3,285 reputation
726
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 3 months
seen 8 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


7m
comment What's the intuition behind DTS(duration times spread) in fixed income?
Could you shortly describe the definition of DTS that you have found?
5h
comment optimisation problem with linear constraint
I though that maybe there is a way to keep the $B_l \le A \le b_u$ formulation. But please forget it for now. It is quite usualy to formulate the constraint as $A x \le b_u$. This is fully general as you can always multiply rows and rhs by (-1).
5h
comment optimisation problem with linear constraint
It is quite some time ago that I used Matlab. But it should work that you only define b_u and leave b_l empty. Or you use a formulation where you still stack to rows together for A but keep a b_l. Give it a try and tell us.
6h
comment optimisation problem with linear constraint
If my answer answers the question then please accept.
6h
comment Intraday Data - Stylized Facts?
Could you please provide any reference for this? Then one would have a starting point for further research of the literature.
21h
revised optimisation problem with linear constraint
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22h
answered optimisation problem with linear constraint
22h
comment optimisation problem with linear constraint
is this a programming question? If yes .. off-topic. If no: then please write something about what the variables mean and what the constraint means.
Sep
22
awarded  Revival
Sep
22
revised Approximation of different volatilities
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Sep
22
revised Approximation of different volatilities
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Sep
22
answered Approximation of different volatilities
Sep
18
answered Analog - Pattern Recognition model using KNN
Sep
18
comment In what kind of stochastic process Ito's lemma is adopted?
If your tutor is a tutor of stochastic analysis, then he should teach it as a whole. Basically Ito's lemma is used for processes that can be described as solutions to SDE's (stochastic differential equaions). There is a version for jump processes too.
Sep
17
comment How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
I see - you focus on the Matlab implementation and I rather tried to make clear the mathematics. In this case emcor is of more help I guess.
Sep
17
answered How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
Sep
16
comment Why is two-factor model so popular for bond futures?
Could you shortly explain the two-factor model for bond futures that you mean here?
Sep
16
answered Why is the duration of a bond is important?
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
By the way, @emcor, I try to use simple/applied language here but it is a theorem. You find more details here.
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
$X=1$ is not a process, or do you mean $X_t=1$ for all $t \ge 0$. Then this is a constant process - of course I don't mean constant processes.