1,635 reputation
119
bio website
location Germany
age 28
visits member for 7 months
seen Aug 18 at 9:17

Economics, Pure Math, and Quant Finance - currently working towards becoming a genuine quant ;)


Jul
31
awarded  Popular Question
Jul
2
awarded  Curious
Jun
25
reviewed Approve suggested edit on Arbitragefree Pricing: Q vs. P
Jun
7
accepted Successfull applications of Chaos Theory in Quant Finance
Jun
3
comment What exactly is the OIS Black VOL?
Do you knoe whether there is a way to convert an OIS vol the standard LIBOR-one ?
Jun
3
comment Bloomberg alternatives for fixed income data
this is some helpful information - thank you :)
Jun
1
asked Sample size and historical correlation matrices
Jun
1
comment Bloomberg alternatives for fixed income data
this is actually quite a good idea - should be cheaper than getting my own terminal. However I will still be quite inflexible and will depend on other
May
30
answered meaning of discount term in FRA value
May
29
awarded  Disciplined
May
29
reviewed No Action Needed Python library for Portfolio Optimization
May
29
accepted Introducing credit risk to an already implemented interest rate model
May
29
comment Good stochastic volatility model
by thew way what exactly do you mean by "good" - are you referring to your own model or are you looking for a "good" model ? What makes a vol model "good" in your opinion?
May
29
comment Why do some stock options have expiration dates for a given month, while others don't?
as already hinted by Ask Question please add some "meat" to the bone :) ;)
May
28
comment Successfull applications of Chaos Theory in Quant Finance
@Richard thank you for the sources
May
28
revised Successfull applications of Chaos Theory in Quant Finance
added 879 characters in body
May
28
comment Interpolation of volatility curve for Swaption
as far as I know people often just use log linear interpolation between neighbouring rates. This is at least what Brigo&Mercurio do and there work is considered a gold standard in the field
May
28
comment Interpolation of volatility curve for Swaption
I assume you need the data for calibration purposes ?
May
28
comment Introducing credit risk to an already implemented interest rate model
what is the motivation for modelling spreads instead of separate curves ?
May
28
comment Introducing credit risk to an already implemented interest rate model
this is a nice post. Thank you for taking the time to answer. Thus basically instead of modelling three curves directly I would just model the spreads. This spreads however can be converted back into the actual curves.