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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 2 months
seen 9 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Aug
12
awarded  Notable Question
Jul
31
comment Strictly local martingales: what is the intuition behind them?
An application of strict local martingales is in the modelling of financial bubbles as Protter does see e.g. here
Jul
31
comment Strictly local martingales: what is the intuition behind them?
Very interesting question but please correct the typo: do you mean "supermartingale" or "submartingale"? thanks
Jul
28
awarded  Nice Question
Jul
28
revised Option based portfolio insurance in practice
edited title
Jul
25
comment Ito integral approximation by Euler?
Does the work of Platen say something about your case? $\int Y_t W_t dW_t$ looks difficult ...
Jul
25
answered Formula for the forward rates?
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
You might find the paper Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes interesting.
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
I don't really know one single book where historical simulation is explained in detail. I have seen the above approach being applied successfully in practice. Meucci wrote the book "Risk and Asset Allocation" published at Springer. A lot of ressources can also be found at his web page symmys.com. I hope that helps.
Jul
21
answered Historic Value at Risk - Ratios vs. Differences
Jul
18
comment How does Vega of a call/put behave under the Black-Scholes model?
@Lost1 I mean that depending on the constellation of $\log(S/K)$ and $r-q$ which determines the sign we get either $+\infty$ or $-\infty$. But as $d_1$ is squared the sign does not matter.
Jul
18
comment code assistance - how to bootstrap and plot paths with a mixed model
should be moved to stats.stackexchange.com
Jul
18
comment code assistance - how to bootstrap and plot paths with a mixed model
This should be posted at stats.stackexchange.com
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$E[e^{W_t}] = \exp(t^2/2)$.
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$W_t$ is Gaussian - right? Then $E[e^{W_t}]$ is just the moment generating function of a Gaussian random variable with variance $t$ evaluated at $1$. So your formula is wrong.
Jul
14
revised Option based portfolio insurance in practice
added 1009 characters in body
Jul
14
comment Option based portfolio insurance in practice
Thanks for the answer. It answers parts of my question. I will edit the question with some more precise info.
Jul
14
comment Option based portfolio insurance in practice
I am asking about the investment bank that offers the guarantee. I would like to know how this is usually done (the offer) and how this is hedged in the bank's trading room. I have a specific case in mind and I would like to compare what they do to how "it is usually done". Thanks!
Jul
14
answered How to get permanently growing chart within PCA
Jul
14
comment How to get permanently growing chart within PCA
@Imorin what are the approximations in the article?