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seen Apr 20 at 20:51

Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Sure, thanks a lot for your time.
Jan
7
revised Can you fully hedge an option in the presence of counterparty risk?
added 301 characters in body
Jan
7
comment Can you fully hedge an option in the presence of counterparty risk?
1) What about the case of MF Global? 2) What about OTC options?
Jan
6
comment Can you fully hedge an option in the presence of counterparty risk?
Is it only about the lower price? What about the completeness of the hedge? You "hedge" counterparty risk by entering into another trade with another counterparty, which carries its own counterparty risk. Does the buck stop anywhere? and where? with a "too big to fail" bank backed by the taxpayer? Sovereigns are not risk-free anymore.
Jan
6
asked Can you fully hedge an option in the presence of counterparty risk?
Jan
6
accepted How to detect regime change when estimating asset correlation from historical time series?
Dec
27
awarded  Nice Question
Dec
20
awarded  Nice Question
Oct
14
comment How to detect regime change when estimating asset correlation from historical time series?
Do you have any references about changepoint analysis?
Oct
12
comment How to detect regime change when estimating asset correlation from historical time series?
Could I use R for that?
Oct
12
accepted Rate interpolation in Libor Market Model
Oct
12
accepted Correlation skew mapping
Oct
12
accepted What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Oct
12
asked How to detect regime change when estimating asset correlation from historical time series?
Oct
2
comment Library to solve optimization problems
They don't have a fixed price. Call them. It depends on the number of cores it would be used on.
Sep
21
answered What benefits are there to employing agile software development methodologies for quants?
Aug
9
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Don't they deal with external clients (rather, counterparties) when they hedge the net exposure in the market?
Aug
5
awarded  Nice Answer
Jul
25
comment What programming languages are most commonly used in quantitative finance?
I doubt it. Many places still develop models in C++.
Jun
20
answered How stressful is work of quants?