3,490 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
seen 10 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


12h
comment What are the dynamics of the reverse of this FX process?
Plese write down your model for $FX$ - then on can look at $1/FX$.
15h
comment PCA on term structure of interest rates
Are the increments of your time series non-stationary? It is similar to a random walk. If you have white noise $X_i$ then $S_n = \sum_{i=1}^n X_i$ is non-stationary but $X_i$ is.
16h
answered PCA on term structure of interest rates
2d
comment Relation between IV and SD
I only mean high values for IV ... I don't have experience with the risk-neutral density derived from option prices and its variance (quite abstract ;))
2d
comment Relation between IV and SD
I understand now as you edited the question - but I can not really answer this.
2d
comment Relation between IV and SD
I have added a paragraph in my answer.
2d
revised Relation between IV and SD
added 343 characters in body
2d
answered Does the correlation of matrices have explanatory power when building a pattern recognition model?
2d
answered finance - using CAPM
2d
answered Relation between IV and SD
2d
revised Does the correlation of matrices have explanatory power when building a pattern recognition model?
edited title
Nov
17
comment Why are interest rates and stock prices positively correlated?
No, if rates increase then prices for loans decrease (!). In the government bond market interest rates are vehicles that make traded prices match discounted cash flows. In the money-market world you can directly observe the artes.
Nov
12
comment Which is the better risk sensitive measure?
What is $\theta$? A probability measure? If so, from which set of measures? $Var$ is variance or value-at-risk? Where do you take these definitions from?
Nov
7
answered I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value
Nov
7
comment I want to Derive $P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$
You should go more into detail. What the difference between $P$ and $p$? $p$ does not appear in the formula. I assume $P$ are the prices of zero-coupon bonds?
Nov
6
comment Why is OU process stationary?
There is weak stationarity too ... then you only consider the first 2 moments.
Nov
6
answered Par Yield Curves vs Zero Curves
Oct
29
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
No, because $\exp(x)' = \exp(x)$.
Oct
23
awarded  Civic Duty
Oct
22
answered What is the name of this product?