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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 2 years, 1 month
seen 3 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


1d
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.
Jul
18
comment How does Vega of a call/put behave under the Black-Scholes model?
@Lost1 I mean that depending on the constellation of $\log(S/K)$ and $r-q$ which determines the sign we get either $+\infty$ or $-\infty$. But as $d_1$ is squared the sign does not matter.
Jul
18
comment code assistance - how to bootstrap and plot paths with a mixed model
should be moved to stats.stackexchange.com
Jul
18
comment code assistance - how to bootstrap and plot paths with a mixed model
This should be posted at stats.stackexchange.com
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$E[e^{W_t}] = \exp(t^2/2)$.
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$W_t$ is Gaussian - right? Then $E[e^{W_t}]$ is just the moment generating function of a Gaussian random variable with variance $t$ evaluated at $1$. So your formula is wrong.
Jul
14
comment Option based portfolio insurance on practice
Thanks for the answer. It answers parts of my question. I will edit the question with some more precise info.
Jul
14
comment Option based portfolio insurance on practice
I am asking about the investment bank that offers the guarantee. I would like to know how this is usually done (the offer) and how this is hedged in the bank's trading room. I have a specific case in mind and I would like to compare what they do to how "it is usually done". Thanks!
Jul
14
comment How to get permanently growing chart within PCA
@Imorin what are the approximations in the article?
Jul
11
comment Getting the next price of a GBM (Geometric Brownian Motion)
There $250$ is fine.
Jul
10
comment Correlation of asset to portfolio, given certain variables
Happy to hear this, maybe you would like to accept my answer?
Jul
10
comment How to see the impact of one variable on a set of other variables?
The answer of g g below is much better than my comment, but have you ever heard of regression analysis? This is obviously not the best approach and much better ones exist, but as a start?
Jul
10
comment Correlation of asset to portfolio, given certain variables
VAR is variance in this context.
Jul
10
comment Correlation of asset to portfolio, given certain variables
@emcor this is wrong, I don't assume this. I use the linearity of covariance which is correct. See the proof.
Jul
10
comment Correlation of asset to portfolio, given certain variables
No guys. I use the whole covariance matrix. Nowhere I assume anything about its shape. Read the paper or text books about risk contributions to volatility or the Euler allocation principle.
Jul
9
comment hedging with known volatility
correct answer ...
Jul
9
comment hedging with known volatility
This is only true if the factor are investable. This is a geometric Brownian motion - this is theoretical only.
Jul
4
comment Getting the next price of a GBM (Geometric Brownian Motion)
Attenation: volatility scale with the square-root of time, so your first transformation should be volatility/100/$\sqrt{365}$.