1,909 reputation
2830
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 3 months
seen 1 hour ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

3h
reviewed No Action Needed Constructing Volatility Smile from Implied Volatility & Delta
6h
comment What software should I use for forex arbitrage?
Hi a20, welcome to quant.SE! I concur with madilyn. are you by any chance trying to arbitrage cryptocurrencies? I'm not sure that would be on-topic but it would certainly change the best way to approach this.
6h
comment Setting entry and exit position in Matlab and computing returns for backtesting purposes
I'm not really clear on what you want to achieve here. You can just calculate the return from open to close? Are you looking for an efficient way to do this? Then you need to give us some data structures.
16h
reviewed No Action Needed Fixed volatility portfolio with max returns creates skewed results
1d
comment CVA/CDVA - Worsened Credit Quality implies profit?
I don't think that's the problem here because Citi's press release explicitly mentions CVA as the cause.
1d
comment Contribute to Finance related projects
Hi user2733436, welcome to quant.SE! Career advice is not on-topic here but I believe nsw's advice is valuable for you. Another idea is to get active on GitHub.
1d
reviewed Reviewed Contribute to Finance related projects
1d
reviewed No Action Needed Implementing A 50/50 Prediction Model Strategy
2d
awarded  Nice Question
2d
revised CVA/CDVA - Worsened Credit Quality implies profit?
Add balance sheet example
2d
reviewed No Action Needed Intermarket analysis - related time series?
2d
reviewed Reviewed Art market specificities
2d
comment CVA/CDVA - Worsened Credit Quality implies profit?
I'll try to add some stuff later today.
Aug
24
answered CVA/CDVA - Worsened Credit Quality implies profit?
Aug
21
reviewed Reject suggested edit on Are e-mini markets manipulated?
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
The equation at the start of your question is not a model preposition. It's just a model, it has some useful properties but doesn't follow from the usual axioms. It's not the truth. Why we want to use it is in the Discussion section there and in the papers linked in at the bottom of the Wiki-page.
Aug
21
comment Why we substitute volatility into other financial models?
Well that follows from the definition. For estimating the volatility different approaches exist, e.g. quant.stackexchange.com/q/11306/848. However, that's not what you asked, if your interested in estimating please rephrase your question. For now I will put it on hold as too basic since the formula follows (under the appropriate assumptions) from the definitions).
Aug
21
revised What is the reasoning to derive this financial model called the Vasicek Model?
Add link to Wikipedia, add tags
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
Well, it's your question ;) What do you think about the discussion on Wikipedia?
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
Well to model interest rates... Do you mean: why model them like that?