Introduction to Stochastic Calculus & Application in Finance

Yes it is the QE scheme by Andersen

Our professor actually wrote a book few years ago that focuses on option pricing, short rate model, credit risk and risk measures. So we are basically using the methodology and concepts taught in this book for our project.

In that book he has dedicated a chapter to SV model and in the section for Heston model he briefly introduced the QE scheme and contrasted its calibration result with the normal truncation scheme

Of course we have also searched for the original paper and tried to understand the full picture, and after reading it through we think that it should be relatively easy to implement and in a sense flexible too since the flow of QE scheme naturally copes with the pricing of American option (or other path dependent stuff), so we think we will be using this for our path simulation

(p.s. and to be honest we don't have much time to drill into other simulation scheme so most probably we'll settle for QE scheme )

If u don't mind, I think it would be really great if you could share your paper with us after it gets peer-reviewed
then when my friends and I have some free time, we can study your paper and use it to optimize our algorithms

Did your professor include martinagle correction in his book? Who is your professor?

By the way, the price of American options are the same as that of the European options so there’s no need to simulate the whole path when pricing an American option.

Yes he also includes martingale correction in his book
I am not sure whether it's a good idea to state his full name here (If you look through the professors in CUHK RMSC department then u should be able to figure out who I am mentioning here )

To my understanding, the prices for american call and european call are indeed the same, but it's not the case for american and european put when the underlying is paying dividend, the american one should be more expensive

Of course. It’s not much faster tho.

Yeah of course when the asset is paying dividends. Is Risk Management a seperate department in CUHK?

sorry my bad should be Statistics department
risk management science is a major under the stat department

A friend of mine just arrived CUHK today. He’s working at the statistics department you may even see him there in the future

I was on the RMSC website, does the program include internship?

of course not
RMSC is not a "神科" in HK so internship doesn't come as a free lunch
(If you want to know what a free lunch is like ask a QFRM student)
and the worst thing is that we are located in faculty of science, so most of the people or companies just treat us like normal science students, but I can say that the top students in our major are capable of doing much much more than normal science undergrads, especially in finance field

Nevertheless I would say we still got a slight advantage in finding internships comparing to other science students, since our department has built connections with different companies in actuarial and finance field throughout the years (actually not that much, but something is better than nothing ), so in some rare occasions our chance of getting hire would be greater

I wish I could do an internship Those graduates on the website seem to have very good job.

Jobs that I can only dream of here in Australia

Don't be fooled by the website
Those are actually outliers

So what do the graduates do usually?

留名

honestly as an undergrad, I don't know either

What’s the difference between all these QFRM, RMSC, QFIN? They all look the same to me, what’s the point of having so many programmes

Back then when I did my undergrad at Melbourne, it was just mathematics

QFin = Quantitative Finance
RMSC = Risk Management Science
QFRM = Quantitative Finance & Risk Management Science

Actually I would say QFRM and RMSC are essentially the same

students from both majors could take all the same courses in finance, risk management, math, programming e.t.c. , it's only a matter of time management

but you can treat QFRM as an elite steam (since it is actually a double major programme) and this major has a higher reputation in HK due to the intensive course structure a QFRM student has to fulfill and the high admission standard since its establishment in CUHK. Also the QFRM students usually get greater support from their department since more resources are allocated to these "elites"

However if you ask my opinion, I would say the "Quantitative finance" part is completely useless, it's a practical joke in fact. If you think the name "Quantitative" is implying "Mathematical" than you're very wrong.
The finance courses in CUHK (or maybe even in the whole HK), at least from my own experience, contain almost NO advanced math at all. To be honest, I think the majority of QFin students don't even know what is double integration, and you called that quantitative lol

The worst thing is that the name "Quant Fin" seems to suggest that one could aim to become a quant after graduation. But if that kind of mathematical training gets you a quant position, then I would say everyone can become a quant, it's non-sense.

At least to my understanding, one should have proper math training if they are aiming to become a quant. And if one wants to do proper mathematical finance, then one should take math and stat courses, just like what we do in RMSC major, or even do a math degree directly. But not by taking some finance courses that is bullshitting from start to the end

So personally I think the QFin programme really gets the spirit of Hong Kong --- 外在包裝得幾靚都好 其實裡面都係垃圾 只可以靠吹水搵食

Talking about career, what kind of position would make a good living/prospect other than quant and sale in finance sector?

Trader, Analyst (buy/sell side), risk advisory

The line between quants and traders is very thin nowadays. Quants in buyside usually make better Nonie’s I think.

嘩！你唔驚有QFin巴打路過？

有Qfin人我都係咁講
真相永遠都係難聽
同埋我suppose佢地讀完都知自己咩料啦下話

咁咩人先讀到QFRM?

根本qfn就好多廢人 戇鳩鳩咁入咗去之後都唔知做乜