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
revised Sampling problem in portfolio optimization
added 611 characters in body
Apr
3
revised Overview of robust/regularized portfolio selection
added 1 characters in body
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
edited title
Mar
25
revised Geometric Brownian motion - Volatility Interpretation (in the drift term)
added 116 characters in body
Mar
5
revised How to backtest the VaR model?
deleted 1 characters in body
Mar
3
revised Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return
added 2 characters in body
Feb
21
revised why is the BNS model the way it is
added 4 characters in body
Feb
18
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
added 2 characters in body
Feb
17
revised Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
added 4 characters in body
Feb
17
revised How to use Merton model to calculate default probability with monthly stock prices?
added 2 characters in body
Feb
10
revised Simulating the short rate in the Hull-White model
edited title
Feb
10
revised Simulating the short rate in the Hull-White model
added 519 characters in body
Feb
10
revised Simulating the short rate in the Hull-White model
deleted 1 characters in body
Jan
31
revised How does Vega of a call/put behave under the Black-Scholes model?
added 187 characters in body
Jan
29
revised Understanding the VaR example on wikipedia
deleted 2 characters in body
Jan
21
revised Co-integration constraints of coint(X,Z) given coint(X,Y) and coint(Y,Z)?
edited body
Jan
20
revised How to compute greeks using the adjoint Monte Carlo approach?
deleted 1 characters in body
Dec
30
revised How to prove price of Asian option under geometric averaging is cheaper than a European call?
added 152 characters in body
Dec
18
revised Calculating and interpreting cumulative returns is R
inserted the library that we need.
Dec
18
revised Open source equity/bond index data
edited title