Stack Exchange

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?
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11
Geometric Brownian motion - Volatility Interpretation (in the drift term)
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11
$X,Y,Z$ are IID ${\rm Poisson}(\lambda)$. Find the correlation between $X$ and $X+Y+Z$
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10
Implied Volatility of stock on Think or Swim
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10
Why use implied volatility
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10
Why do some people claim the delta of an ATM call option is 0.5?
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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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9
Black-Scholes formula producing a negative number for a Call Option
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8
Why is GARCH more often applied in risk analysis than stochastics?
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8
How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?
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8
Data Synchronization
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8
If not a Poisson, then what distribution is this?
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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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6
How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
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6
Why aren't econometric models used more in Quant Finance?
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6
Why should we expect geometric Brownian motion to model asset prices?
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6
Copulas simply explained
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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
What is the average stock price under the Bachelier model?
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6
Why is rate of return on the stock normally distributed under GBM?
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6
Calculating Variance Explained from PCA Loadings
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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
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5
What is coskewness and how can it be calculated?
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5
Realizations of random variable
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