Also, I should be starting second round interviews with a Wall
Street
firm next week. One issue that will come up is how that meshes
with my
work on Quantlib. Something that I will insist on is that my
employment
not prevent me from contributing code back to Quantlib if that
code
doesn't have any proprietary methods. I don't have any problem
with the
employer keep secret stuff secret, but if the terms of my
employment
keep me from contributing *anything* to Quantlib, then its not a
good
deal for me long term. (It's also not a good deal for my employer
since
it means that they are going to be constantly reinventing the
wheel.
Whether they realize this or not is one criteria for taking the
job or not.)
If anyone has a similar situation let me know. If no
one has a similar
situation, I'd also like to know that since it means that I
might have
to hire an IP lawyer to draft a "Quantlib clause" to any NDA that
I
sign, and other people might be able to use that clause with
their
employers. I'm actually in a good position to negotiate something
like
this since I can and will reject a job offer if the employer is
not
willing to be flexible about this.
Also a general brain dump for
stuff that I almost certainly will not be
able to talk about if I get
hired.
1) Hypothesis: The model that most people use to value RMB
currency
forwards is wrong. RMB currency forwards are not valued by the
future
expectation of RMB appreciation, but rather by the current spot price
of
RMB and the interest rate parity equation. One consequence of this
that
you ought to expect that the value of RMB forwards to appreciate in
the
next few months as the Chinese government loosens monetary policy
and
the Fed tightens monetary policy. This will make absolutely no
sense if
you model currency forwards as a crystal ball.
2) Hypothesis:
Once the RMB really starts to move, people will find that
the world currency
system is dynamically unstable. RMB moves, East
Asian currency follows,
if this feeds back to the RMB basket, then you
end up with a positive
feedback loop. This hasn't been much of an issue
since the PBC is
holding the value of the RMB constant. Where this will
bite is if you
have a currency crisis.
3) PRC markets are much more rational and
amenable to quantitative
methods than most people think. Yes, you have
issues with illiquidity,
capital controls, fraud, corruption, information
asymmetry, but that a
mathematical model can take all of that into
account. You can
mathematically model fraud and corruption, for
example.
4) You can model a convertible model not only as call option
with a bond
but also like a put option with a stock. The latter may be
more useful
if you have a CB whose value is above the conversion ratio, and
would
give you a reason *not* to convert a bond, even if you can.
5)
The Fokker-Planck equation models the evolution of probability
distributions
of a stochastic differential equation. If you try to
write down the
moments evolution of the FP equation, you end up with
some very simple
formulas. One thing that happens is that the higher
order moments don't
seem to feedback on the lower order ones like they
do in the
Navier-Stokes.
6) Information theory is underused in QF. Given a
certain about of
information, one can derive some equations using information
theory so
figure out what can be figured out from that data. This can
tell you
that you shouldn't bother making a more complex model because the
data
is too spotty for it to make a difference. The basic way this
would
work is to calculate the number of bits of the information that
you
have, and then you should be able to calculate the number of bits
(i.e.
the precision) of the output that you are calculating.
7) You
should be able to go straight from a stochastic differential
equation to a
FDM scheme *without* going through a PDE. I've never seen
someone do
this or work out step by step the math for doing this, but it
can be
done. Calculating a PDE is totally unnecessary in doing FDM.
8) You
can bring in all of the good stuff in axiomatic probability
theory if you
realize that changing a measure is mathematically the same
as changing the
grid in an FDM calculation. You can also relate this to
topology since
the zero points in a probability measure are your
topological
invariants.
9) Standard Wall Street hiring methods very much discourage
creative
thinking. Basically you get the job based on how will you've
mastered
text book techniques, but spending time doing that discourages you
from
rewriting the textbook.
Anyway I haven't been hired yet, so if
anyone wants to chat about these
ideas I still can. I'm also still in
the market for other job offers.
Also, If anyone knows how to deal with
this situation let me know. I
give resume to school recruiter for
firm. School recruiter is *very*
busy, and I've gotten zero information
from the recruiter or anyone else
in the firm about status of resume.
If my understanding is correct, I
can now longer use a head hunter to forward
resume to said firm.
Suggestions about what to do? I've already
spammed everyone I know in
said firm, but I'm much too low of a priority to
get anyone's attention.
This is actually a fun Alice and Bob-type
problem. I would like to get
the attention of someone on this list from
said firm, but I don't want
to let anyone know else which firm it is.
Standard solution is a shared
secret.... Hmmm.... Fun
problem.....
I'd ask on Wilmott but I generally get side tracked there on
discussion
that keep me from coding quantlib. :-) :-)
:-)
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