I echo frenchX and add - knowingly or not, regulators force kind of trading "standards", where pricing needs to include analysis which is done usually "later" with the scope of (counter party) portfolios, scenarios, ...... C/DVA, VaR, ... adapted pricing? This will cause enormous performance requirements, robustness might become questionable and model validation close to impossible? However, if this became true we might be forced to stay in the risk-free world (at least for DVA no other approaches are published)?(In general, if you make a system complex AND tightly coupled you might have unintended consequences, but not enough time to react to them)One thing has been mentioned. Machine learning might become more important to do better "calibration", decision support, .. IMO, machine learning methods for quant finance need to exratct knowledge that is computational AND white box (not so easy).Having the combinatoric complexity in mind logic constraint programming might enjoy a renaissance?.... but this is close to crystal ball consultation ... and all IMO
Last edited by exneratunrisk
on November 18th, 2012, 11:00 pm, edited 1 time in total.