9,030 reputation
12878
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 9 months
seen 2 hours ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


Mar
1
revised Indicators and research for stress-based investment strategies
Original link to bloomberg didn't work any more
Feb
26
comment Market weights for Black-Litterman
Could you give at least one reference for what you describe as "most examples"? Thank you.
Feb
26
answered Applications of Fourier theory in trading
Feb
11
awarded  Popular Question
Feb
4
awarded  Custodian
Feb
4
reviewed Excellent How to attribute income that incurs a double liability in a P&L?
Feb
4
reviewed Excellent Why might a manager consider using an interest-rate in which the notional principal amount declines over time?
Feb
4
reviewed Excellent Understanding Passive Rebate Arbitrage
Feb
4
reviewed Excellent Limits analysis
Feb
4
reviewed Excellent what is the implied volatility on a basket of options
Feb
4
reviewed Excellent Basket option pricing: step by step tutorial for beginners
Feb
4
reviewed Excellent price of a “Cash-or-nothing binary call option”
Feb
4
reviewed Excellent Determining portfolio risk return in R given historical data for individual holdings?
Feb
3
comment How to detect structural breaks in variance?
I updated my answer and included the links to the R-package as requested.
Feb
3
revised Tools in R for estimating time-varying copulas?
deleted 103 characters in body
Jan
31
awarded  Yearling
Jan
30
comment How to detect structural breaks in variance?
@Dail: Done :-) Thank you
Jan
30
revised How to detect structural breaks in variance?
added 548 characters in body
Jan
29
revised What are the options for a mathematician to break into QF without working for a fund?
added 1222 characters in body
Jan
29
answered What are the options for a mathematician to break into QF without working for a fund?