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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 What .NET library can I use 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.