2,499 reputation
320
bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 year, 10 months
seen 2 days ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Apr
14
answered Sampling problem in portfolio optimization
Apr
11
answered Convolution copula?
Apr
3
answered Why use implied volatility
Apr
2
answered Overview of robust/regularized portfolio selection
Mar
24
answered Geometric Brownian motion - Volatility Interpretation (in the drift term)
Mar
13
answered Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
12
answered Sharpe Ratio and time spent in loss
Mar
7
answered Wiener process proof
Mar
5
answered How to backtest the VaR model?
Feb
21
answered why is the BNS model the way it is
Feb
19
answered Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
17
asked Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Feb
11
answered How to use Merton model to calculate default probability with monthly stock prices?
Feb
10
answered Simulating the short rate in the Hull-White model
Jan
31
answered How does Vega of a call/put behave under the Black-Scholes model?
Jan
30
answered Need overlapping sample autocorrelation correction for calculating asset return correlations
Jan
21
answered Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
Jan
15
answered Inferring signals in absence of sign of principal components (PCA)?
Jan
10
answered How can I calculate the Cumulant-Generating Function in Matlab?
Jan
9
answered Calculating deltas of call options?