quantresearch1

5 ms·

1. 1.▲
   by quantresearch1 2y ago

   SIMM but also SA-CCR, VaR etc
2. 2.▲
   by quantresearch1 2y ago

   If you can beat the best solvers out there by a significant margin, I would say it's worth 10's of thousands a year. Speed is one aspect of it, but it could also be you are able to solve problems other solvers cannot solve. Depend
3. 3.▲
   by quantresearch1 2y ago

   In my work, I use Gurobi and other proprietary/free solvers to optimize some objectives big banks care about. It's not uncommon to use solvers in finance to optimize some metrics of a portfolio. A lot of people I have met in confe