1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 12 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Apr
18
comment Black Scholes vs Binomial Model
Make it an answer and score some points ;)
Apr
8
comment How do you calibrate a poisson arrival rate process?
Maybe I'm thinking to simple but: why not use a standard MLE?
Apr
5
reviewed Reject suggested edit on Are e-mini markets manipulated?
Mar
29
awarded  Enlightened
Mar
29
awarded  Nice Answer
Mar
26
comment Effects of random-generator-choice on derivative's price
AES = Advanced Encryption Standard, it is used in cryptography and build to be very hard to predict. It uses entropy generated by different events at the OS level. This a smart way to achieve unpredictability but is very slow if you lead a lot of randomness. For an introduction to QMC methods you could look at Judd.
Mar
26
comment Effects of random-generator-choice on derivative's price
I don't have an answer but: have you looked at quasi Monte Carlo? I think comparisons can be hard to make because of the influence of the seed on the generated sequence.
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
Spelling
Mar
8
comment Fitting Egarch Model
Can't you just use the standard MATLAB package?
Mar
6
reviewed Satisfactory Is Cubic spline Interpolation on swaption Volatility arbitrage free?
Mar
6
reviewed Excellent Is there a difference between crossing network and ECN
Mar
6
reviewed Satisfactory Lagged dependent variable, yes or no?
Mar
6
reviewed Excellent What nonparametric methods exist for estimating intraday seasonalities?
Mar
6
reviewed Satisfactory Derivation of the Nelson-Siegel model and proof of arbitrage
Mar
6
reviewed Satisfactory probablity expiring in the money ..basic question
Mar
6
reviewed Satisfactory Multifractal Model, Generating Sample Paths with Correlations between Assets
Mar
6
reviewed Excellent Book on market microstructure
Mar
6
reviewed Satisfactory Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
Mar
5
comment An alternative to the Gaussian distribution to describe/fit market stock returns
You could try a Levy skew alpha-stable distribution with α = 1.8 and β = 0.931. Snark aside, it depends on your use-case , asset, etc.
Mar
3
revised Fitting a sigmoid function to incomplete, structured, data
Remove courtesy