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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 2 days ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
16
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
Could you explain a bit how you derive the solution for $r_t$ .. with the exponential (2nd formula). I don't see that this is the solution that easily ..
Dec
16
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
@Drew I think this question is way more brainy than some others out there ...@Student T seeing Gordon's answer your comment is the solution if we let $A$ depend on $r_t$ and $\sigma_t$ ...
Dec
16
comment How does Reuters quote caps?
You are right, my answer focus too much on ATM. I will edit my answer a bit.
Dec
16
comment GARCH models on stata
I think it should be transfered to stats.stackexchange.com
Dec
16
comment GARCH models on stata
This question appears to be off-topic because it is about stata and its manual and has nothing to do with finance.
Dec
16
comment ARIMA model, cannot get rid of low order ACF spike
I think you can order the book as pdf - it is definately worth the money. I bought it as paperback. As I see in the remark below your problem is solved ;)
Dec
15
comment Is this process predictable or not?
You write "the other values of $\xi_t$ are given only when $S_{t−1}$ is greater than $S_{t−2}$". This is not true. The indicator function just means that $\xi_t$ is $1$ if $S_{t-1}$ is greater and $0$ else. This is well defined ...
Dec
15
comment Is this process predictable or not?
I agree, if the process is properly defined, then at time $t-1$ we know $S_{t-2}$ and $S_{t-1}$ and thus $\xi_t$ - and that's it.
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
You difference the data once ... mabye there is something with using a constant as described in the chapter above ...
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
What is the input data? Can you provide the values or a plot of the acf or pacf of the data? Here you find a chapter of the online textbook which I post in this forum nearly every second day.
Dec
10
comment Find the order of an ARMA model (q & p )
A very good approach can be found here: otexts.org/fpp/8/7
Dec
10
comment Find the order of an ARMA model (q & p )
2 Comments: 1st: I edited your question, I hope I got the meaning right. 2nd: you really take random p and q? In which range? If you don't know how to fit them then what about using simple models first (AR(1), ARMA(1,1), ...)?
Dec
9
comment Skew in Black Scholes model
Please use Tex for the formulas. Can you provide the chart or the code that produced the chart?
Dec
9
comment What is a medium to low frequency trading strategy and why is it less hyped?
This is a very rudimentary answer. As it is your first answer here mabye you would like to improve it (e.g. using full sentences, references, ...)
Dec
9
comment How to annualise the volatility of non-iid returns?
I edited the question a bit. You do not annualise returns but you annualise their volatility.
Dec
4
comment How to compute the historical VaR for a portfolio with long and short positions?
Please clarify your question and correct the typing.
Dec
3
comment Equivalent (true) Martingale Measures and no-arbitrage conditions
This is a nice joke. But sometimes you can construct (more or less) realistic arbitrage as an example. Maybe in this setting too? If not then we can call it purely mathematical ...
Dec
3
comment Why cant I multiply two SDE Solutions?
Please use latex for formulas.
Dec
2
comment The role of micro credit in finance
@TomAu Do you know anything about the mutual fund industry in this area? I know European players - what are global/US players?
Dec
2
comment Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Very nice summary and links - thanks a lot! Maybe we meet before Xmas for lunch?