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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 5 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
nice answer but can't we specify $p_t$ more exactly using the densities? Moreover above I would not write $E\{\dots\}$ for the distribution.
Jun
11
comment Documentation of the ISDA CDS standard model
Hi Mark (@StudenT) thanks for your answer. This is the explanation I was looking for. I epxected it to be something as the BS for CDS - just as you write.
Jun
11
accepted Documentation of the ISDA CDS standard model
Jun
11
comment Documentation of the ISDA CDS standard model
@chollida I totally disagree with you. How can you apply a software or a model if you don't know how it works? StudentT's answer below proves that this is a quant question.
Jun
10
comment Directional/Non-Directional Risk
Please, would you provide a link or some other reference. "Directional risk" can mean a lot. Is it the contect of options? Which asset class?
Jun
6
awarded  Excavator
Jun
6
revised Quadratic variation question
edited title
May
30
answered What is the Rho of an option on a futures contract priced using the Black 76 model?
May
28
comment Documentation of the ISDA CDS standard model
Thanks for the document, unfortunately I don't see how this serves as documentation for the ISDA model ...
May
28
comment Documentation of the ISDA CDS standard model
"This version", which? ;)
May
28
answered Successfull applications of Chaos Theory in Quant Finance
May
27
revised Documentation of the ISDA CDS standard model
added 283 characters in body
May
27
asked Documentation of the ISDA CDS standard model
May
27
comment How to define the median for bivariate function?
You mean a distribution function $f(x)$ - right? Similar to Bob Jansen answer, the search for the notion of a quantile in higher dimensions is much more complicated than in dimension 1.
May
27
comment american option and cash dividends
Please provide a reference.
May
27
reviewed Close GNP/GDP and modelling
May
22
comment Implied Correlation using market quotes
I like the FX argument.
May
21
revised Implied Correlation using market quotes
added 47 characters in body
May
21
comment Implied Correlation using market quotes
If you follow the link then you find a formula for average correlation. If you substitute the $\sigma_i's$ with implied vols and if you have an option on a portfolio say $50\%$ stock and $50\%$ bonds and its implied volatility then you could do this. Of course questions of moneyness, and the quality of the prices remain. It would be a crude thing - I know. I will edit the answer and mention that this is crude and maybe not realistic.
May
21
answered Implied Correlation using market quotes