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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 3 months
seen 12 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


15h
awarded  Revival
20h
revised Approximation of different volatilities
added 431 characters in body
1d
revised Approximation of different volatilities
added 416 characters in body
1d
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.
Sep
16
revised Hedging using relative values
edited body
Sep
16
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
Would you like to provide some reference to a documentation of the model? Thanks!
Sep
16
answered Hedging using relative values
Sep
16
answered Why should we expect geometric Brownian motion to model asset prices?
Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
added 1 character in body; edited title
Sep
15
answered Question 1.18 from Hull's Financial Risk management CAPM
Sep
15
comment Decision Tree - Query
this question probably better fits to stats.stackexchange.com
Sep
11
awarded  Notable Question