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Richard

Vienna, Austria

https://www.researchgate.net/profile/Richard_Warnung/imgsrc=https://www.researchgate.net/images/public/profile_share_badge.pngalt=RichardWarnung//a

Former: risk manager at an asset management company (9y+) Currently: risk model audit at a commercial bank

external lecturer at Vienna University of Technology

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Top Questions
Top Answers
13
What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean?
quant.stackexchange.com

11
$X,Y,Z$ are IID ${\rm Poisson}(\lambda)$. Find the correlation between $X$ and $X+Y+Z$
stats.stackexchange.com

10
Implied Volatility of stock on Think or Swim
quant.stackexchange.com

10
Why do some people claim the delta of an ATM call option is 0.5?
quant.stackexchange.com

10
Geometric Brownian motion - Volatility Interpretation (in the drift term)
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10
Why use implied volatility
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9
SDE simulation: P or Q?
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9
What to use as portfolio diversification measure?
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8
Black-Scholes formula producing a negative number for a Call Option
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8
If not a Poisson, then what distribution is this?
stats.stackexchange.com

8
Data Synchronization
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7
How do you calculate the expected value of mixed lognormal distribution?
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7
Differential equation for log-returns
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7
Two correlated brownian motions
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7
Why is GARCH more often applied in risk analysis than stochastics?
quant.stackexchange.com

6
Why aren't econometric models used more in Quant Finance?
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6
How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
quant.stackexchange.com

6
What is the average stock price under the Bachelier model?
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6
Calculating Variance Explained from PCA Loadings
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6
Why should we expect geometric Brownian motion to model asset prices?
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6
The Distribution of Future Stock Price
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6
Covariance between two stocks in a two-factor model
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6
Intuitive Explanation for Volatility Smile for Equity
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6
Is the Budapestcard worth the price if I use it for transport mainly?
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5
Puzzled by derivation of time series prediction based on its log
stats.stackexchange.com

5
Basic question on Portfolio Theory
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5
Copulas simply explained
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5
Pricing in HJM framework
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5
Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
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5
How are option expiration dates decided?
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