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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jan
21
comment Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
@John I agree - I did not answer the question. I just thought writing things down helps. If a real answer comes in I could delete mine.
Jan
21
answered Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
Jan
21
revised Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
edited body
Jan
21
comment Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
As far as I understand this the test is just used to test whether the residuals are stationary. Do you think this helps? Wouldn't you rather want to know something about the regression coefficients? If you really speak about $\gamma$ then please clarify your question.
Jan
21
comment Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
So it is the $\gamma$ in your link, right? How does this relate to the basic idea of cointegration as stated e.g. here: en.wikipedia.org/wiki/Cointegration ?
Jan
21
comment Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
With $coint(X,Y) = -0.1$ you mean the $\beta$ in the cointegration equation? Does this mean that $y_t +0.1 x_t$ is stationary?
Jan
20
comment Pricing options under restricted domain
Just to be sure: the price can not reach a certain level. Your setting is different from a knock-out option, where the price is unbounded, but the option becomes worthless.
Jan
20
comment How to compute greeks using the adjoint Monte Carlo approach?
Furthermore: with "sensitivities" you mean something like the Greeks or more general derivatives w.r.t. to certain parameters. Have you heard of Malliavin-calculus?
Jan
20
revised How to compute greeks using the adjoint Monte Carlo approach?
deleted 1 characters in body
Jan
20
comment How to compute greeks using the adjoint Monte Carlo approach?
Very interesting question - could you insert a link to what the "adjoint method" or "adjoint MC method" is?
Jan
20
comment Robust Returns-Based Style Analysis
E.g. lets say you have a long/short fund that trades large cap (LC) versus small (SC). Let's say the fund switches monthly (could be more frequent) then for a LC-index and a SX-index you want to calculate the expsoures of the fund for each month (say long LC short SC in November, short LC, long SC in December). This is very difficult and as much as I have played with RBSA too hard to solve satisfactory.
Jan
17
awarded  Custodian
Jan
17
reviewed Reviewed Why do some people claim the delta of an ATM call option is 0.5?
Jan
17
comment Why do some people claim the delta of an ATM call option is 0.5?
First: could you please use latex. The second part of your question is a pracitioners approach. Maybe you could go into more detail? Without model $- dc(T)/dk$ doesn't make to much sense mathematically- but it probably does as a trade.
Jan
17
comment Inferring signals in absence of sign of principal components (PCA)?
another comment: yes the magnitude matters and for interpretation the sign strucutre as I try to piont out above.
Jan
17
comment Inferring signals in absence of sign of principal components (PCA)?
Please have a look at my answer here about PCA on yield curves: quant.stackexchange.com/questions/7202/…
Jan
17
comment Inflation modelling
In modelling inflation you absolutely have to take seasonalities into account. Usually inflation in summer is different from winter (it depends on the market and the role that traveling and heating play). If I remeber this correctly then this is take into account with inflation swaps.
Jan
16
comment Normality assumption in Sharpe ratio
Very good example!
Jan
15
answered Inferring signals in absence of sign of principal components (PCA)?
Jan
14
comment Expected value of Black-Scholes
To answer question 2: no, by no means analysis of historical variance has any necessary implication for option valuation. Option pricing is mainly about trading (delta hedging and so forth). At least theoretically trading will improve the value of your position.