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1d
comment Intuition behind Fama-French factors
I will read the paper, Figure 1 looks interesting indeed ..
1d
comment Intuition behind Fama-French factors
Right, I understand ... I don't believe in CAPM .. I wonder whether I should believe in FF ... could you please amplify a bit more as you claim that SMB does not exist anymore (I wonder whether this is "true") .. and you cite papers pre 2008 - could you reference to something more recent (with a link)? I know I ask for a lot but as factor investing became popular I wonder about the factors ...
1d
comment What makes IRC a market risk?
I am not that into banking regulations: could you please spell out some of the acronyms ? Thanks!
Feb
10
comment demonstrate that a Square-root process is Non-central Chi-squared distributed
This is the answer from the question which I marked as a dublicate ...
Feb
9
comment Ito Formula for Stochastic Integral
right! Thanks for pointing this out!
Feb
9
comment demonstrate that a Square-root process is Non-central Chi-squared distributed
Possible duplicate of CIR model: is the short rate really non-central $\chi^2$ distributed?
Feb
9
comment How do you replicate a geometric index?
Could you please provide more details? Do you mean a performance index of stocks/bonds ... do you have an example?
Feb
8
comment Rblpapi millisecond resolution
Ok, I checked this ... the synthax that you provide does not work because "xts" is not a return typ. What if you contact the package author directly? I think he is quite responsive.
Feb
8
comment Looking for an algorithm to generate (dummy) share price data
This is not "pseudo" .. just check out simulation and you will see that his is part of the theory. Sometimes you have to simulate the price process e.g. if you want to price path dependent options ... this is in the core of finance.
Feb
5
comment Rblpapi millisecond resolution
could you provide an example of the call?
Feb
4
comment generate matrix in Matlab
I'm voting to close this question as off-topic because ... sounds a bit like a programming only question ...a Matlab only one...
Feb
4
comment Call options and portfolio of the same options worth less?
as in Gordon's anwser part of the answer is given using Jensen's inequality en.wikipedia.org/wiki/Jensen%27s_inequality
Feb
4
comment ABS vs covered bonds vs CDO
Yes .. can be googled, rather basic .. but as you put it in your answer ... one can give a good picture about this topic ..
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
I edited the answer. Please provide your prices for 1,2,4,6,8 years and compare to the numbers above. Does your error increase?
Feb
3
comment Spectral and distortion risk measures
Great example .. your answer could benefit from this example too. Thanks
Feb
3
comment Spectral and distortion risk measures
Do you have examples for each kind of risk measure?
Feb
3
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
As you can see above the price of this Option is the same as the price of a European call... Thus you have the analytical value.. In each step
Feb
2
comment Discrepancy between binomial model, Black-Scholes and Monte-Carlo Simulation
See my edit. What is your stepsize?
Jan
29
comment Variance covariance matrix for a portfolio containing bonds also with other asset classes
changing the settlement date changes the accrued interest and thereby the duration.
Jan
29
comment Variance covariance matrix for a portfolio containing bonds also with other asset classes
No, please check out the term duration. This measures the sensitivity to changes in interest rates. Thus Duration is fixed everyday and the bond price is affected by changes in yields. By how much is measures by duration (approximately).