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Like I said before, quants on option trading desks generally create models that allow traders to hedge portfolios more effectively or create arbitrage opportunities through synthetic opportunities. Yep. There is no way to live without a view on the market, quantitative or non-quantitative...

Well, there are a few ways to look at it, but is essense when you buy or sell a calendar, you are placing positive or negative view on the forward vol. You can set up the position in such way as to keep all of the greeks down to minimum and make it a pure vol play. An alternative (and a very...

Harry, there is a thing like this already - insurance companies trade mortality derivatives. You see, death of a single person is a tragedy, death of a thousand is a statistic ____________________________________________________________ -- So, what's the death rate around here? -- Still one...

True. Very much true. Well, you right - i am bored and like to come here to show off :) All I was trying to say was that for a true discussion of this sort you should go to wilmott.

The reason you have such a thing as forward rates is that you can lock in the rates by selling a shorter bond and buying a longer bond. In a similar manner, you can lock in the forward vol by going long on a calendar and shorting butterflies - you get a lock on forward vols at zero net cost...

Well, that was exactly the point. QUOTE]Quote from Don Bright: The larger firms (Billion or more), can probably put a few traders to work, but not that many "discretionary traders." More likely, the "jobs" are more robotic in nature ...especially since so much is automated these days...

Well, in real life (which is different) any flow trader has some kind of prop view on his book, there is no real way to hedge all the risks while keeping at least some of the profit. If you think otherwise, you are wrong. Not true. A fully hedged book is far more diffucult to maintain then...

Really? For example, an average CDS book is worth couple billions in notional and it needs to be properly hedged on a whole slew of risk factors. Running a balanced book of OTC derivatives is not straight forward.

Hull is a good intro text book, but has very little to do with real life trading. It is a must-read, though. Pauls book is ok (again, as an intro to quant finance), but his treatment of IR derivatives is horrible - he concentrates too much on his perception of "life as stochastic PDE". In your...

A market maker is not dependent on the market efficency as much as any medium term trader. There are clear studies about some autocorrelation on under-a-minute time scale, which the MM's explore. Electronic markets will bring this advantage down to zero in the near future. In addition, market...

Don't you think there are things more important in life then positions and profits? :)

Correlation ranges from -1 to 1, with 0 being uncorrelated, 1 is doing the same, -1 doing exactly opposite. Nice to remember that correlation is normalized by volatility of both assets - that is, if two assets are perfectly correlated, does not mean they would both move the same amount, but...

If you are looking for someone "free", look at your PM. The person is very bright. Are you looking for occasional advice or actuall work (code, derivations etc.)?

I do not think there is any opposition - comparing quants to non-quants in general is like comparing cars to planes. I do not think equity trading is that different depending on wether you are looking at head and shoulders pattern of some sort or at some index correlation and naming it some...

Well, it really depends on what you trade - I would really like to see some street-wise kid trading CDO's :D. As for models - my motto is always "give me a simple model i can understand, not a complex model i can trust" A good trader has to understand the model - but if the model is really...

NT is yet another personality that is worth dicussing in depth, especially considering that all of his money was made by being long vol during a particular market crisis. And after that he writes books like "Fooled by Randomness". I personally think is is stuck up (and if you read his books it...

By no means, quant finance is not opposed to market timing. If you look at many FI funds, they are doing exactly that with the shape of the yeild curve. So far I have seen exactly the opposite - it is the technical traders that advertise their prowess. Have you ever seen a book "Make easy...

Well, there are plently of people including many other clowns (myself included) who did or do that. I was saying he is a clown for other reasons - he has a single idea that he was promoting his entire life and the mathematical apparatus he developed for that idea is vastly inadequate. While I...

if anyone is a clown, that's andy lo. nobody on the street takes him seriously. there are plenty of people who claim things like that, but so far there has been little proof other then a few papers. To put it bluntly - while nobody will ever claim that markets are truly efficient, Andy Lo keeps...

experience shows that if you show a chart from MC simulation to a chartist, he will find head-and-shoulders pattern in it.