2,855 reputation
524
bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 1 month
seen 11 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Mar
3
revised Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return
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Feb
28
comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
I absolutely agree with @John : if you do not know $100\%$ what the interpretation is then don't do statistics on rolling returns. Furthermore: yes, use monthly or weekly returns. John, would you post this as answer - just to have this one answered.
Feb
21
comment why is the BNS model the way it is
In case you want to do Monte Carlo - I would work with $V$ in simulations and just plug in $\sqrt{V}$ for the simulation of $X$ - no Ito needed.
Feb
21
comment why is the BNS model the way it is
Of course the first derivative of a square-root is proportional to $1/\sqrt(...)$. But which application of Ito do you mean - an application to $f(X_t)$ or $f(V_t)$ for some $C2$ function $f$?
Feb
21
revised why is the BNS model the way it is
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Feb
21
comment why is the BNS model the way it is
Just a typo - of course it does not habe mr.
Feb
21
answered why is the BNS model the way it is
Feb
20
comment why is the BNS model the way it is
Could you please post a link to a free paper where BNS is defined. A paper where we can find your equation.
Feb
20
accepted Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
19
answered Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
18
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
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Feb
17
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
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Feb
17
revised How to use Merton model to calculate default probability with monthly stock prices?
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Feb
17
asked Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
17
comment The distribution of jump gaps for Levy processes
Very good answer.
Feb
13
comment Simulating the short rate in the Hull-White model
Yes ... this should work. I have never implemented this, but it's worth trying.
Feb
13
comment Simulating the short rate in the Hull-White model
But this is not what you need. You need $E[\exp(-\int_t^T r_u du)|F_t]$ - this is the discount factor. You should find something like this there.
Feb
11
comment How to use Merton model to calculate default probability with monthly stock prices?
Formula 3 is wrong if you want to do the step from monthly vol to annualized vol.
Feb
11
answered How to use Merton model to calculate default probability with monthly stock prices?
Feb
10
revised Simulating the short rate in the Hull-White model
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