Jobs Faqs

Can a brownian motion be differentiated?
Brownian motion cannot be differentiated using standard calculus, even though it is continuous. This is because the direction of change at t can possibly be completely different from that of t+δt even if we make +δt extremely small ...... More »
What is a p-value?
p-value is a gauge used in statistical hypothesis testing which indicates the probability of getting resulting value atleast as extreme as a given point. For example, consider an experiment of tossing a coin 20 times. We observe that there ...... More »
What is T-forward measure?
The forward measure for maturity TF is the measure associated with taking as numeraire a zero coupon bond maturing at TF with a value of 1. The defining feature of the forward measure is that it makes the ratios B(t,T)/B(t,TF) martingales f...... More »
How do I price an Interest rate swap (IRS)?
A forward start interest rate swap is a contract that exchanges payments between two differently indexed legs, starting from a future time instant. At each time T_i for the set of times T_{alpha+1},..,T_{beta} the fixed leg pays the amount <...... More »
How do I price a Bermudan swaption in Libor market model using Longstaff and Schwartz method?
Longstaff and Schwartz calculated the bermudan swaption on String model, which is equivalent to LMM model for finite maturities. String model though directly models the bond price dynamics instead of forward rate dynamics as in LMM. Conside...... More »
What is Asymptotic Analysis?
Some problems in applied mathematics contain a small parameter eg.,e. Setting this parameter to 0 sometimes leads to an easier problem - called "unperturbed problem". The solution of unperturbed p...... More »
Which is better for estimating upper bound for American Option price - Regression or Dual estimates?
Both of them give an upper bound of price. There is not much difference between the 2 estimates if the basis functions are good. Dual estimate is much computation intensive as compared to Regression. However if basis functions are not a good fi...... More »
When I simulate LMM and gather realized forward rates eg., F5(5) in a vector , the volatility of the forward rates vector for F5 is not equal to input forward rate volatility of F5
The forward rate volatility input for LMM model is not the variability of forward rate vector, but is variability of the change in logF5 when timeline is being advanced i.e., it is volatility of logF5(t+dt)-logF5(t) ...... More »
What is the PSSI candidate process?
Candidates come to PSSI from many sources, which include responses to our ads, referrals, our website, and some candidates call to talk with one of our recruiters about available opportunities. Typically, we will need an updated resume in Word for...... More »
Is there an advantage to using PSSI vs. applying directly to a prospective employer?
Absolutely. Our clients know that we rigorously source and screen candidates and only present those select few who are highly qualified candidates for a position. A resume cannot tell your whole story. Many times when a candidate submits their res...... More »