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| bio | website | researchgate.net/profile/… |
|---|---|---|
| location | Vienna | |
| age | 31 | |
| visits | member for | 11 months |
| seen | May 14 at 7:53 | |
| stats | profile views | 129 |
Risk Manager at Raiffeisen Capital Management
External Lecturer at Vienna University of Technology
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Jan 28 |
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Threshold calculation for buying a mean-reverting asset @Freddy I disagree, Alon looks for rules for the Ornstein-Uhlenbeck process and this is what I deliver. The headline "pairs trading" does not change this. |
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Jan 27 |
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Analyzing the angle between vector of weights and vector of returns in mean-variance optimization @Geraldine Bailey Hi, maybe An algorithm for the orthogonal decomposition of financial return data helps. It seems to be written in a similar spirit. |
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Jan 27 |
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Copula models and the distribution of the sum of random variables without Monte Carlo Well thinking about it again the solution depends on the specific form. Then we must integrate over $v$ and note $u-v$ then we are done. I think I got it :) Further more the following helped me: math.uiuc.edu/~r-ash/Stat/StatLec1-5.pdf and www2.econ.iastate.edu/classes/econ671/hallam/documents/… |
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Jan 27 |
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Copula models and the distribution of the sum of random variables without Monte Carlo Assume the densoty of $(X,Y)$ is given by $f_{X,Y}(x,y)$. Then you propose $u=x+y$ and $v=x$ which gives $x=v$ and $y = u-v$. The applying Jacobi we get $$f_{U,V}(u,v) = f_{X,Y}(v,u-v) \cdot |-1| $$ ... now how can I proceed? I can't integrate over $u-v$ straight forward. Can you help me? Futhermore: Julian aren't you working in credit risk. Isn't there anything nice in the case of Archemidean copulas? |
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Jan 27 |
asked | Liquidity in a market risk model based on historical simulation |
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Jan 27 |
answered | Threshold calculation for buying a mean-reverting asset |
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Jan 27 |
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Threshold calculation for buying a mean-reverting asset I think the question is worth a better answer. Your answer is at most a comment. He asks for rules for the Ornstein-Uhlenbeck process. This is a clear question. |
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Jan 25 |
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Copula models and the distribution of the sum of random variables without Monte Carlo By the way: do you have a link to the internet to the procedure that you propose? I don't have the book that you mention - thanks! |
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Jan 25 |
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Copula models and the distribution of the sum of random variables without Monte Carlo thanks for your comment. This looks nice. With my question I don't have a specific application in mind. I was just wondering whether there is no useful alternative to MC in this case. |
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Jan 25 |
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Copula models and the distribution of the sum of random variables without Monte Carlo @AlexeyKalmykov Thanks for the link. This looks very interesting. I will read it soon. Do you know anything more applied too? If you make your comment an answer then I will accept if nothing else comes in. Thanks! |
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Jan 23 |
asked | Copula models and the distribution of the sum of random variables without Monte Carlo |
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Jan 11 |
answered | Generate correlated random variables from Normal and Gamma distributions |
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Dec 13 |
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Missing step in stock price movement equations Is this really $ \cdots + \sigma S \sqrt{dt}$? Maybe this doesn't matter, but I would assume that it is $\cdots + \sigma S dB_t$. The $\sqrt{dt}$ could come from a discrete simulation of the path of $S_t$ where $\sqrt{t}$ is the volatility of $dB_t$. |
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Dec 8 |
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What is the average stock price under the Bachelier model? A good idea to derive the formula. |
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Dec 7 |
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How to Delta Hedge with Futures? Yes, thanks for the comment. In the question nevertheless I first wanted to settle the theoretical question. Practical issues arise of course, and their precise impact depends on various factors. |
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Dec 4 |
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What is the average stock price under the Bachelier model? @Prakhar Mehrotra Now it is there. |
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Dec 4 |
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What is the average stock price under the Bachelier model? For got the $\sigma$ at two places. |
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Dec 4 |
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What is the average stock price under the Bachelier model? @Prakhar Mehrotra Wait, I forgot the $\sigma$. I will put into the right places. |
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Dec 4 |
answered | What is the average stock price under the Bachelier model? |
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Nov 28 |
answered | How to Delta Hedge with Futures? |
