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

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...
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
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
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...
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
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
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
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.