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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 1 hour ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


22h
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?
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Yes, I agree about the first one ... sorry.
Oct
21
comment Expected Shortfall and Spectral Risk Measure
And I think in your setting the upper bound of the integral should be $-VaR$ and in the first integral also $-VaR$ or the quantile directly.
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Good answer but are you sure abou the denominator in the second integral?
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Please add a reference to a paper or a web page with formulas. The question is unclear to me.
Oct
17
comment What is a good Computer Algebra System for financial engineering?
mathematica can do symbolic algebra and a integration (it know a lot of special functions (Bessel and this kind). And you can do numerics too. So this could be a place to start.
Oct
16
comment What is a good Computer Algebra System for financial engineering?
The OP asked for computer algebra (although I always wonder why people would use such systems for these things) and as far as I know mathematica together with UNRISK (not without it) is the only such combination. You need to use unrisk then adapted integration for various derivatives and models is implemented. I know they even have IL derivatives there ...
Oct
15
answered What is a good Computer Algebra System for financial engineering?
Oct
13
comment Distribution of the value of a portfolio
You more or less wrote down the definition of the Chi-squared distribution ... a weird example of a stock-market .. right? But thinking about variance (squared returns) it makes sense..
Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
edited title
Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
added 3 characters in body
Oct
9
comment Why can sometimes stock prices rise when interest rates rise?
The risk free drift has nothing to do with the real world drift. It just means that forwards are priced with the risk-free rate.
Oct
9
comment Why are interest rates and stock prices positively correlated?
In fact this question is nearly a duplicate of the question that @haginile points to ...
Oct
9
comment Why are interest rates and stock prices positively correlated?
@haginile No, I don't believe that the discounted cashflow model reflects reality. Mabye it gives you some fair price but you never know when (!) the asset will trade at this fair price. It is not a binding law and as you say the parameters are uncertain. Your answer for the other question is good (+1), the correlation aspect is important. One could think that the correlation between stocks and bonds is fixed (negative) , which is not true as you point out.
Oct
9
comment seasonality and generalized additive model
I don't mind having it here, but in my experience the OP gets better and quicker answers about GAM over there at SSE.
Oct
8
answered Why are interest rates and stock prices positively correlated?
Oct
8
comment seasonality and generalized additive model
Should be migrated to stats.stackexchange.com
Oct
7
comment CAPM (SML) Problem
You should use Tex and make the formulas more clear.