463 reputation
210
bio website codeperfect.biz
location London, United Kingdom
age 31
visits member for 3 years, 2 months
seen 4 hours ago

Student - Quant Finance


7h
comment How to estimate CVA by valuing a CDS of the counterparty?
"I don't know how to set up the CDS deal " what do you mean by this. Setup where. I suggest you read somliterature on this. Spreads can give estimate of def. prob but you need to know recovery rate, the undelying derivatives Cashflows (for expected Exposure).
1d
answered What's state price vector?
Nov
18
revised Relation between IV and SD
Added full form for acronyms
Nov
18
suggested suggested edit on Relation between IV and SD
Nov
18
comment Relation between IV and SD
Please write Implied Vol(IV) and Standard Deviation(SD) at least once in the question. Having too many acronyms is quite off putting.
Nov
13
awarded  Yearling
Nov
13
answered Optimal Portfolios
Oct
29
comment SABR calibration: simple explanation and implementation
@StudentT .. and resources as well. The first link will give "simple explanation" . If you have a better one please post as answer
Oct
28
revised SABR calibration: simple explanation and implementation
Added another link
Oct
28
answered SABR calibration: simple explanation and implementation
Oct
9
accepted Portfolio Turnover Constraint
Oct
9
revised Portfolio Turnover Constraint
Better Solution
Oct
6
comment Portfolio Turnover Constraint
I have to unmark my own answer. I dont think it is a good solution. Reading through few papars on how to implment this propely. Will update if I complete.
Oct
4
awarded  Scholar
Oct
3
answered Portfolio Turnover Constraint
Oct
2
comment Portfolio Turnover Constraint
the constrain is what I am trying to implement. I will try fmincon and update
Oct
2
asked Portfolio Turnover Constraint
Sep
26
awarded  Informed
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
"Use one instead of other because both are small" . This is not the reason unfortunately
Apr
14
awarded  Student