3,490 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
seen 2 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


May
28
comment Documentation of the ISDA CDS standard model
"This version", which? ;)
May
28
answered Successfull applications of Chaos Theory in Quant Finance
May
27
revised Documentation of the ISDA CDS standard model
added 283 characters in body
May
27
asked Documentation of the ISDA CDS standard model
May
27
comment How to define the median for bivariate function?
You mean a distribution function $f(x)$ - right? Similar to Bob Jansen answer, the search for the notion of a quantile in higher dimensions is much more complicated than in dimension 1.
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.