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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 years, 10 months
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


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.
Jan
14
comment Expected value of Black-Scholes
My comment could help to answer your first question. The standard estimator of variance is also an MLE if you assume that the returns are normal (in which case the chi-squared distribution enters naturally).
Jan
14
comment Expected value of Black-Scholes
Why should one use realized historical volatility for the BS model? In my experience this is hardly ever done. What one rather does is plugging in implied volatility derived from other sources if possible. Another question: what does your notation $BSCall(\frac{(n−1)s^2}{\chi^2_{n-1}})$ exactly mean?
Jan
10
answered How can I calculate the Cumulant-Generating Function in Matlab?
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
Uh .. a bad typo of mine "yous" ... I hope you can still understand the meaning "use" ...
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
For the mgf you usually use the analytic expression if it is known. In the case of the normal distribution you write a function yourself (if it is not built in somewhwere in a package). But you really don't need the series expansion.
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
Please yous latex, I can not read your formula. Whatever: you just take the log that's it! No expansion needed. If you know the moment generating function, then evaluate it and take the log.
Jan
9
answered Calculating deltas of call options?
Jan
9
comment VIX Future risk modeling
In other words, this question is a dublicate to the one which I have in my comment (and which I have asked some months ago).
Jan
9
comment How can I calculate the Cumulant-Generating Function in Matlab?
You should use the equation environment and latex. Do you know how to calculate the moment generating function $M(h)$ then the cumulant is just $\ln M(h)$ just look at the defintions (or e.g. wikipedia).
Jan
8
comment VIX Future risk modeling
You could have a look at this question quant.stackexchange.com/questions/4124/…
Jan
7
reviewed Approve suggested edit on How to Delta Hedge with Futures?
Dec
30
answered How to interpret beta meaningfully?
Dec
30
comment Are my estimates of parameters of geometric brownian motion correct?
yes .. and the time increment can not have exponential law but gamma. Otherwise the expected value of time is biased.
Dec
30
comment Stochastic volatility model with exponential OU volatility
And yes - as I can see it: Heston is with a CIR model for the variance. And you need some non-linear transformation if you model vol as OU-process. The Heston with CIR-vol seems to be the most common. Have you ever looked at Heston-Nandi?
Dec
30
comment Stochastic volatility model with exponential OU volatility
I would say that modelling with jumps is more general. At least it is tehnically more difficult and if you can do the jump case then the other case will be easy. A jump process is a natural model for vol in my opinion. Something like a Hawkes [process](fiquant.mas.ecp.fr/ioane_files/HawkesCourseSlides.pdf) looks really good.
Dec
30
answered Stochastic volatility model with exponential OU volatility
Dec
30
comment How to prove price of Asian option under geometric averaging is cheaper than a European call?
Google the title and you will get a download link. I can not post the direct link.
Dec
30
revised How to prove price of Asian option under geometric averaging is cheaper than a European call?
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