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Old 29-02-2012, 07:20 PM
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i read the book 2 continuous stochastic modelling - for a engineer/scientist, it seems so intuitive to think asset prices as a stochastic variable - just like white noise with added drift in my DSP processing... well honestly it quite heavy stuff to me towards the end when it talks abt the fwd libor model - and also trying to extend it to american expiry pricing with poisson jump process for credit event - seems eventually a numerical method is required mm... a bit blur not sure how to solve real finance problem given by my friend.... hehe

anyway, i think i still lack market knowledge especially on the implied vol stochastic modelling.. it seems quite to voodoo science to me, prob might be some serious money making strategies for hedge funds i guess...

Well bloomberg machine not within my 200m radius doesnt help

There are few roles in singapore for your caliber as all top tier banks run credit portfolio desk in london or ny, there are no local banks who are actively managing cva risk, not even stan char i think, suggest u seek employment in london

Based on your profile, you might try to join algorithmic hedge funds, met few guys with similar background running their own shop after a stint in renassiance tech hedge fund. Your karman filter will come in useful for alpha generation, and potentially more lucrative.
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