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location Vienna, Austria
age 33
visits member for 2 years, 6 months
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


1d
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
Could you explain a bit how you derive the solution for $r_t$ .. with the exponential (2nd formula). I don't see that this is the solution that easily ..
1d
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
@Drew I think this question is way more brainy than some others out there ...@Student T seeing Gordon's answer your comment is the solution if we let $A$ depend on $r_t$ and $\sigma_t$ ...
1d
revised How does Reuters quote caps?
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1d
comment How does Reuters quote caps?
You are right, my answer focus too much on ATM. I will edit my answer a bit.
1d
answered How does Reuters quote caps?
1d
revised How does Reuters quote caps?
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1d
comment GARCH models on stata
I think it should be transfered to stats.stackexchange.com
1d
comment GARCH models on stata
This question appears to be off-topic because it is about stata and its manual and has nothing to do with finance.
2d
comment ARIMA model, cannot get rid of low order ACF spike
I think you can order the book as pdf - it is definately worth the money. I bought it as paperback. As I see in the remark below your problem is solved ;)
2d
comment Is this process predictable or not?
You write "the other values of $\xi_t$ are given only when $S_{t−1}$ is greater than $S_{t−2}$". This is not true. The indicator function just means that $\xi_t$ is $1$ if $S_{t-1}$ is greater and $0$ else. This is well defined ...
Dec
15
comment Is this process predictable or not?
I agree, if the process is properly defined, then at time $t-1$ we know $S_{t-2}$ and $S_{t-1}$ and thus $\xi_t$ - and that's it.
Dec
14
awarded  Notable Question
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
You difference the data once ... mabye there is something with using a constant as described in the chapter above ...
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
What is the input data? Can you provide the values or a plot of the acf or pacf of the data? Here you find a chapter of the online textbook which I post in this forum nearly every second day.
Dec
10
comment Find the order of an ARMA model (q & p )
A very good approach can be found here: otexts.org/fpp/8/7
Dec
10
comment Find the order of an ARMA model (q & p )
2 Comments: 1st: I edited your question, I hope I got the meaning right. 2nd: you really take random p and q? In which range? If you don't know how to fit them then what about using simple models first (AR(1), ARMA(1,1), ...)?
Dec
10
revised Find the order of an ARMA model (q & p )
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Dec
9
reviewed Reviewed Skew in Black Scholes model
Dec
9
comment Skew in Black Scholes model
Please use Tex for the formulas. Can you provide the chart or the code that produced the chart?
Dec
9
reviewed Reviewed What is a medium to low frequency trading strategy and why is it less hyped?