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727
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 5 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Sep
2
answered Option on a dice game
Sep
1
comment How to test that a distribution has infinite mean?
For the Brownian motion case, I think an application of Dynkin's formula should do the job (en.wikipedia.org/wiki/Dynkin's_formula). If the gernator of your Levy process is of a handy form then maybe Dynkin helps in your case too. Maybe check out the Brownian case first (see also the section in Oksendal's book about this amazon.com/…).
Sep
1
accepted Estimate correlation of time series whose histories differ in length
Sep
1
revised Meaning of w in SDE
typo : "Weiner" instead if "Wiener"
Aug
29
asked Estimate correlation of time series whose histories differ in length
Aug
29
comment How to better understand trading signals?
Nice answer .. I wanted to point to LASSO regression too ... could be a good starting point.
Aug
26
comment Nested volatility
You are right that it is not a full answer. However, I think that it answers bullet point 2 as it shows that there is no reason why VIX should behave as the process in the simulation.
Aug
26
answered Nested volatility
Aug
12
awarded  Notable Question
Jul
31
comment Strictly local martingales: what is the intuition behind them?
An application of strict local martingales is in the modelling of financial bubbles as Protter does see e.g. here
Jul
31
comment Strictly local martingales: what is the intuition behind them?
Very interesting question but please correct the typo: do you mean "supermartingale" or "submartingale"? thanks
Jul
28
awarded  Nice Question
Jul
28
revised Option based portfolio insurance in practice
edited title
Jul
25
comment Ito integral approximation by Euler?
Does the work of Platen say something about your case? $\int Y_t W_t dW_t$ looks difficult ...
Jul
25
answered Formula for the forward rates?
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
You might find the paper Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes interesting.
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
I don't really know one single book where historical simulation is explained in detail. I have seen the above approach being applied successfully in practice. Meucci wrote the book "Risk and Asset Allocation" published at Springer. A lot of ressources can also be found at his web page symmys.com. I hope that helps.
Jul
21
answered Historic Value at Risk - Ratios vs. Differences
Jul
18
comment How does Vega of a call/put behave under the Black-Scholes model?
@Lost1 I mean that depending on the constellation of $\log(S/K)$ and $r-q$ which determines the sign we get either $+\infty$ or $-\infty$. But as $d_1$ is squared the sign does not matter.
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$E[e^{W_t}] = \exp(t^2/2)$.