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| bio | website | vytautas.s.blogspot.com |
|---|---|---|
| location | Amsterdam, The Netherlands | |
| age | 24 | |
| visits | member for | 2 years, 2 months |
| seen | Mar 26 at 20:08 | |
| stats | profile views | 30 |
MSc Student / Assistant Researcher
Data Mining & Quantitative Finance
Data Mining & Quantitative Finance
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Oct 19 |
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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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Jul 1 |
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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 |
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Vanilla European options: Monte carlo vs BS formula Lets than 1 cent is considered good enough |
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Jun 18 |
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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 |
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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 6 |
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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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Apr 6 |
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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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Mar 29 |
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Credit Valuation Adjustments — computation issues start here: defaultrisk.com/rs_brigo_damiano.htm See "Counterparty Risk" |
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Mar 29 |
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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 |
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How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? Use google: google.nl/… |
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Mar 28 |
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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 |
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Mar 25 |
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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... |
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Mar 25 |
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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. |
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Mar 25 |
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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. |
