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location Vienna, Austria
age 33
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


1h
comment In what kind of stochastic process Ito's lemma is adopted?
I know ... adopted not adapted to a filtration. The question should rather be: State ito's lemma precisely. Then it would be clear. However, I think there are generalizations to the more general semi-martingale setting.
1h
comment In what kind of stochastic process Ito's lemma is adopted?
If you talk about Wiener process then filtration is not such an issue. But this is very subtle. We can call $W_t$ Wiener process or Brownian moton. Important: $W_t$ has variance $t$ thus if we put $W_t = \epsilon \sqrt{t}$ then we have a Guassian with variance $t$.
1h
answered Analog - Pattern Recognition model using KNN
2h
comment In what kind of stochastic process Ito's lemma is adopted?
$W_t$ stands for Brownian motion. Some people subtly distinguish between a Wiener process and Brownian motion. All in all $W_t \sim \epsilon \sqrt{t}$.
2h
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.
1d
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.
1d
answered How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
1d
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?
2d
answered Why is the duration of a bond is important?
2d
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.
2d
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.
2d
revised Hedging using relative values
edited body
2d
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!
2d
answered Hedging using relative values
2d
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
Sep
8
comment conservative approach payoff table
This question is too vague. Please go more into details about the set-up, what are the decisions, which pay-off and so forth. Do you just ask which strategy to choose if 2 strategies have the same return?