computational Finance Virtual Conference

Sun, 13 Dec 2009 22:38:09 +0000

Got an email just now from MathWorks about a Computational Finance Virtual Conference, which might attract you as well, so I just put the email here:

Still Time to Access Exclusive Content from the Computational Finance Virtual Conference.

Even if you did not register for the conference, there is still time for you to view the conference presentations, research products on the exhibit floor, and see why hundreds of your peers from around the world attended the Computational Finance Virtual Conference.

Conference Highlights
Keynote Speakers
Managing Diversification
[Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk]   Dr. Attilio Meucci, Head of Research Bloomberg ALPHA Portfolio Analytics and Risk

Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
[Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux]   Charles-Albert LeHalle Head of Quantitative Research Credit Agricole Chevreux

Who Should Attend
•   Traders
•   Economists
•   Actuaries
•   Risk managers
•   Portfolio managers
•   Quants

See exclusive keynotes by Dr. Attilio Meucci from Bloomberg; and Dr. Charles LeHalle from Credit Agricole Chevreux.  View conference presentations by MathWorks product experts, research the latest information on MATLAB and several products designed specifically for the financial industry.

Featured Conference Presentations:
•   Insuring Our Future: Projection Systems, Liabilities, and Assets
•   Managing Diversification
•   When Will the Recession End? Multivariate Time-Series in Econometrics
•   Rigorous Intraday Trading: Best Quantitative Practices to Minimize Your Tracking Error
•   Knowing Your Risk: Credit Value at Risk Calculation

After a simple free registration you will be led to a page where visual conference is being hold, where you can watch conference video at conference hall, download resource at resource center, chat with representatives at exhibition hall, have a casual talk with other people at networking lounge, etc.

Interesting, register Until January 15 here.‏
Tags - conference , matlab

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My tweets of the week 12.05 ~ 12.11

Sat, 12 Dec 2009 15:31:01 +0000

1, Want to invest like the former Merrill Lynch champ? Bob Farrell's 10 Rules For Investing, http://tinyurl.com/yakjony;
2, is there financial crisis in China in the near future? http://ftalphaville.ft.com/blog/2009/12/10/88276/attention-anthony-bolton/;
3, Ultimate Guide To Becoming A Quant By Mark Joshi, http://www.simoleonsense.com/ultimate-guide-to-becoming-a-quant-by-mark-joshi/;
4, Where Wall Street Gets Drunk, http://www.businessinsider.com/where-wall-street-drinks-2009-12;
5, I'm doing 'God's work'. Meet Mr Goldman Sachs, http://www.timesonline.co.uk/tol/news/world/us_and_americas/article6907681.ece;
6, Capacity and Factor Timing Effects in Active Portfolio Management, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1516469.

Share your tweets by

Tags - twitter

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Ad hoc Black Scholes model for Option Pricing

Wed, 09 Dec 2009 22:16:41 +0000

One shortcoming of Black Scholes is its constant volatility assumption, lots of extension has been done to improve its out-of-sample performance, to name a few, heston stochastic volatility model, SABR stochastic volatility model and Garch option pricing. Here is a paper "On Justifications for the ad hoc Black-Scholes Method of Option Pricing" where the author interpolates the implied volatility, substitutes the result into Black Scholes formula, which outperforms the original Black Scholes model. Straightforward and few more lines to your codes are enough.

Quotation

Abstract: One of the most widely used option valuation procedures among practitioners is a version of Black-Scholes in which implied volatilities are smoothed across strike prices and maturities. A growing body of empirical evidence suggests that this ad hoc approach performs quite well. It has previously been argued that such a procedure works because it amounts to a sophisticated interpolation tool. We show that this is the case in a formal, asymptotic sense. In addition, we conduct some simulations which allow us to examine the importance of the sample size, the order of the polynomial, and the recalibration frequency in controlled settings. We also apply the ABS approach to daily S&P 100 index options to show that the procedure outperforms the Black-Scholes formula in valuing actual option prices out-of-sample.

Download the PDF at http://www.uh.edu/~jberkowi/ and the matlab files at http://www.bepress.com/snde/vol14/iss1/art4/.

Tags - black scholes , volatility

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C/C++ for Numerical Computation

Tue, 08 Dec 2009 14:38:33 +0000

A large list of C/C++ Sources for Numerical Computation, as its' website introduces:
This is a collection of pointers to:

* free source code available on the net,
* books which come with source code, and hence act as low-cost libraries,
* articles and documents, especially those available over the net.

Check it out if you happen to find it useful: http://cliodhna.cop.uop.edu/~hetrick/c-sources.html
Tags - numerical

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Paul Wilmotts new book on quantitative finance

Sun, 06 Dec 2009 12:08:12 +0000

Paul Wilmott has written a new book Frequently Asked Questions in Quantitative Finance since his first version two years ago. I was really excited when I read the first version as he explained every question within several extremely easy paragraphs even for starters, which makes me recall what the CEO of alibaba once said during his presentation: "I would explain my business plan to my grandmother to make sure she is able to understand before we take action."

Anyway, I have ordered the new book and am still waiting for my package. Just a short comparision from the contents between first and second version, it seems besides the up-to-date of several chapters like "Popular Quant Books", "The Most Popular Search Words and Phrases on Wilmott.com" and "Brainteasers", the author adds a new chapter "the common mistakes in quantitative finance", which might refer to the current credit crisis and draw lessons from it. Plus, the author adds two more ways to derive Black Scholes formula to a total of twelve different ways, interesting.

Look forward to reading it.
Tags - wilmott

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