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Jul
9
comment Is there such a thing as “sell-off risk” in bond funds?
As Matt mentioned in the comment there is no specific "sell-off risk" of bond funds and "sell-off risk" as you describe is just a directional exposure. Even if you sell with other shareholders you are still exposed to market impact risk, i.e. risk that knowing about large scale sell-off market participants will exploit it ("predatory trading"). This can also be related to "imperfect accounting" that you mention.
Jul
8
comment Practical quantitative finance problems that could be solved in trustless grid computing environment?
@vonjd Sure, if you can come up with homomorphic encryption scheme. But this is usually an extremely tough problem. That's why I'm curious if there is something that doesn't require one to leak his or her private data but still is of practical interest.
Jul
8
revised Practical quantitative finance problems that could be solved in trustless grid computing environment?
edited title
Jul
8
asked Practical quantitative finance problems that could be solved in trustless grid computing environment?
Jul
6
accepted Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo
Jul
3
comment expected value of the discounted payoff
"Then (with market completeness) one can show that this implies the existence of a risk neutral measure" NA already implies existence of a risk neutral measure, no need for completeness. Completeness helps to have a unique risk-neutral measure.
Jul
3
reviewed Approve python tag wiki excerpt
Jun
26
comment Black-Scholes fastest computation method
@Ilya You need to compute this table only once. Then you can store it in a file and load on the start of application.
Jun
26
revised Magnitude of Transaction Cost for Institutional Investors
edited body
Jun
26
revised Black-Scholes fastest computation method
hw specific added
Jun
26
revised Black-Scholes fastest computation method
added 9 characters in body
Jun
26
answered Black-Scholes fastest computation method
Jun
26
answered Magnitude of Transaction Cost for Institutional Investors
Jun
25
asked Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo
Jun
4
asked Quantitative risk management strategy for a large participant in an illiquid market
May
9
reviewed Approve When calculating CIP between EU and US, which interest rates data to use?
May
5
awarded  Popular Question
May
4
reviewed Approve Obtaining a consistent covariance matrix for stochastic volatility processes
Apr
25
reviewed Approve Calculating Geometric mean
Apr
8
revised Foward-start option pricing
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