meta user
network profile
| bio | website | researchgate.net/profile/… |
|---|---|---|
| location | Vienna | |
| age | 31 | |
| visits | member for | 11 months |
| seen | May 14 at 7:53 | |
| stats | profile views | 130 |
Risk Manager at Raiffeisen Capital Management
External Lecturer at Vienna University of Technology
|
Mar 4 |
answered | Geometric Brownian Motion with non-negative random increments |
|
Mar 1 |
comment |
Fair swap rate of an amortizing swap Thanks for your thoughts. I will think about it. There are no optionalities involved. |
|
Feb 27 |
accepted | Applications of Fourier theory in trading |
|
Feb 26 |
comment |
Applications of Fourier theory in trading great. The last paper that you posted looks like what I am looking for. It is on the way to the printer. Thanks. I will wait if something else comes in and if not then I will accept your answer. |
|
Feb 26 |
comment |
Applications of Fourier theory in trading References with a connection to trading, especially in high frequency are most interesting. Thank you! |
|
Feb 26 |
comment |
Applications of Fourier theory in trading Any references for trading, especially HFT? Thanks! |
|
Feb 26 |
comment |
Applications of Fourier theory in trading I am afraid, I have to say that you found some nice papers! I have googled and found at least 20 papers and went through them, but the ones that you post look good. I will read them as number 21 - 23. thanks! |
|
Feb 26 |
comment |
Applications of Fourier theory in trading Thanks Freddy, I edited the question. What I am looking for are applications in a time series analysis spirit. Sorry for any confusion. |
|
Feb 26 |
revised |
Applications of Fourier theory in trading added 264 characters in body |
|
Feb 26 |
comment |
Applications of Fourier theory in trading Thank you for this link. I know the Fourier methods in option pricing (and e.g. calculation of risk measures) but I mean application in time series analysis. I should note this in the question. |
|
Feb 26 |
revised |
Fair swap rate of an amortizing swap edited body |
|
Feb 26 |
asked | Applications of Fourier theory in trading |
|
Feb 26 |
asked | Fair swap rate of an amortizing swap |
|
Feb 22 |
comment |
Reference on SDE driven by jump processes @Lost1 I added a book in my answer. |
|
Feb 22 |
revised |
Reference on SDE driven by jump processes added 311 characters in body |
|
Feb 21 |
answered | Reference on SDE driven by jump processes |
|
Feb 21 |
awarded | Enthusiast |
|
Feb 15 |
comment |
Implementing nonlinear optimization to find model free implied volatility using Matlab This formula looks like the formula for VIX as the CBOE calculates it. Why do you have those $\sigma$ terms in the exponential for $F$? This is not standard ... maybe you do some secret magic there ... if this is not the case: what is this? If you just calculate VIX, then you don't need any solver ... for $F$ you could use cost-of-carry or the implied forward from put-call parity. |
|
Feb 15 |
awarded | Benefactor |
|
Feb 14 |
accepted | Copula models and the distribution of the sum of random variables without Monte Carlo |
