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Feb
4
comment Call options and portfolio of the same options worth less?
as in Gordon's anwser part of the answer is given using Jensen's inequality en.wikipedia.org/wiki/Jensen%27s_inequality
Feb
4
comment ABS vs covered bonds vs CDO
Yes .. can be googled, rather basic .. but as you put it in your answer ... one can give a good picture about this topic ..
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
I edited the answer. Please provide your prices for 1,2,4,6,8 years and compare to the numbers above. Does your error increase?
Feb
3
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 394 characters in body
Feb
3
comment Spectral and distortion risk measures
Great example .. your answer could benefit from this example too. Thanks
Feb
3
comment Spectral and distortion risk measures
Do you have examples for each kind of risk measure?
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
As you can see above the price of this Option is the same as the price of a European call... Thus you have the analytical value.. In each step
Feb
2
answered Portfolio with lots of subportfolios
Feb
2
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
See my edit. What is your stepsize?
Feb
2
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 491 characters in body
Feb
2
answered Portfolio optimization
Feb
2
revised Portfolio optimization
edited body; edited title
Feb
2
answered Looking for an algorithm to generate (dummy) share price data
Feb
2
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
added 1 character in body
Feb
2
answered Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
Feb
2
revised Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
edited body
Jan
29
comment Variance covariance matrix for a portfolio containing bonds also with other asset classes
changing the settlement date changes the accrued interest and thereby the duration.
Jan
29
comment Variance covariance matrix for a portfolio containing bonds also with other asset classes
No, please check out the term duration. This measures the sensitivity to changes in interest rates. Thus Duration is fixed everyday and the bond price is affected by changes in yields. By how much is measures by duration (approximately).
Jan
28
comment How to backtest Value at Risk Models using Conditional and Unconditional tests?
I am not sure, but I think it was edited after I wrote this. I just thought that back testing VaR is rather covered already - but leaving it open with this focus is fine with me.
Jan
28
comment How to backtest Value at Risk Models using Conditional and Unconditional tests?
Possible duplicate of Back-testing Value at Risk with a WML investment strategy