3,500 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
seen 1 hour ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


2d
answered Is the volatility for these two SDEs the same
Nov
20
answered PCA on term structure of interest rates
Nov
18
answered Does the correlation of matrices have explanatory power when building a pattern recognition model?
Nov
18
answered finance - using CAPM
Nov
18
answered Relation between IV and SD
Nov
7
answered I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value
Nov
6
answered Par Yield Curves vs Zero Curves
Oct
22
answered What is the name of this product?
Oct
15
answered What is a good Computer Algebra System for financial engineering?
Oct
8
answered Why are interest rates and stock prices positively correlated?
Oct
3
answered Calibrating an Ornstein Uhlenbeck process on residuals of regression
Sep
30
answered What's the intuition behind DTS(duration times spread) in fixed income?
Sep
29
answered optimisation problem with linear constraint
Sep
22
answered Approximation of different volatilities
Sep
18
answered Analog - Pattern Recognition model using KNN
Sep
17
answered How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?
Sep
16
answered Why is the duration of a bond important?
Sep
16
answered Hedging using relative values
Sep
16
answered Why should we expect geometric Brownian motion to model asset prices?
Sep
15
answered Question 1.18 from Hull's Financial Risk management CAPM