848 reputation
210
bio website
location Germany
age
visits member for 2 years, 2 months
seen 11 hours ago

Monte Carlo, risk, QMC, statistical efficiency, high dimensional approximation...


Nov
13
comment Mutivariate t markets
Added some more context, hope it clarifies my issue. Moving to copulae afaik complicates all tasks such as affine transforms, PCA&c, conditioning, fast simulation, stable calibration, which are most practical with elliptical densities (isn't the t copula defined&treated in terms of the multivariate density anyway?). But I'm certainly missing some cool shortcuts, I'm not up to date.
Nov
13
revised Mutivariate t markets
Added more context.
Nov
12
comment Mutivariate t markets
I agree with your considerations, the different multivariate t-s do have many limits, but also some advantages, especially in dimension reduction one might want an elliptical density anyway, or in fast simulation. However the point is to clear up issues in the simpler setting first, since the mixed one is only more involved. One has to understand what are the issues with a certain dependence, be it in form of a copula or not. There are always better models. By the way, I've seen few robust copula calibrations...
Nov
12
asked Mutivariate t markets
Sep
28
awarded  Yearling
Sep
24
awarded  Autobiographer
Aug
22
comment Comparison of multicurve calibration methods
Thanks a lot, I definitely underappreciated some of these points. Nevertheless what do you think of the bootstrap drawbacks?
Jul
28
revised How to deal with extreme cases in normal random numbers generation?
deleted 1 character in body
Jul
28
revised How to deal with extreme cases in normal random numbers generation?
added 9 characters in body
Jul
28
comment How to deal with extreme cases in normal random numbers generation?
Btw what is your $\mathcal U(0,1)$ generator?
Jul
28
answered How to deal with extreme cases in normal random numbers generation?
Jul
21
revised Comparison of multicurve calibration methods
added issue
Jul
21
comment Comparison of multicurve calibration methods
I don't even get the comment: it is bootstrapping that fits datapoints perfectly giving awkward curves... and no-arbitrage conditions are rarely satisfied by either approach.
Jul
21
asked Comparison of multicurve calibration methods
Jul
2
awarded  Curious
Apr
30
comment Usage of Brownian Bridge?
Yes, sorry for being brief while at work... Another nice related paper is Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
Apr
29
answered Usage of Brownian Bridge?
Apr
7
comment Graduating Quantitative Finance (please don't move it to meta immidiately)
Could you please do some spell checking of the linked question? :) Anyway I personally think it would demotivate us, I'd give it a few more months of spicy beta...
Apr
1
answered What are the merits of pseudo random numbers over quasi random numbers in monte-carlo simulation?
Mar
28
comment Effects of random-generator-choice on derivative's price
There's a lot of discussion about PRNGs in finace forums or some books, but given modern generators quality the issue is now kinda solved. Roughly said one samples from AES (or any other good hash function) by feeding in successive numbers, their encrypted values are then pseudorandom; check the so called "counter mode" of AES.