10

Of course making money is always the key issue. That (not completely facetious) comment aside: On the practical side, in many firms IT is struggling with being clear, transparent, and intuitive in their handling of multiple curves and their associated risks. Stumbling over your own systems is an annoying way to lose money. These risks can be surprisingly ...


8

Q. Why do Quants have the best job in the world? A. Because they spend their time looking at MODELS all day.


8

I'd say to read Prof. Shreve's well-known two-volume textbook Stochastic Calculus for Finance I and II.


6

Two Day-Traders went to go eat (after the market closed of course!). One of the traders orders a steak and has a hard time cutting it. He then asks for a sharper knife... when he unfolds his cutlery the knife hits his plate and falls out of the table and lands right by his foot which was slightly sticking out of the table. The other trader looks at him and ...


5

It doesn't matter since multiplication is commutative (in $\mathbb{R}$); you will always end up losing the same.


5

On the N. N. Taleb's website, you can find all his papers collected in the bibliography he updates on his own site. Hope this will help.


4

All books recommended in previous posts are splendid :-) I would like to add one more book for continuous time financial mathematics: Arbitrage Theory in Continuous Time by Tomas Bjork.


4

A Banker explains another banker why he is not getting married ... "She is hot, but not half my fortune hot".


4

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 ...


4

"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 ...


4

Go check out http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=475810 For social science literature, ssrn is almost always the best source.


3

While amsh's answer definitely gives you what you need for interview purposes, for any visual learners like me, here's what running through all possible paths ends up looking like. Another thing I might consider bringing up in an interview context would be the intuitive reasoning behind why it works out this way. In other words, just explaining that a 15% ...


3

There are a few things: Non-cynical: Active absolute return managers tend to underperform passive benchmarks after fees. So if you can get a manager that can outperform a passive benchmark (perhaps who has a mostly passive strategy with some active tilts), then you are doing well. Your scenario of a portfolio dropping 48% is not realistic. Most asset ...


3

The first reason is the answer to this question : should I bother invest in your fund and not simply invest in the S&P500 etf ? The second is : Are you a fraud ? If someone claims to use a long only strategy with stocks from the S&P500, you expect his fund returns to be correlated to the S&P500 to some extent. If it is not the case => fraud.


3

Summary Answer: Those are interested to benchmark against indexes who sell such index products (pricing data, trade marks, rights to use and publish), and of course portfolio managers because they look generally much better when indexed against indexes than when being assessed through risk-adjusted returns. The general public is sadly just too uninformed to ...


3

Who is a quant's favourite actor? A) Heston


3

You might find this paper interesting: "Does Finance Benefit Society?" It's a very complicated question and in my opinion the above paper provides a nuanced answer.


2

Read it somewhere... What is the difference between a bond and a bond trader????? The bond matures.


2

I recommend to you : "Market Risk Analysis" by Alexander Carol for the "finance" part and "Time Series Analysis" by Hamilton for the "maths/stats" part;


2

Some more references. Here are three starting books: for generic knowledge: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management, by Bouchaud and Potters; for risk + statistical approach: Risk and Asset Allocation, by Meucci; for microstructure: Market Microstructure in Practice, by Lehalle and Laruelle.


2

As regards the free sources, the best place where you can find material about credit risk management is defaultrisk.com; it is a website where are collected (almost) all academic (and not) articles and working paper, references and researchers. Moreover, as regards the forums, I think you should try visiting Credit Risk Group at Linkedin; it is a very ...


2

The classic text for machine learning is 'The Elements of Statistical Learning' by Tibshirani et al. I believe the term "data mining" is often used synonymously with "machine learning".


2

What are some indicators that a given security might be inefficiently priced? What about efficiently priced (i.e., how can we estimate the degree of information already baked into price)? You would need to get lower level data than what was used in this paper that was referenced here. The MSF data is probably fine for the paper, but if you were to ...


1

You have a correct understanding. There is a subtle difference in that Knight effectively distinguishes uncertainty from chance. It could be argued that there is no such thing as chance in the Bayesian posterior density. To understand why, imagine that you were holding a strictly fair coin and you were going to gamble with an unknown stranger who would ...


1

If you would like to obtain a job as a quant first you have to pass a job interview in a company. During the job inteview you will be asked about basic math (derivative, integral, limit, etc.), stochastic analysis (martingale, Wiener process, Poisson process, etc.), ODE, PDE, SDE, risk measures, Black-Scholes model, short-interest rate models, Value at Risk, ...


1

The simplest workaround is actually to forget that Macauley duration exists. I actually feel very strongly about this: Macauley duration shouldn't be taught in school, should be mentioned only in passing in textbooks (if at all), and belongs only in the history section on Wikipedia. This is because it's more or less useless in practice. When practitioners ...


1

I second Tibshirani's book. There is an another edition you can download free on internet : http://www-bcf.usc.edu/~gareth/ISL/


1

The papers mentioned in Taleb's CV are not linked to actual PDF files. To get them, an advanced search on Fooled By Randomness website will do the job, site:fooledbyrandomness.com filetype:pdf pdf The search can be refined for particular articles.


1

I have heard good things about Epps but haven't read it. Hull is aimed at less technical people and can get a bit turgid. I have my list of recommended books with discussion at http://www.markjoshi.com/RecommendedBooks.html


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