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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 What .NET library can I use to solve optimization problems?
NAG is not free. Very good and lots of value for the price, though.
Apr
14
comment What .NET library can I use to solve optimization problems?
I heard Coin is very good.
Apr
14
comment What .NET library can I use to solve optimization problems?
The OP probably doesn't want to pollute the code license with GPL.
Apr
14
comment What .NET library can I use to solve optimization problems?
GSL has no constrained nonlinear optimizers which use derivatives.
Apr
12
comment Is statistical arbitrage on FX possible?
If you're books are balanced in USD, you're flat USD.
Apr
11
answered How good is managed code for algo trading?
Apr
8
comment Modern problems in financial mathematics
Added a couple for the 2nd topic (also cleaned up the text, the word "stochastic" belonged to the 2nd topic), I'll have to look harder for good references about the 1st.
Apr
8
revised Modern problems in financial mathematics
references for 2nd topic
Apr
7
comment What are the main limitations of Black Scholes?
If the stock prices consistently followed a different process than the option traders believed, for 20 years, than the first option trader who'd bother to look at historical data and adjust her expectations would reap enormous profits. So: yes, it might happen, but it's like saying that a pink unicorn might happen (in the sense that you can't make a formal proof that pink unicorns do not exist).
Apr
6
comment What are the main limitations of Black Scholes?
If the stock prices followed the lognormal process, there would be no consistent smile for over 20 years.
Apr
6
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Thanks, could you give a link to the Wilmott thread?
Apr
6
revised What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
added 32 characters in body; edited tags; deleted 2 characters in body
Apr
5
asked What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Apr
5
comment How useful is the genetic algorithm for financial market forecasting?
At short time scales it is more a casino. Like nature, in fact.
Apr
5
answered Modern problems in financial mathematics
Apr
4
comment Paradoxes in quantitative finance
This is not a paradox.