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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 year, 10 months
seen 2 days ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
30
answered Error message in calculation Implied Volatility
Dec
23
reviewed Reject suggested edit on How can I go about applying machine learning algorithms to stock markets?
Dec
18
comment Calculating and interpreting cumulative returns is R
I don't know at the moment what ROC does, but there you spedicy discrete and in the last line you apply logic for log-returns.
Dec
18
revised Calculating and interpreting cumulative returns is R
inserted the library that we need.
Dec
18
comment Calculating and interpreting cumulative returns is R
Help us: we need library(xts) and where can we find the function ROC?
Dec
18
revised Open source equity/bond index data
edited title
Dec
16
revised Open source equity/bond index data
added 94 characters in body
Dec
16
comment Open source equity/bond index data
Thanks, I know this thread of blog posts. But as far as I have seen this does not address my question. I would like to know how I can get the data for the indices from Google (because Yahoo doesn't have it anymore). In this list there are various data sources, some for pay and some for totally different data. I need exactly these 4 indices. Thanks
Dec
16
comment How to prove price of Asian option under geometric averaging is cheaper than a European call?
Hi, the pay-off that you describe here is that of an Asian option with geometric averaging. Maybe I find time to formulate an answer later.
Dec
16
answered ITM Puts under negatively skewed return distribution (volatility skew)
Dec
13
revised Open source equity/bond index data
added 434 characters in body
Dec
13
asked Open source equity/bond index data
Dec
12
revised Optimization: Factor model versus asset-by-asset model
edited body
Dec
12
comment Optimization: Factor model versus asset-by-asset model
But the non-orthonogal case is still not clear to me.
Dec
12
revised Optimization: Factor model versus asset-by-asset model
added 207 characters in body
Dec
12
comment Optimization: Factor model versus asset-by-asset model
In fact @DavidNehme has already answered this question when he answered this one: quant.stackexchange.com/questions/9616/…
Dec
12
comment Min VaR and Min TE as second order cone program
I just reread your answer and you answer my next question (quant.stackexchange.com/questions/9697/…) in it. Summing up the factor model is more efficient than the "full" model ... this is bad because I don't like factor models that much ;)
Dec
12
asked Optimization: Factor model versus asset-by-asset model
Dec
11
comment Examples of non-increasing variance of a time homogeneous Markovian process
Yes, I have seen it but I don't have time at the moment. Why did you rephrase this question and did not post an new one? I can only delete my answer ... your question is a hard one and I don't have the time to think about it at the moment, sorry.
Dec
9
comment Min VaR and Min TE as second order cone program
I have edited the question once again. In the SOCP formulation the objective is linear - even trivial. The constraints are linear continuous, linear binary and the one that couples the quadratic program and the SOCP. Could you please give me a last comment on this? Thanks!