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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 2 months
seen 13 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Apr
7
comment Why use implied volatility
@Ilya addressing your points: with useful I mean that BS is in any case useful as a tool to compare various options by their implied volatility (IV). High IV means rather expensive, small IV means rather cheap. BS with the correct IV (taken from the market) gives the price which is a tautology. If you use BS with the wrong IV then the price is wrong. For OTM options with short time to maturity BS is only able to get the price right with extremely large IVs. AD 2: yes it is equivalent. Again the IV smile/smirk is equivalent to the prices but on another scale.
Apr
3
comment Pricing an american style option on a bond future
Please improve the layout of your question.
Apr
3
answered Why use implied volatility
Apr
3
revised Overview of robust/regularized portfolio selection
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Apr
3
comment Overview of robust/regularized portfolio selection
@John I thought that too. Basic concept but nice interpretation. Roncalli often presents such 'big picture'things.
Apr
2
answered Overview of robust/regularized portfolio selection
Mar
31
comment Understanding the derivation of a ML-estimator
I could imagine that this fits better to stats.stackexchange
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
edited title
Mar
25
revised Geometric Brownian motion - Volatility Interpretation (in the drift term)
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Mar
24
answered Geometric Brownian motion - Volatility Interpretation (in the drift term)
Mar
24
comment Geometric Brownian motion - Volatility Interpretation (in the drift term)
You meab $\exp(E[W_t]) \le E[\exp(W_t)]$ - right?
Mar
22
awarded  Popular Question
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
In the two plots what is the standard deviation (sd) of the first random variable (is it $1$?) and what in the second? The axes and the sd should fit together. Or you use histograms.
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
@jessica if $r$ is normally distributed with mean $0$ and variance $\sigma$ then $1+r$ is normally distributed with mean $1$ and variance $\sigma$. The distribution of $\prod_{i=1}^n (1+r_i)$ is not normal. If you look at log-returns then you can just sum up for accumulation over time. Then you stay in the log-return world.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
What would make sense is to estimte TE ex-ante and then look at future active return. Similar to VaR back-testing.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
Hi, do you want to compare ex-ante TE to ex-post TE? It depends on the purpose but this does not make too much sense too me. If you don't have a lot of trading then the numbers will be very close if you put in the same data, if you have a lot of trading then they will differ a lot.
Mar
13
answered Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
12
answered Sharpe Ratio and time spent in loss
Mar
7
answered Wiener process proof
Mar
5
comment How to backtest the VaR model?
An answer for a full Var model is another question, it depends on the asset class (bonds, equity, multi assets, HF). Post a question and you will get some references.