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Nov
25
comment How do I estimate the parameters of an MA(q) process?
Thanks. I know mature libraries are the way to go in production applications, but I am simply interested in this problem.
Nov
24
asked How do I estimate the parameters of an MA(q) process?
Nov
3
accepted Trade execution in HFT - role of quants
Nov
3
answered Do taking in account the CSA create convexity effects in your stripping?
Nov
3
comment Trade execution in HFT - role of quants
Thanks, that's another thing which is good to know. However, I meant to ask about the attribution to the whole execution group, as opposed to the group which developed the strategy (or is it impossible to divide the work in this way and execution quants are effectively also developing the strategy?).
Nov
3
comment Trade execution in HFT - role of quants
Thank you. Do you know how P&L is attributed to quants working on execution algorithms?
Nov
2
asked Trade execution in HFT - role of quants
May
10
awarded  Popular Question
May
2
accepted Pricing callable range accruals on spreads
Apr
2
awarded  Popular Question
Feb
11
comment Why is C++ still a very popular language in quantitative finance?
@user492238 Subjective, like all the discussion about this question.
Feb
10
answered Why is C++ still a very popular language in quantitative finance?
Feb
10
comment Why is C++ still a very popular language in quantitative finance?
@chrisaycock God forbid that somebody should flat THE MODERATOR!! ;-)
Jan
31
awarded  Yearling
Jan
27
awarded  Nice Answer
Jan
11
answered What C++ math libraries are typically used by quants?
Jan
11
accepted Can you fully hedge an option in the presence of counterparty risk?
Jan
10
awarded  Nice Question
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Oh, of course, I'm far from being a "gold bug". I don't have an issue with using BS model "with caution". I have doubts about CVA modelling -- there it is claimed that you can price counterparty risk in a risk-neutral way (ergo, hedge it).
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Take the example of AIG, which was acting as a sort of broker of credit protection: it was long CDO protection (from monoline insurers) and short single-name protection. The monoline protection AIG purchased turned out to be illusory, and it was swamped with margin calls. If the taxpayer didn't step in, AIG would have collapsed and its counterparties who purchased single-name protection from it would be in deep trouble. Isn't it a counterexample to your claim that there would be no need for taxpayer assistance?