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1032
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 9 months
seen yesterday

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jan
19
comment How to price an European call on zero-coupon from the yield curve?
What is $R_{t_2}(t_1)$? I guess there is a typo.
Jan
19
revised How to price an European call on zero-coupon from the yield curve?
added 5 characters in body
Jan
19
revised Parametric/Analytical VaR
added 7 characters in body
Jan
19
answered Parametric/Analytical VaR
Jan
19
revised Parametric/Analytical VaR
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Jan
19
comment Finding Expression for Optimal Markowitz Weights
Would you like to accept one of the answers?
Jan
19
comment Finding Expression for Optimal Markowitz Weights
Could you show us the derivation of this result? Thanks!
Jan
19
revised Finding Expression for Optimal Markowitz Weights
edited tags
Jan
16
answered Factor immunization for bond portfolio
Jan
16
comment Why is Weighted Least Squares necessary in fundamental factor model?
Could you give an example where "the loadings are known" and the factors not? I can imagine what you mean but is this a rigorous statement?
Jan
15
answered Comparing Portfolio Volatility with Index Volatility seems a wrong method?
Jan
14
asked Fixed Income risk attribution in the historical simulation of a sovereign bond portfolio
Jan
14
revised Question about the stochastic differential equation in the Merton model
edited title
Jan
13
comment Why Markov Functional Models (Hunt 2000) are not yet so popular?
Would you like to post the full title of the reference or even tex some formula as an a example? This would be helpful to me.
Jan
9
answered Research methodology of systematic strategies
Jan
7
answered CIR model: is the short rate really non-central $\chi^2$ distributed?
Jan
7
comment CIR model: is the short rate really non-central $\chi^2$ distributed?
With $s\ge t$ are you suee that the parameters are as you describe? With $s\ge t$ I would expect the whole thing to be conditional on $r_t$ and thus having $r_t$ in the parameters.
Jan
6
awarded  Revival
Jan
5
comment Why can't I multiply two SDE Solutions?
Of course they can be multiplied! One just has to take care for all probabilistic aspects but $S=S_1* S_2$ always holds. one just has to carfully analyse the distribution of $S$ and/or its SDE.
Jan
5
comment Why can't I multiply two SDE Solutions?
You say that the drift term is incorrect - what is your result of the term. It is unclear what you are asking. Please use latex and ask a clear question. Of course it is is the same whether you multiply 2 solutions or you write down a correct (!) SDE for the product and solve it afterwards.