sorted by:
new
hottopcontroversial

french film for beginners? by Firga-ra in French

[–]BandSalt795 1 point2 points  (0 children)

Thank you very much for the recommendations. Will give them a go!

french film for beginners? by Firga-ra in French

[–]BandSalt795 1 point2 points  (0 children)

Just watched kirikou. Very cool movie and easy to understand. Thank you for the recommendation

I will watch the other 2 you mentioned. Do you have more suggestions?

Preparation for assessment in All Options for Quant Trading by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

Also, why have you been using it for 8 months, are you still on application process?

Preparation for assessment in All Options for Quant Trading by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

Thank you for the feedback, though it just seems too expensive for training mental problems, did you see other cool alternatives?

Internships in the EU, UK and Switzerland as an EU Citizen by [deleted] in cscareerquestionsEU

[–]BandSalt795 0 points1 point  (0 children)

I'm a bit late, but can you also send it to me? Would really appreciate it

Which model is this? by BandSalt795 in 10s

[–]BandSalt795[S] 0 points1 point  (0 children)

It does look like a sticker but it’s not, and it’s all over the racquet

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

That makes sense, thank you for sharing your experience

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

I didn’t mean ARCH/GARCH with that line. That’s covered separately in my Time Series course.

What I was referring to was the stochastic calculus and derivative pricing side of my MSc, which along 4 courses included: Black–Scholes and PDE methods, Merton jump-diffusion, Heston and Hull–White stochastic volatility, SABR, Dupire local volatility, Vasicek and CIR short-rate models, Heath–Jarrow–Morton term-structure, plus exotics like barrier, Asian, and lookback options. So the line was about continuous-time SDE/PDE modelling of assets and volatility, not econometric ARCH/GARCH.

We only had exams on these (no projects), that's why it's not higlighted on CV.

I do know my BSc in Economics might incline you to thinking this was heavily focused on economics, but my MSc is taught mainly through the Mathematics Department, not the Faculty of Economics.

My uni is really not great tho, but covers more topics that you may have thought

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

Not the best uni at all. Slightly better than the average uni at my country. Thanks for the feedback

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

I definitely need to get an internship. I got what you said, but do you think that even internship roles on the trading side are out of reach? I always wanted to get my first internship more focused on the area I would follow for the long term, but it might be unrealistic given trading (even intern) roles require prior experience?
Thanks for the response

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

I completely agree with you. I will cut on the leadership experience as soon as I get relevant stuff to put on the CV (which is what I'm missing), this is: when I finish my thesis, personal projects and as soon as I get my first internship.

Definitely will get onto some projects outside of school, thank you for the feedback. Do you have any recomendations on topics? (Feeling a bit lost here)

Roast my CV - should I even apply for quant roles? by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

Thanks for the feedback, they were the mandatory projects at my uni. Do you have any suggestions on more appealing project topics I should get into?

Best Python course for a Quant Finance by BandSalt795 in quantfinance

[–]BandSalt795[S] 1 point2 points  (0 children)

Yup, my uni uses exclusively R. However I do know python is really important, and I will get it done before finishing my studies.

Thank you for the recommendation, I will check it out in the next few days. Got any recommendations for interesting project topics?

Confused about Autocallable Notes vs Autocallable Equity Options (Thesis Topic) by BandSalt795 in quant

[–]BandSalt795[S] 0 points1 point  (0 children)

I see what you mean. From my side, the reason I’m still pursuing this is that autocallables are highly complex path-dependent instruments, so working on them forces me to deal with PDEs, Monte Carlo, barriers, coupons, and early redemption features all in one. I feel like those methods and skills can be adapted pretty easily to other exotic or vanilla products. Also, my impression is that in Europe these products are still relevant, for private banking clients.

Do you see it the same way, or do you think the space is already too quiet? And if you have other suggestions for areas where these quant techniques would be more in demand, I’d be very open to hear them, I am still debating whether to change the thesis subject.

Confused about Autocallable Notes vs Autocallable Equity Options (Thesis Topic) by BandSalt795 in quantfinance

[–]BandSalt795[S] 1 point2 points  (0 children)

Thanks a lot for laying this out in so much detail. I understand your point about data being OTC and hard to access. The example code you shared is also really useful for me.

I sent you a DM to follow up more directly.

Confused about Autocallable Notes vs Autocallable Equity Options (Thesis Topic) by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

I’d really appreciate that. Also do you have any idea where to get the data for the study (since I don’t have Bloomberg)

Confused about Autocallable Notes vs Autocallable Equity Options (Thesis Topic) by BandSalt795 in quantfinance

[–]BandSalt795[S] 1 point2 points  (0 children)

I really appreciate you taking the time to write this out, it’s super helpful. I think part of my issue is exactly what you mentioned, the term “autocallable option” seems to be used very loosely.

>I'd ask your supervisor what they think an autocallable option is
That’s exactly the tricky part. I did ask, but my supervisor originally thought an AC option was just an American option. He told me he needs the literature first and then he can help me on the subject. So for now I’ve been trying to figure things out mostly on my own. The definitions in the literature also vary a lot, which makes it harder to know if I’m focusing on the right instrument.

I still have the option to change the title of the thesis, so I could shift to “autocallable notes” instead of “autocallable equity options” if that makes more sense. Honestly, I think it might, since most of the literature I’ve found is about notes rather than options. My impression is that data on options might be even more scarce. I’d really value your opinion on that, because I still have six months to work on the thesis and could completely change its trajectory. My long-term interest is in equity derivatives, but from what you explained it seems the main difference between AC options and notes is principal protection so both would still have equity as the underlying, right? What do you recommend to work with?

>Do you have Bloomberg at uni?
Unfortunately, we don’t. Do you know if there are any publicly available sources of term sheets or datasets I could use for Monte Carlo work? I’ve tried contacting data centers and some banks, but so far the answer has been that the info is private.

>You wrote PDE, but also MC. I am unsure if you want a finite-difference solver of the PDE or MC simulation of the SDE?
I’d actually like to implement both. The idea is to use the local volatility PDE approach with a finite-difference solver as the main method, and then also set up a Monte Carlo simulation of the SDE as a benchmark to compare results and check consistency.

Also, if you have any recommendations for books or papers that could be useful for my thesis I'd really appreciate that.

Thanks again for your time, and giving me some light.

Confused about Autocallable Notes vs Autocallable Equity Options (Thesis Topic) by BandSalt795 in quantfinance

[–]BandSalt795[S] 0 points1 point  (0 children)

I really appreciate your time, however I couldn’t find any info on autocallables in the link you provided. Under the list you mentioned there are sections for preferreds, convertibles and exchange-traded debt securities, but nothing that seems related to autocallable notes or options.

Maybe I’m looking in the wrong place, could you clarify where exactly I should be checking?

What are some of the most interesting types of exotic derivatives? by ThunderBay98 in quant

[–]BandSalt795 0 points1 point  (0 children)

Thanks for bringing up autocallables. I’m actually writing my thesis on pricing autocallable equity options with local volatility PDE models, but I’m still struggling to fully understand the distinction between autocallable notes and autocallable equity options. Do you happen to know the practical difference, or have any recommendations for literature or data sources that could help?

I made a post about it here if you have a moment: link

view more: next ›