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| bio | website | vytautas.s.blogspot.com |
|---|---|---|
| location | Amsterdam, The Netherlands | |
| age | 24 | |
| visits | member for | 2 years, 2 months |
| seen | 19 hours ago | |
| stats | profile views | 30 |
MSc Student / Assistant Researcher
Data Mining & Quantitative Finance
Data Mining & Quantitative Finance
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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... |
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Oct 2 |
answered | When to use Monte Carlo simulation over analytical methods for options pricing? |
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Mar 25 |
awarded | Yearling |
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Mar 5 |
answered | Discrete time Ho lee model |
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Jul 11 |
awarded | Critic |
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Jul 1 |
comment |
Reading recommendation on using statistical analysis in online fraud prevention i think this goes into the statsexchange forum, not here. |
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Jun 21 |
comment |
Vanilla European options: Monte carlo vs BS formula Lets than 1 cent is considered good enough |
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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. |
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Jun 16 |
awarded | Commentator |
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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... |
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May 30 |
answered | Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling? |
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May 10 |
answered | What are some useful approximations to the Black-Scholes formula? |
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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... |
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May 4 |
answered | Why are options trades supposed to be delta-neutral? |
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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 |
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Apr 6 |
answered | What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? |
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Mar 29 |
comment |
Credit Valuation Adjustments — computation issues start here: defaultrisk.com/rs_brigo_damiano.htm See "Counterparty Risk" |
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Mar 29 |
comment |
How to design a custom equity backtester? Here you mean that you want to backtest your own, one single strategy right ? |
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Mar 28 |
awarded | Supporter |
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Mar 28 |
awarded | Teacher |
