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[CalTrader]

Quote from sle:


Since you declined to specify what your "very advanced systems" are all about, sounds like you don't know much about derivatives valuation. There are very few commerical fields on par with valuation of derivatives in terms of mathematical difficulty and computational complexity. I'd say crypto and CFD (or more general FE methods) are the only two that come to mind right away. BTW, for crypto, NSA regularliy rumages US-based PhD programs in topology and number theory and apprently they have no problem hiring naturalized citizen.

...Written several systems that are used everyday in "valuation". Since I worked at the CME for about ten years during the start of their options markets and one of my clients is the largest bond trader in the US I might guess that its you who may not know as much about derivatives "valuation" as I do .....

And you are way off if you think that deriviatives valuation modeling is difficult mathematics or programming. Most all of this including every type of embedded options model you can think of has all been done: its common knowledge as to how to model and program the models for these which is why these postiions are on the way down with respect to the dollars they can command: this is now commodity knowledge.

There are however many new areas of applied mathematics that are not even found in the general published journals. This work is much more interesting and much more lucrative than the type of work you are describing - and working conditions are much more desirable.

 

[sle]

Quote from Mecro:

Dude,
Yes the jobs are out there and you can see them on job websites. But do you even realize the competition for those positions? You almost have to take pay cuts or deal with immense stress and absurd working conditions. I know someone who is in the exact industry you speak off and I have heard exactly what it is like. He has Ph. D. in computer science, C++ expert and has worked in the industry 4-5 years (a lot of those right on Wall Street). A few months back he was telling me how much he was really really sick of his current boss and was looking around for a job. He had interviews, got some offers and ended up staying at the same job. I asked him why, he was was getting more money at the other positions. He said that they were paying enough for the type of crap they expected from him and that maybe his boss isnt that bad anyway.

Dude, I am working for a place that pays that much NOW, not a few years ago. We are still hiring, in fact I saw someone being interviewed today (i am not in the loop for that anymore). As for crap - well, every job has crap, if just sounds like your friend is cranky. Everyone we hired in the past year came from another comapny with a raise.

 

[sle]

Quote from CalTrader:
...Written several systems that are used everyday in "valuation". Since I worked at the CME for about ten years during the start of their options markets and one of my clients is the largest bond trader in the US I might guess that its you who may not know as much about derivatives "valuation" as I do .....

I can tell you exactly what my area of expertise is - exotic FI options.
If you are going to boast that you work for a largest bond trader - explain to me what is the difference between joint and separate stripping of the credit spread curve? Also, explain to me why bemudan options on bonds require either a two-factor model or a collection of vol spreads. Couple of simple concepts, but it will show how much you really know - it is you CURRENT client, right?

Quote from CalTrader:
And you are way off if you think that deriviatives valuation modeling is difficult mathematics or programming. Most all of this including every type of embedded options model you can think of has all been done: its common knowledge as to how to model and program the models for these which is why these postiions are on the way down with respect to the dollars they can command: this is now commodity knowledge.

Are you saying that implementing HJM is "commodity knowledge"? There is a long way between journal publication and practice - many models have been around for long-long time but implementing them is still very tricky. Even implementing BS in real life is tricky.

Quoting Pat Hagan "The most tricky thing in life is to solve really complex problems with relatively simple mathematics".

 

[misctrader]

Quote from sle:

I can tell you exactly what my area of expertise is - exotic FI options.
If you are going to boast that you work for a largest bond trader - explain to me what is the difference between joint and separate stripping of the credit spread curve? Also, explain to me why bemudan options on bonds require either a two-factor model or a collection of vol spreads. Couple of simple concepts, but it will show how much you really know - it is you CURRENT client, right?



Are you saying that implementing HJM is "commodity knowledge"? There is a long way between journal publication and practice - many models have been around for long-long time but implementing them is still very tricky. Even implementing BS in real life is tricky.

Quoting Pat Hagan "The most tricky thing in life is to solve really complex problems with relatively simple mathematics".

sle,

so u trade or implement? Asian? Bermudan? Parisan? Passport? hehe. HJM has been around for years but still not easy...

But CalTrader does have a point though. Not everyone can get a job like that. So, it does NOT help the average IT or average programmer that there are these high paying jobs if they can't get them..

and that's the point of this entire thread i think...

 

[Mecro]

Quote from sle:

Dude, I am working for a place that pays that much NOW, not a few years ago. We are still hiring, in fact I saw someone being interviewed today (i am not in the loop for that anymore). As for crap - well, every job has crap, if just sounds like your friend is cranky. Everyone we hired in the past year came from another comapny with a raise.

Ok well I believe you, but I think you are very strongly disillusioned if you think the whole industry is how your company is. You are making it sound like '99.

 

[sle]

Quote from misctrader:

sle,

so u trade or implement? Asian? Bermudan? Parisan? Passport? hehe. HJM has been around for years but still not easy...

But CalTrader does have a point though. Not everyone can get a job like that. So, it does NOT help the average IT or average programmer that there are these high paying jobs if they can't get them..

and that's the point of this entire thread i think...

trade and hack a bit. For a prop trader in exotics it is hard to get by without hacking some models. Used to do much more of that when i was at my previous place of work, may all my coworkers rest in peace.

all, I am not sure how we got to this place, I got carried away - I apologize to CalTrade and whoever else got distracted by my ranting. I am a bit cranky today for health-related reasons and in addition, had nothing better to do.
More to the topic - I do agree that outsourcing is a problem, I was merely making a point that it will eventually resolve itself, one way or the other. In any case, I am taking a long position on the US economy and the country itself (i do have other options).

 

[sle]

Quote from misctrader:
Parisan? Passport?

off-topic: when they start trading parisian and passport on interest rates, i will retire

 

[limitdown]

Quote from MackieMesser:

I heard Paul O'Neill on the radio today. He's very impressive. What he had to say about Bush fits very well with the impression one gets...disengaged is a polite way of saying, "too stupid to know what is really going on."

www.amazon.com/exec/obidos/tg/ detail/-/0743255453?v=glance

m

Anyone that achieves Presidency is worthy of significant respect. That having been said, then so to goes scrutiny. It appears that too many people, even Fidel Castro, picked up on these gaffs. Actually, it was reported that he said something to the effect: "I can't believe they allowed that guy to become president". In repeating that 3rd hand quote, I cleaned it up substantially.

Disengaged is also a nice way of saying that the attitude displayed is really one of not caring sufficient to convince anyone of one's sincerity. Its also another way of saying that this is not a topic that one cares to really care about. Pity, one could speak about one occupying such a lofty position.

 

[BloodTrader]

Quote from limitdown:

Anyone that achieves Presidency is worthy of significant respect.

No they're not.

Bush is a lightweight and a tool of others.

m

 

[TGregg]

This thread has generally tread the admittedly wide line between Economics and Politics/Other, but now appears to have left Economics behind in favor of Politics/Other. So I'm moving it to Chit-Chat. If we had a Politics forum, I'd probably move it to that instead but seeing as how we don't. . .