Hot answers tagged soft-question
11
If you need a primer covering various domains of math then Dan Stefanica's text will do the job. The text covers multivariable calculus, lagrange multipliers, black scholes PDF, greeks & hedging, newton's method, bootstrapping, taylor series, numerical integration, and risk neutral valuation. It also includes a mathematical appendix.
If you want an ...
8
I doubt you will find one book that covers everything you need, but here are a few that I continually come back to whenever I have some questions on the mathematics.
Analysis of Financial Time Series by Ruey Tsay
An Introduction to High-Frequency Finance by Dacorogna et al
Probability and Statistics by DeGroot and Schervish
Statistical Inference by Casella ...
8
Sure. The formula for vega (you probably recall) is
$$
v(\sigma) = S n( d_1(\sigma) )\sqrt{T-t}
$$
The gaussian PDF, $n(\cdot)$, is strictly non-convex, having a local maximum at zero. There is therefore a corresponding maximum of vega occurring where the strike $K_\text{max}$ solves
$$
d_1(\sigma)=0
$$
which works out to
$$
K_\text{max} = S ...
7
If you asked me for a single book as a starting point I'd probably go for:
Frequently Asked Questions in Quantitative Finance by Paul Wilmott
7
"Extreme programming" is a buzzword that has received a lot of hype in the past few years. However it's important to note that it's only one item in the long list of SW development philosophies and that it's not - contrary to its proponents' claims - a panacea.
On the other side it's very beneficial to follow a few simple rules while writing even small ...
6
I have only seen one framework that works in a research oriented development environment which is the spiral model. Using try agile methodologies is impossible because the frontier of tasks is not known. Agile is very useful for building/maintaining known applications with known functionality and problem spaces. It is not useful for research oriented ...
5
To see the connection between put-call parity and option price you should read this highly insightful paper by Espen Gaarder Haug & Nassim Nicholas Taleb:
Option traders use (very) sophisticated heuristics, never the Black–
Scholes–Merton formula
It shows how you can heuristically derive option pricing formulas by adapting the tails and skewness ...
5
The best way to do it is by getting an internship as an entry level analyst or some sort. They do not necessary expect you to know computational finance(they will teach you), though you need to be bright, have an outstanding academic record, and of course, good communication skills. As you get in there, you can then ask around about the specifics of what you ...
3
"Individual Craftsmanship"...I am not sure how you want to apply this skill set later. Craftsman to me means someone who simply applies a tool set, it does not imply (according to the dictionary definition) whether professionally to earn money or in order to teach or treat it as a personal hobby. So please let me comment on all three:
Professionally in the ...
3
There are some Agile benefits that you will reap, even if you are the sole programmer.
You may feel silly doing a scrum by yourself in the morning. But you may find it to be a benefit to plan what you would like to work on that day, and to think about what you might need that day (especially if you need to read about solving a quant problem).
Planning out ...
3
Quantivity has three great posts about how to learn algorithmic trading
http://quantivity.wordpress.com/2010/01/10/how-to-learn-algorithmic-trading/
http://quantivity.wordpress.com/2010/01/12/how-to-learn-algorithmic-trading-part-2/
http://quantivity.wordpress.com/2010/01/12/how-to-learn-algorithmic-trading-part-3/
2
As an agile developer and quant finance programmer, I think that unit testing is invaluable. Because you really never know if your code is doing what it is supposed to do without tests. How do you know that your code is calculating your proprietary indicators correctly?
You probably ran your new code and checked the result against some other code or system ...
2
there is no stealing of data unless you delete it from the original source. Let me elaborate, as the semantics are very important here. Stealing, even with quotes around it, "Stealing" requires that something is removed from the original place. You steal car. You copy a file, as such data is protected via copyright when it can and other subsequent acts that ...
2
Here is a summary of books categorized per subjects:
http://qoppasociety.org/compendium/books.html
Time Series Analysis
Risk Management
Asset Pricing
General Econometrics
Programming
Optimization
Bayesian Modelling
1
The vega is quite linear for ATM options. It's convex mostly for OTM and ITM.
An intuitive explanation is that an OTM option with zero volatility will be worth zero. If you increase the volatility by 1% then most likely the price is still close to zero. Therefore the vega is zero (or tiny).
Now if you increase the volatility sufficiently, clearly at some ...
1
An important part of research is reproducibility of results. There is no point of drawing conclusions, if you can't reproduce the data to back them up. For this you need at least an organized way of storing your code, so that you can find what was the algorithm you used to produce that graph. A source code repositore is an ideal way to do it.
By the same ...
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