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

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
2
comment Equivalent (true) Martingale Measures and no-arbitrage conditions
Would you like to go more into detail here? The link is great but having more details in the answer itself would be helpful.
Dec
2
reviewed Reviewed What's state price vector?
Dec
2
comment What's state price vector?
Please edit your question and provide all the details - using Latex - there.
Dec
1
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Hi M. ;) Do you have any reference for the riskparty + views part? and/or for the Benchmark + views part? This would be great, thanks
Dec
1
comment In theory historical performance of a portfolio
The weight $W_{i,t}$ should have the price times quantity $Q_{i,t} P_{i,t}$ in the numerator.
Dec
1
revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Changed link
Nov
29
asked Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Nov
28
comment Is volatility really a coherent risk measure?
This answer on subadditivity is great. But doesn't volatility lack the property of translation invariance and therefore it is not coherent?
Nov
27
comment Bachelier model: number of stocks in replicating strategy
Please edit the question and include all the details.
Nov
24
comment Portfolio VaR with Copula?
I have posted a similar question here: quant.stackexchange.com/questions/7077/… Appearantly copulas and sums don't go together well ;)
Nov
24
answered Is the volatility for these two SDEs the same
Nov
21
comment What are the dynamics of the reverse of this FX process?
Nice solution! I also think that it is important that it is GBM, which is a positive process. With BM we could run into serious problems at zero.
Nov
20
comment What are the dynamics of the reverse of this FX process?
Plese write down your model for $FX$ - then on can look at $1/FX$.
Nov
20
comment PCA on term structure of interest rates
Are the increments of your time series non-stationary? It is similar to a random walk. If you have white noise $X_i$ then $S_n = \sum_{i=1}^n X_i$ is non-stationary but $X_i$ is.
Nov
20
answered PCA on term structure of interest rates
Nov
18
comment Relation between IV and SD
I only mean high values for IV ... I don't have experience with the risk-neutral density derived from option prices and its variance (quite abstract ;))
Nov
18
comment Relation between IV and SD
I understand now as you edited the question - but I can not really answer this.
Nov
18
comment Relation between IV and SD
I have added a paragraph in my answer.
Nov
18
revised Relation between IV and SD
added 343 characters in body
Nov
18
answered Does the correlation of matrices have explanatory power when building a pattern recognition model?