Monthly Archives: May 2012

A crash course in CVA calculation

Recently I was asked by a student to give some guidance on using Monte Carlo method for CVA calculation. Here is what I came up with.

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Global Derivatives Trading & Risk Management 2012

In April I was lucky to get a place at the Global Derivatives conference. Here is the blog post about it that I wrote for the Global Risk community.  

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Software functionality is not copyrightable

Great news. The EU Court of Justice has ruled that one can’t copyright a computer program’s functionality. Further, they state: “The purchaser of a licence for a program is entitled, as a rule, to observe, study or test its functioning … Continue reading


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