276 reputation
15
bio website
location
age
visits member for 2 years, 1 month
seen Jun 21 '12 at 9:33

Mar
8
awarded  Yearling
May
18
comment Time series of PCA - Sign change in factor loadings
Good point. Thanks
May
15
answered What's the best way to test/validate an interest rate lattice model
May
15
awarded  Commentator
May
15
comment What's the best way to test/validate an interest rate lattice model
I think this question is still too general. There are 1 factor models, 2 factor models, 3 factor models, gaussian models, lognormal models, square root models, with mean reversion, without mean reversion, with stoch vols, etcetera ... In my opinion there is no general answer to your question as it is
May
14
comment What's the best way to test/validate an interest rate lattice model
How many factors are you looking at? What do you mean by performance? Speed? Accuracy? Hedging performance?
May
13
awarded  Revival
May
9
comment Is the binomial model wrong?
Cool, good luck with your trolling then :)
May
8
answered Is the binomial model wrong?
May
8
comment How to build a mean reverting basket?
What you are talking about is known as Cointegration. Just look for it
May
8
answered Implementing a Fast Fourier Transform for Option Pricing
May
3
awarded  Editor
May
3
revised VaR implementation using quantlib?
deleted 140 characters in body
May
3
comment VaR implementation using quantlib?
Apologies for the mistake
May
3
answered Utility to download historical Implied Volatility data from Interactive Brokers?
May
3
answered VaR implementation using quantlib?
May
2
awarded  Revival
May
2
answered Pricing callable range accruals on spreads
Apr
24
answered How to value non-libor swaps (not basis swaps)?
Apr
12
comment What are some research articles on using principle components to generate alpha?
If you are a fan of Meucci, you have surely read this one papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905