Reputation
1,720
Top tag
Next privilege 2,000 Rep.
Access moderator tools
Badges
1 7 23
Impact
~83k people reached

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.
Apr
14
comment Library to solve optimization problems
I heard Coin is very good.