2,499 reputation
320
bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 year, 10 months
seen 17 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Feb
20
accepted Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
19
answered Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
18
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
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Feb
17
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
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Feb
17
revised How to use Merton model to calculate default probability with monthly stock prices?
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Feb
17
asked Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
17
comment The distribution of jump gaps for Levy processes
Very good answer.
Feb
13
comment Simulating the short rate in the Hull-White model
Yes ... this should work. I have never implemented this, but it's worth trying.
Feb
13
comment Simulating the short rate in the Hull-White model
But this is not what you need. You need $E[\exp(-\int_t^T r_u du)|F_t]$ - this is the discount factor. You should find something like this there.
Feb
11
comment How to use Merton model to calculate default probability with monthly stock prices?
Formula 3 is wrong if you want to do the step from monthly vol to annualized vol.
Feb
11
answered How to use Merton model to calculate default probability with monthly stock prices?
Feb
10
revised Simulating the short rate in the Hull-White model
edited title
Feb
10
revised Simulating the short rate in the Hull-White model
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Feb
10
answered Simulating the short rate in the Hull-White model
Feb
10
revised Simulating the short rate in the Hull-White model
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Feb
6
comment Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?
The paper is behind a pay-wall. I assume he treats the jump-diffusion case. And yes - it should be monotonous in $\sigma$ as it is just Brownian motion between jumps. This should carry over to more complex Levy models.
Feb
5
comment Is there any way to adjust the average cumulative credit loss rates (Exihibit 22) in Annual Default Study 1920-2012 by Moody due to country risk?
Do you have a link to this study? How do you distinguish default risk from country risk?
Feb
4
comment Data feed for 10 year government bond yields
I often look for data and post questions. Then I get answers of the form: go to yahoo, google, quandl. This is no answer. Everybody who can do a simple internet search knows these pages. The problem in my mind is to find the right data on these pages as there are no good search tools and/or descriptions.
Jan
31
reviewed Approve suggested edit on time-series tag wiki excerpt
Jan
31
revised How does Vega of a call/put behave under the Black-Scholes model?
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