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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Sep
17
answered How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
Sep
16
comment Why is two-factor model so popular for bond futures?
Could you shortly explain the two-factor model for bond futures that you mean here?
Sep
16
answered Why is the duration of a bond important?
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
By the way, @emcor, I try to use simple/applied language here but it is a theorem. You find more details here.
Sep
16
comment Why should we expect geometric Brownian motion to model asset prices?
$X=1$ is not a process, or do you mean $X_t=1$ for all $t \ge 0$. Then this is a constant process - of course I don't mean constant processes.
Sep
16
revised Hedging using relative values
edited body
Sep
16
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
Would you like to provide some reference to a documentation of the model? Thanks!
Sep
16
answered Hedging using relative values
Sep
16
answered Why should we expect geometric Brownian motion to model asset prices?
Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
added 1 character in body; edited title
Sep
15
answered Question 1.18 from Hull's Financial Risk management CAPM
Sep
11
awarded  Notable Question
Sep
8
comment conservative approach payoff table
This question is too vague. Please go more into details about the set-up, what are the decisions, which pay-off and so forth. Do you just ask which strategy to choose if 2 strategies have the same return?
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
I know but if you form a portfolio how can you assume that the stocks are uncorrelated? And why should all the variances be the same? Stocks are usually correlated and you have riskiers ones and less risky ones, if you form pairs (winner minus looser) then both volatility and correlation between the stocks will determine your risk.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
no - only if they are uncorrelated - and usually each stock has it's own $\sigma_i$. For random variables $A,B$ and real numbers $a,b$ it holds that $VAR(a*A+b*B) = a^2VAR(A) + 2 a b COVAR(A,B) + b^2 VAR(B)$.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
Do you mean that the $n$ stocks are iid with one $\sigma$? This is rather unlikely.
Sep
8
revised Back-testing Value at Risk with a WML investment strategy
added 311 characters in body
Sep
8
answered Back-testing Value at Risk with a WML investment strategy
Sep
5
comment Convergence of GBM mean after simulation?
Yes ... if you need the paths then it is clear. I will read about the discretization error.
Sep
5
comment Convergence of GBM mean after simulation?
If you choose $\Delta t$ small, then you sample more often during one year - right. I will reread some works about MC simulation of stochastic processes/SDEs but I think smaller $\Delta t$ is better. if not - then why not take just a single time step of 300 years?