3,350 reputation
727
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 2 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


May
27
comment american option and cash dividends
Please provide a reference.
May
27
reviewed Close GNP/GDP and modelling
May
22
comment Implied Correlation using market quotes
I like the FX argument.
May
21
revised Implied Correlation using market quotes
added 47 characters in body
May
21
comment Implied Correlation using market quotes
If you follow the link then you find a formula for average correlation. If you substitute the $\sigma_i's$ with implied vols and if you have an option on a portfolio say $50\%$ stock and $50\%$ bonds and its implied volatility then you could do this. Of course questions of moneyness, and the quality of the prices remain. It would be a crude thing - I know. I will edit the answer and mention that this is crude and maybe not realistic.
May
21
answered Implied Correlation using market quotes
May
20
revised Trend estimation techniques
added 6 characters in body
May
20
awarded  Custodian
May
20
reviewed Leave Open How can I calculate Fama-French betas for a particular stock?
May
20
reviewed Close Intermarket analysis - related time series?
May
20
answered Trend estimation techniques
May
20
revised Trend estimation techniques
corrected spelling in the title
May
20
comment Transform the American cash-or-nothing call into a linear complementarity problem for the diffusion equation
Please, could you use latex for a mathematical question? There are some characters missing too. This is homework, right?
May
20
answered How can I calculate Fama-French betas for a particular stock?
May
19
comment Difference betweem martingale property and adapted filteration
Hi Don, you really don't have the edit button right below the question? I just thought that a clear definition (with formulas) would already reveal the answer partially. But giving some examples is for sure more valuable.
May
16
revised The role of micro credit in finance
added 340 characters in body
May
16
asked The role of micro credit in finance
May
16
comment Difference betweem martingale property and adapted filteration
A very interesting question. Nevertheless such a mathematical question could be improved using formulas or at least references.
May
13
comment Hansen-Jagannathan bounds derivation: last step is not clear
@BobJansen maybe you just put it as an answer? We have so many unanswered questions in the forum ... thanks!
May
12
comment Square-root-of-time and autocorrelation
There was some confusion from my side. You ask about autocorrelation in volatility (which is a stylized fact in financial time series) and not about autocorrelation in returns thermselves-right? My answer was about autocorrelation in returns. I would alter/delete my answer.