1,938 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 4 months
seen 17 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

17m
comment negative transition probabilities in the heston model
BTW: thanks for sharing the paper. I'm still reading it. The authors spend quite some time on these negative probabilities and apparently a number of things can go wrong. I do wonder though: in the first step shouldn't v0 be the volatility now and vt the vol at the next step.
4h
comment How can I estimate expected maximum drawdown with historical data?
Hi Corne Luis, welcome to Quant.SE! I did some Googling and found some promising resources for starting this research. Did you try those?
4h
reviewed Reviewed How to calculate unsystematic risk?
4h
comment How to calculate unsystematic risk?
Hi Akhtar Rasheed, welcome to Quant.SE! What about the _un_systematic risk?
5h
answered Efficient Frontier Derivation: why minimize half the portfolio variance instead of just the variance?
17h
awarded  Explainer
21h
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
Hi Paul, welcome to Quant.SE! Good to hear you found your solution. Can you put it as an answer? Then it's clear this question is solved.
2d
comment negative transition probabilities in the heston model
No luck yet for me. Can you the complete invocation of the function? Do you by any chance have v0 and vt equal?
2d
revised negative transition probabilities in the heston model
Formatted code
2d
reviewed Reviewed GMM time-series regression factor model with factors that are not returns
2d
reviewed Reviewed Pricing American with floating strike
2d
comment Pricing American with floating strike
Hi ABC, welcome to Quant.SE and thank you for asking your question here. Can you show us what you have tried?
2d
reviewed Reviewed negative transition probabilities in the heston model
2d
comment negative transition probabilities in the heston model
Hi Season, welcome to Quant.SE! As the probabilities are negative I think it's best to show your code anyway. Without the code people will probably think it's a bug.
Sep
27
reviewed Reject suggested edit on Are e-mini markets manipulated?
Sep
27
reviewed Looks OK Option pricing ? Where to get the dividend yield from?
Sep
27
reviewed Reviewed stock option strategies long vs short
Sep
27
comment stock option strategies long vs short
Hi VladT, welcome to Quant.SE! Are you affiliated with optionsforum.net? We would appreciate it if you disclose this.
Sep
27
reviewed No Action Needed How to compute for basis adjusted forward rate?
Sep
23
comment What are the most important forces that influence stock price?
Be more specific. Possibly, an expert can give good and succinct answers to your questions, as @emcor suggests but then you might just have the kind of summary you find on the back of a book. Furthermore I count four question marks and a few subquestions. This is almost always to broad. So, I agree more with SKRX, your questions have to be much more specific then just splitting this in four new questions. Try to follow the advice on How to Ask and on general question asking: catb.org/esr/faqs/smart-questions.html.