384 reputation
16
bio website vytautas.s.blogspot.com
location Amsterdam, The Netherlands
age 25
visits member for 3 years, 4 months
seen Jul 8 at 12:14
MSc Student / Assistant Researcher
Data Mining & Quantitative Finance

Jul
8
answered Forward rates formulae
Oct
19
comment Credit Valuation Adjustments — computation issues
Phil, This question was posted 1.5 years ago. Currently I have been still hearing compute times ranging from several minutes to 4-8 hours (depending if grids are used, GPUs, FPGAs)... nothing concrete - I can only guess how fast is the JPM FPGA machines working...
Oct
2
answered When to use Monte Carlo simulation over analytical methods for options pricing?
Mar
25
awarded  Yearling
Mar
5
answered Discrete time Ho lee model
Jul
11
awarded  Critic
Jul
1
comment Reading recommendation on using statistical analysis in online fraud prevention
i think this goes into the statsexchange forum, not here.
Jun
21
comment Vanilla European options: Monte carlo vs BS formula
Lets than 1 cent is considered good enough
Jun
18
comment Vanilla European options: Monte carlo vs BS formula
with large amount of simulated paths (>200 000) - yes, you should have very close match.
Jun
16
awarded  Commentator
Jun
16
comment Fixed income modeling
To be clear: you want to build a model which explains 1) The Volume of traded stock 2) amount of debt company has? with your mentioned variables...
May
30
answered Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
May
6
comment Credit Valuation Adjustments — computation issues
:) I've read the paper and quite a few others by Luca Capriotti. I'd like to mark this question as closed as I dont think I'll get a straight answer to initial question - which was how time-consuming these computations were on existing systems. Yes with infinite parallelization - comp time goes to zero, but nobody has infinite resources...
May
4
answered Why are options trades supposed to be delta-neutral?
Apr
6
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
mail.wilmott.com/messageview.cfm?catid=38&threadid=75174
Apr
6
answered What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Mar
29
comment Credit Valuation Adjustments — computation issues
start here: defaultrisk.com/rs_brigo_damiano.htm See "Counterparty Risk"
Mar
29
comment How to design a custom equity backtester?
Here you mean that you want to backtest your own, one single strategy right ?
Mar
28
awarded  Supporter
Mar
28
awarded  Teacher