Vincent on A crash course in CVA cal… Alluve on A crash course in CVA cal… Vincent on A crash course in CVA cal… Alluve on A crash course in CVA cal… Alluve on CVA calculation example
Category Archives: Uncategorized
Disruptor  is a software component that implements lock-free message passing between different threads of control. Disruptor is open source; its way of operation and its advantages over traditional message passing are described in ,  and . The motivation … Continue reading
Fitting the distribution of ticket sales yields unexpected results The movie business is risky, but the returns can be high. Better yet, the movie industry performance is only loosely correlated to that of the rest of the economy, which makes it … Continue reading
Recently I wrote an experience report on running Monte Carlo simulation on a GPU for the newsletter of TopQuants. My piece is here.
Recently I had to familiarise myself with commodity futures. One thing that surprised me was the common unit of measurement for natural gas. It is used in MMBtu, which is a short for a million of British thermal units. It … Continue reading
This is not so much of a post, just a collection of bitcoin-related links: https://bitcointalk.org/index.php?PHPSESSID=309cf9027c5144b5cf3eef31f09866d0&topic=35812.0 https://bitcointalk.org/ http://bitcoinmagazine.net http://bitcoincard.org/ https://bitpay.com/ https://localbitcoins.com/ http://acceptbit.com/ https://github.com/kangasbros/django-bitcoin
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.
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
Most big companies do not maintain their IT infrastructure by themselves. Instead, they outsource this job to another company, which usually calls itself a solution provider. A single solution provider can take care of IT resources of many different companies. … Continue reading
Here is a small example of how one can calculate a risk-adjusted zero rate, given a risk-free zero rate and CDS premium. Risky zero rate calculation example.