[Loonakind]

:hugs matt:

[Candykiss]

Too tired to think. Going to bed

[QQ9ktYrV]

60 hours before first goldman interview. Trying to relearn all the math I've ever forgotten.

eww, I know the feeling.

[TNgqZhLR]

The first guy who's going to have his way with me has a PhD in applied math, specializing in fast computation of special functions (e.g. Bessel functions)

This is going to be awesome.

[texbrease]

I remember doing Bessel functions. I remember not liking it and being greatful that that was the highest math we ChemEs needed to bother ourselves with. I have not found it useful at all.

Good Luck on your interview.

The first guy who's going to have his way with me has a PhD in applied math, specializing in fast computation of special functions (e.g. Bessel functions) You know that game where you end each sentence with "in bed"?

[Gudronich]

Death to all Goldman Sachs employees!

[ziIReIGS]

Why can't KH use his knowledge for good, instead of evil?

[iuopyra]

Plan for the next 2.25 days:

1) PDEs:
a) Classical analytic methods, esp. as applied to heat equation. Free boundary conditions. Fundamental solutions. Tie in with BSM PDE.
b) Numerical methods, esp. FD (crank-nicholson and upwind differencing)

2) Numerical matrix algebra (LU decomp, SVD, Cholesky decomp)

3) Stochastic processes, Ito calculus, Kolmogorov equation/Feynman-Kac formula. Application to BM and GBM

4) Monte Carlo methods. RNGs, importance sampling, antithetic variables, other variance reduction methods(?). Tie-in with Radon-Nikodym deriv. and Girsanov. Skim original paper on VEGAS. Markov chains (Gibbs sampling, Metropolis-Hastings algorithm). Current state of research on MC methods in options pricing.

5) Statistical methods. PCA, GARCH, EWMV etc.

6) Finance crap. Skim through Hull for definitions/conventions. CAPM, interest rate derivatives, yadda yadda.

7) C++. Skim Eckel for key points.

[JohnTruels]

I do that every morning while making my coffee.

[DuePew]

Ah, young Grashoffer... take the cylinder from my hand and enter the evil empire you will.

(seriously, heat transfer needs more puns..)

[Loopyjr]

I do that every morning while making my coffee.

Either that was extremely clever, or you got very lucky.

[Siffidiolla]

Solving a heat eq. on cyl. = easy. The hard part comes when he starts throwing in curveballs.

BTW, the process is as follows:

Stock/commodity/interest rates/etc. prices are random -> They follow brownian motion -> They obey the diffusion/heat equation (sort of) -> All other claims BASED on those prices also obey some version of the heat equation, or can be made to look like they do if you squint hard enough -> The solution to the heat equation in a cylinder is bessel functions -> This guy did research on numerical methods involving bessel functions -> He will ask me to solve the heat eqn on a cylinder

[Aizutox]

He could use his knowledge to help solve the mysteries of the universe. Instead, he's going to help the capitalists rape America.

[Qncvqpgfg]

Solving a heat eq. on cyl. = easy. The hard part comes when he starts throwing in curveballs.

BTW, the process is as follows:

Stock/commodity/interest rates/etc. prices are random -> They follow brownian motion -> They obey the diffusion/heat equation (sort of) -> All other claims BASED on those prices also obey some version of the heat equation, or can be made to look like they do if you squint hard enough -> The solution to the heat equation in a cylinder is bessel functions -> This guy did research on numerical methods involving bessel functions -> He will ask me to solve the heat eqn on a cylinder

That's what he wants you to think. Bone up on spherical harmonics too.

[Pheboasmabs]

I wrote a gaussian smoothing kernel in a basis of Ylm about 3-4 years ago. It was awesome. Then I found out that everybody just uses flat space kernels.

[imictiorume]

I'm going to do far more social good in finance than in a physics department.

No, you really aren't.

[Rnlvifov]

Solving a heat eq. on cyl. = easy. The hard part comes when he starts throwing in curveballs.

BTW, the process is as follows:

Stock/commodity/interest rates/etc. prices are random -> They follow brownian motion ->

Now, I've heard everything.

It reminds me of a seminar title I proposed as a joke to my more illustrious colleagues about 15 years ago "Does Chaos Theory explain our current scientific understanding of mucosal immunology?"

[joe-salton]

Now, I've heard everything.

It reminds me of a seminar title I proposed as a joke to my more illustrious colleagues about 15 years ago "Does Chaos Theory explain our current scientific understanding of mucosal immunology?"

Technically, we don't believe that they follow brownian motion. But people think that you can build them from functions of brownian motion differentials

[usacomm]

It's hilarious that people get mad at Goldman. They're basically the only major financial firm that WOULDN'T have faced the threat of going under without gov't support. They walked out into the private equity and stock markets and brought in 11 billion in Tier 1 capital in ONE DAY when the crisis was in full swing.

Goldman

[attishina]

You don't know how they do it, but they do, right? Otherwise why would they be making more money than you....