Vytautas

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374 reputation

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bio	website	vytautas.s.blogspot.com
	location	Amsterdam, The Netherlands
	age	24
visits	member for	2 years, 1 month
	seen	Mar 26 at 20:08
stats	profile views	30

MSc Student / Assistant Researcher
Data Mining & Quantitative Finance

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7 Answers

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5	Why are options trades supposed to be delta-neutral?
5	How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
4	What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
3	When to use Monte Carlo simulation over analytical methods for options pricing?
3	Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?

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374 Reputation

-2	What are some useful approximations to the Black-Scholes formula?
+30	When to use Monte Carlo simulation over analytical methods for options pricing?
+15	Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
+10	Discrete time Ho lee model

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1 Question

votes activity newest

5	Credit Valuation Adjustments — computation issues

20 Tags

8 options × 3	4 modeling × 2
7 cva × 3	4 risk-models × 2
6 delta-neutral × 2	4 career
5 black-scholes	4 banks
5 backtesting	3 risk

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