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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jan
20
comment Pricing options under restricted domain
Just to be sure: the price can not reach a certain level. Your setting is different from a knock-out option, where the price is unbounded, but the option becomes worthless.
Jan
20
comment How to compute greeks using the adjoint Monte Carlo approach?
Furthermore: with "sensitivities" you mean something like the Greeks or more general derivatives w.r.t. to certain parameters. Have you heard of Malliavin-calculus?
Jan
20
revised How to compute greeks using the adjoint Monte Carlo approach?
deleted 1 characters in body
Jan
20
comment How to compute greeks using the adjoint Monte Carlo approach?
Very interesting question - could you insert a link to what the "adjoint method" or "adjoint MC method" is?
Jan
20
comment Robust Returns-Based Style Analysis
E.g. lets say you have a long/short fund that trades large cap (LC) versus small (SC). Let's say the fund switches monthly (could be more frequent) then for a LC-index and a SX-index you want to calculate the expsoures of the fund for each month (say long LC short SC in November, short LC, long SC in December). This is very difficult and as much as I have played with RBSA too hard to solve satisfactory.
Jan
17
awarded  Custodian
Jan
17
reviewed Reviewed Why do some people claim the delta of an ATM call option is 0.5?
Jan
17
comment Why do some people claim the delta of an ATM call option is 0.5?
First: could you please use latex. The second part of your question is a pracitioners approach. Maybe you could go into more detail? Without model $- dc(T)/dk$ doesn't make to much sense mathematically- but it probably does as a trade.
Jan
17
comment Inferring signals in absence of sign of principal components (PCA)?
another comment: yes the magnitude matters and for interpretation the sign strucutre as I try to piont out above.
Jan
17
comment Inferring signals in absence of sign of principal components (PCA)?
Please have a look at my answer here about PCA on yield curves: quant.stackexchange.com/questions/7202/…
Jan
17
comment Inflation modelling
In modelling inflation you absolutely have to take seasonalities into account. Usually inflation in summer is different from winter (it depends on the market and the role that traveling and heating play). If I remeber this correctly then this is take into account with inflation swaps.
Jan
16
comment Normality assumption in Sharpe ratio
Very good example!
Jan
15
answered Inferring signals in absence of sign of principal components (PCA)?
Jan
14
comment Expected value of Black-Scholes
To answer question 2: no, by no means analysis of historical variance has any necessary implication for option valuation. Option pricing is mainly about trading (delta hedging and so forth). At least theoretically trading will improve the value of your position.
Jan
14
comment Expected value of Black-Scholes
My comment could help to answer your first question. The standard estimator of variance is also an MLE if you assume that the returns are normal (in which case the chi-squared distribution enters naturally).
Jan
14
comment Expected value of Black-Scholes
Why should one use realized historical volatility for the BS model? In my experience this is hardly ever done. What one rather does is plugging in implied volatility derived from other sources if possible. Another question: what does your notation $BSCall(\frac{(n−1)s^2}{\chi^2_{n-1}})$ exactly mean?
Jan
10
answered How can I calculate the Cumulant-Generating Function in Matlab?
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
Uh .. a bad typo of mine "yous" ... I hope you can still understand the meaning "use" ...
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
For the mgf you usually use the analytic expression if it is known. In the case of the normal distribution you write a function yourself (if it is not built in somewhwere in a package). But you really don't need the series expansion.
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
Please yous latex, I can not read your formula. Whatever: you just take the log that's it! No expansion needed. If you know the moment generating function, then evaluate it and take the log.