1,177 reputation
321
bio website
location Vienna, Austria
age
visits member for 2 years, 4 months
seen 11 hours ago

Jul
28
revised Non-Negativity of up-factor and down-factor in Binomial No-Arbitrage Pricing Model
added 686 characters in body
Jul
17
revised Handling Missing values in stocks returns when estimating the co variance matrix
deleted 42 characters in body
Jul
16
revised ETFs have lower tracking error than Futures?
added tags
Jun
11
revised calculate gamma value using finite difference method
added 5 characters in body
Mar
19
revised What are the equation that gives hurst exponent of value >0.7 and <0.3?
added 311 characters in body
Jan
16
revised Normality assumption in Sharpe ratio
squares are supposed to be outside
Jan
10
revised How can I calculate the Cumulant-Generating Function in Matlab?
latexified - otherwise unreadable
Dec
3
revised Min VaR and Min TE as second order cone program
latexified ;-)
Oct
23
revised What is the market impact of OTC trading ETFs?
added 44 characters in body
Oct
21
revised Examples of Spectral Risk Measures
added 1309 characters in body
Sep
30
revised Additive portfolio risk decomposition
added 82 characters in body
Sep
27
revised What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
added 72 characters in body
Sep
23
revised Differential equation for log-returns
latex, edited tags
Sep
12
revised How to show that the risk contribution function is or is not injective?
$w_i$ instead of $x_i$, summation shouldnt be over the free variable $i$
Jan
16
revised Comparison of Brownian Motion Expected Drawdown and simulated results
added explanation about comparison
Jan
9
revised What is the “leverage effect” for stocks?
fixed messed up formatting due to $ sign
Jan
7
revised Yield of a risky bond
added 22 characters in body
Dec
27
revised Hidden Markov Model & Its Application
edited tags
Nov
28
revised When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
deleted 34 characters in body
Nov
5
revised How do you synthesize a probability density function (pdf) from equally weighted price data?
added 1857 characters in body