396 reputation
16
bio website vytautas.s.blogspot.com
location Amsterdam, The Netherlands
age 25
visits member for 3 years, 9 months
seen Aug 7 at 13:32
MSc Student / Assistant Researcher
Data Mining & Quantitative Finance

Mar
28
comment How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
Use google: google.nl/…
Mar
28
comment How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
the original model - you mean the one based on log-normal distribution (3-line formula...) ? \\ Also what kind of validity are you looking for ? That it matches market price - it does if you calibrate it with implied vol... \\ And what is the Monte-Carlo for ? if you assume the same dynamics as BS - there is convergence of MC simulated option price... showed in every textbook
Mar
26
awarded  Student
Mar
25
comment Credit Valuation Adjustments — computation issues
Some details for the question: 3000 scenarios, 10y horizon, 100 observation dates for the PFE. I managed to get my hands on the mentioned book, but i still don't see any example timings, which is mainly what i'm searching for...
Mar
25
comment Credit Valuation Adjustments — computation issues
The book & the theory is not what i'm looking for. <br> I'm trying to get a picture on the computational complexity people face in practical implementations, runtime.
Mar
25
comment Credit Valuation Adjustments — computation issues
A link ? If i google about it - i get a few papers on CVA on SWAPS (mainly D.Brigo) & lots of forum posts on how people have not clue how it works.
Mar
25
asked Credit Valuation Adjustments — computation issues
Mar
25
awarded  Autobiographer