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725
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 2 months
seen 8 mins ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


2h
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
Would you like to provide some reference to a documentation of the model? Thanks!
1d
comment Decision Tree - Query
this question probably better fits to stats.stackexchange.com
Sep
8
comment conservative approach payoff table
This question is too vague. Please go more into details about the set-up, what are the decisions, which pay-off and so forth. Do you just ask which strategy to choose if 2 strategies have the same return?
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
I know but if you form a portfolio how can you assume that the stocks are uncorrelated? And why should all the variances be the same? Stocks are usually correlated and you have riskiers ones and less risky ones, if you form pairs (winner minus looser) then both volatility and correlation between the stocks will determine your risk.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
no - only if they are uncorrelated - and usually each stock has it's own $\sigma_i$. For random variables $A,B$ and real numbers $a,b$ it holds that $VAR(a*A+b*B) = a^2VAR(A) + 2 a b COVAR(A,B) + b^2 VAR(B)$.
Sep
8
comment Back-testing Value at Risk with a WML investment strategy
Do you mean that the $n$ stocks are iid with one $\sigma$? This is rather unlikely.
Sep
5
comment Convergence of GBM mean after simulation?
Yes ... if you need the paths then it is clear. I will read about the discretization error.
Sep
5
comment Convergence of GBM mean after simulation?
If you choose $\Delta t$ small, then you sample more often during one year - right. I will reread some works about MC simulation of stochastic processes/SDEs but I think smaller $\Delta t$ is better. if not - then why not take just a single time step of 300 years?
Sep
4
comment Convergence of GBM mean after simulation?
It is not the value $0.3$ ... but the discretization error if you sample full years. You have to discretize the year. You have $300$ one-year steps. Try to cut a year in, sy $20$ steps and simulate first $1,2,3$ years and look what happens. You have $\Delta t$ in you formula but you don't use it in the code.
Sep
3
comment Option on a dice game
@RandomGuy yes, I think it should be priced similar to an American option in a Binomial tree. If you like the answer, then please accept it (klicking on the button). And yes - if we throw dice then we don't need any discounting. Anyways, it would not really change anything - if you discount, then use $2$ time periods and an appropriate interest rate.
Sep
2
comment Option on a dice game
Pricing of this option is an interesting exercise.
Sep
1
comment How to test that a distribution has infinite mean?
For the Brownian motion case, I think an application of Dynkin's formula should do the job (en.wikipedia.org/wiki/Dynkin's_formula). If the gernator of your Levy process is of a handy form then maybe Dynkin helps in your case too. Maybe check out the Brownian case first (see also the section in Oksendal's book about this amazon.com/…).
Sep
1
comment How to test that a distribution has infinite mean?
The Cauchy-distribution is distribution on the real line. The OP asks about a hitting time (non-negative). Furthermore trying one distribution is a bit crude, isn't it?
Aug
29
comment How to better understand trading signals?
Nice answer .. I wanted to point to LASSO regression too ... could be a good starting point.
Aug
26
comment Nested volatility
You are right that it is not a full answer. However, I think that it answers bullet point 2 as it shows that there is no reason why VIX should behave as the process in the simulation.
Jul
31
comment Strictly local martingales: what is the intuition behind them?
An application of strict local martingales is in the modelling of financial bubbles as Protter does see e.g. here
Jul
31
comment Strictly local martingales: what is the intuition behind them?
Very interesting question but please correct the typo: do you mean "supermartingale" or "submartingale"? thanks
Jul
25
comment Ito integral approximation by Euler?
Does the work of Platen say something about your case? $\int Y_t W_t dW_t$ looks difficult ...
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
You might find the paper Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes interesting.
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
I don't really know one single book where historical simulation is explained in detail. I have seen the above approach being applied successfully in practice. Meucci wrote the book "Risk and Asset Allocation" published at Springer. A lot of ressources can also be found at his web page symmys.com. I hope that helps.