ymc Wrote: ------------------------------------------------------- > I think a better way to get your foot into the > door short of a PhD in Math/Stat/Physics/CS is to > contribute code to a quant open-source project > like QuantLib. wow, thanks ymc. The QuantLib thingy looks good, It’s all mine after I am done with L2 come June7th. Thanks!
maratikus Wrote: ------------------------------------------------------- > DanLieb Wrote: > -------------------------------------------------- > ----- > > maratikus Wrote: > > > -------------------------------------------------- > > > ----- > > > I got Paul Wilmott’s books on Quantitative > > > Finance. They have all you will learn in > CQF. > > > > Which ones to you recommend? Is the 3-volume > set > > the best for the shelf? How difficult is the > > material? > > > > Thanks for your help. > > I would suggest the 3-volume set. Don’t buy the > 1-volume book because it’s just a quick summary of > the 3 volume-set with lots of gaps. I like > reading it once in a while when I have questions > about particular instruments. At the same time, > I’d suggest using it with caution because he > doesn’t go beyond simple assuptions of > Black-Scholes world. > > if you are interested in financial math, I like a > book written by one of my professors: > http://www.amazon.com/Essentials-Stochastic-Financ > e-Models-Theory/dp/9810236050 You were a student of Shiryaev? Are you Russian? Edit: Did you ever study with the great Lobachevsky?
JoeyDVivre Wrote: > You were a student of Shiryaev? Are you Russian? > > Edit: Did you ever study with the great > Lobachevsky? I like your joke about Lobachevsky. Unfortunately Shiryaev was not my supervisor but I enjoyed several classes on stochastic analysis he taught. He enjoyed telling us about solving problems for the military with his professor Kolmogorov. I am Ukrainian but I went to Moscow State.
Yep. I love that QuantLib. It is not organized very well. I think once I learned it I will volunteer to do some work for them. I have developed several large commercial C++ projects already.
disptra Wrote: ------------------------------------------------------- > Yep. I love that QuantLib. It is not organized > very well. I think once I learned it I will > volunteer to do some work for them. I have > developed several large commercial C++ projects > already. But they are still in the early stage, so that means you will have a easier time to contribute to it. Even if you can’t contribute, I think you can still learn a lot of about quant programming by reading their code.
Dinesh, we need to talk on this after the 7th!!