junior quant - interview skills needed

* A lot of Jargon (need a bit of intuition)
** how each instrument is priced
** using what mkt data

* the math theory below the surface

* probability puzzles, math algorithms.

* c++, matlab

seminar by the Danske quant

Some of the historic models

 

BS

HJM

---- 2^nd era

Dupire

Heston

BGM

 

2^nd Era triggered by …. IRS.

 

Bermuda options ….

 

---CVA calculation

 

 

__Tan Bin (+65)6530 1386 OC Centre #17__

 

most used c++ libraries in quant codebase

STL, Nag, Not boost, not ACE

Smart pointer is also needed.

## major domains of quant study

- bond math
- classic option math and stoch
- credit valuations
- IR products - builds on bond math. Many IR instruments are vol-dependent. Black model is a vol-model.
- VaR
? mortgage valuation models - default rate (depends on credit rating), prepayment probability (depends on prevailing IR)