ON BECOMING A QUANT.pdf

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1、ONBECOMINGAQUANTMARKJOSHI1.WHATDOESAQUANTDO?Aquantdesignsandimplementsmathematicalmodelsforthepricingofderivatives,assessmentofrisk,orpredictingmarketmovements.2.WHATSORTSOFQUANTARETHERE?(1)Frontoffice/deskquant(2)Modelvalidatingquant(3)Researchquant(4)Quantdeveloper(5)Statisticalarbitragequant

2、(6)CapitalquantAdeskquantimplementspricingmodelsdirectlyusedbytraders.Mainplussesclosetothemoneyandopportunitiestomoveintotrading.Mi-nusescanbestressfulanddependingontheoutfitmaynotinvolvemuchresearch.Amodelvalidationquantindependentlyimplementspricingmodelsinordertocheckthatfrontofficemodelsare

3、correct.Plussesmorere-laxed,lessstressful.Minussesmodelvalidationteamscanbeuninspiredandfarfromthemoney.Researchquanttriestoinventnewpricingapproachesandsometimescarriesoutblue-skyresearch.Plussesit’sinterestingandyoulearnalotmore.Minussessometimeshardtojustifyyourexistence.Quantdeveloper–aglo

4、rifiedprogrammerbutwell-paidandeasiertofindajob.Thissortofjobcanvaryalot.Itcouldbecodingscriptsquicklyallthetime,orworkingonalargesystemdebuggingsomeoneelse’scode.Statisticalarbitragequant,worksonfindingpatternsindatatosug-gestautomatedtrades.ThetechniquesarequitedifferentfromthoseinDate:October2

5、4,2012.12MARKJOSHIderivativespricing.Thissortofjobismostcommonlyfoundinhedgefunds.Thereturnonthistypeofpositionishighlyvolatile!Acapitalquantworksonmodellingthebank’screditexposuresandcapitalrequirements.Thisislesssexythanderivativespricingbutisbe-comingmoreandmoreimportantwiththeadventoftheBa

6、selIIIbank-ingaccord.Youcanexpectdecent(butnotgreat)pay,lessstressandmoresensiblehours.Thereiscurrentlyadrivetomathematicallymodelthechanceofoperationallossesthroughfraudetc,withmixeddegreesofsuccess.Peopledobankingforthemoney,andyoutendtogetpaidmorethecloseryouaretowherethemoneyisbeingmade.Th

7、istranslatesintoasortofsnobberywherethoseclosetothemoneylookdownonthosewhoaren’t.Asageneralrule,movingawayfromthemoneyiseasy,movingtowardsitishard.3.AREASOFDERIVATIVES²FX²Equities²Fixedincome²Creditderivatives²Commodities²Hybrids²Power/