meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 33 | |
| visits | member for | 2 years, 3 months |
| seen | 1 hour ago | |
| stats | profile views | 278 |
|
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? |
|
May 27 |
asked | Modeling liquidity effect on option prices |
|
May 13 |
answered | Setting the r in put-call parity? |
|
May 7 |
comment |
Cost function for hedging portfolio Coming back to it, calculation of the percentile of N-period losses requires some assumptions about the distribution of the hedged risky parameter (let's say it is the spread of the hedging instrument). I looked at the data and it's clear that it's neither Gaussian nor log-normal. What are other distributions people typically use? |
|
May 3 |
comment |
Understanding CDOs Just a nitpick: the question is about cash CDOs. So-called "synthetic CDOs" are unrelated to mortgages. |
|
May 2 |
comment |
Is statistical arbitrage on FX possible? Yes, it's your numeraire. |
|
Apr 28 |
awarded | Quorum |
|
Apr 26 |
comment |
How do I calculate the delta of a convertible bond? Delta w/r to what, stock price? |
|
Apr 26 |
comment |
How do I calculate the delta of a convertible bond? There is no simple formula, as you may gather from the pdf Tangurena gave you. |
|
Apr 20 |
answered | When is the LIBOR market model Markovian? |
|
Apr 18 |
revised |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? minor spelling |
|
Apr 18 |
revised |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? minor spelling |
|
Apr 14 |
comment |
Library to solve optimization problems NAG is not free. Very good and lots of value for the price, though. |
