- Quant/Risk/Trading/Algo/Modeling pay survey, Yann Ticot in London, Matlab Computational Finance, Daniel Duffy in London, GPUs, Attilio Meucci and Paul Wilmott in New York and Mathematica over Europe.
It’s ironic that currently those who do numbers for banks have such poor quality numbers to work out whether they are getting the market rate..
Since the Quant group now has a high % of people in these areas we are doing an anonymous pay survey receiving 3,500 responses so far, which already makes it the most thorough research ever done in the Quant field, as well as providing averaging anonnymity to contributors.
It’s completely confidential because we use a 3rd party SurveyMonkey to collect results. We don’t ask your name, and if it turns out that a given segment has too few people in it to mask the identities of those who respond we won’t publish that result.
Why should *you* bother filling this in ?
It is only 3-4 minutes, mostly just clicking boxes with easy questions in them.
We’ve had people test it just to make sure it doesn’t suck up your life with vast arrays of imponderable nonsense.
This is a field with lots of specialisations, and one factor can make a significant difference in your pay, which means if you don’t respond, the numbers for people just like you won’t be quite as good, and I hope I don’t have to make the case for having good numbers for important decisions.
I have started to publish preliminary results on Wilmott.com, and with your help we can make them better.
Dates for Your Diary
Financial engineering workshops @ Cass
Thursday 9 June Yann Ticot (BAML) “Pricing Inflation Vanillas and Exotics”.
If you want to come, RSVP to firstname.lastname@example.org
MATLAB Computational Finance Virtual Conference – June 9th, 2011
Presentations from Deutsche (on HFT), Dexia (on Basel II, Credit Risk & back-testing), Banc Sabadell (on enterprise deployment of pricing & trading analytics), IMF (on economic forecasting), Bank of Canada (on Systemic Risk), Attilio Meucci (on PRAYER framework), Model IT (on Solvency II and insurance risk) and CamraData (on the threat of the Pythagorean cult)
Computational Finance with Mathematica -New technologies for accelerating quantitative analytics,
Monday 6th June London
Tuesday 7th June Paris
Wednesday 14 June Zurich
Wednesday 15 June Frankfurt
Efficient Valuation of Complex Derivatives on the GPU
Dr. Andreas Binder, MathConsult GmbH
In the pricing and risk analysis of structured financial instruments, numerical methods for valuation, as well as calibration of the model parameters, have to be implemented very carefully. The calibration often leads to optimization problems for which local algorithms do not converge. We present an efficient hybrid global/local algorithm and compare them to global optimization.
I will be at the Monday event, if anyone wants to go for a drink afterwards.
Daniel Duffy author of several major books on financial programming, is running the following workshops:
One-day Master Class: The Alternating Direction Explicit (ADE) Finite Difference Method. Fast, Unconditionally Stable, High-Order Schemes for Derivatives Pricing and Hedging (8 July, London)
Creating Trading and Quant Applications in C# and Excel (September 20, 21, 22 London)
CQF Information Session
Thursday 2nd June New York 6.30pm Marriott Courtyard Midtown East Manhattan
Your last chance to meet Paul Wilmott and learn about the content of the Certificate in quantitative Finance
Advanced Risk and Portfolio Management Bootcamp
by Attilio Meucci
August 15-20, 2011, Baruch College, New York City
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