1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 10 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Mar
3
awarded  Custodian
Mar
3
reviewed Approve suggested edit on Is F# used in trading systems?
Feb
28
comment Optimization procedure for entropy pooling
Can you show us your data?
Feb
28
revised Optimization procedure for entropy pooling
Minor clean up
Feb
16
comment How to improve the Black-Scholes framework?
I'd rather see you make your question more specific and accept the answer instead of the other way around.
Feb
16
revised How to improve the Black-Scholes framework?
rolled back to a previous revision
Feb
13
comment Why do we use GARCH(1,1) to predict volatility?
I don't mind at all.
Feb
13
comment Why do we use GARCH(1,1) to predict volatility?
Another drawback of GARCH is that it is impractical to estimate multivariate GARCH so you can't really use it with more than a small number of assets.
Feb
5
awarded  Custodian
Feb
5
reviewed Reviewed Library of basic indicators
Feb
5
awarded  Custodian
Feb
5
reviewed Excellent what is the implied volatility on a basket of options
Feb
5
reviewed Satisfactory How to attribute income that incurs a double liability in a P&L?
Feb
5
reviewed Excellent Why might a manager consider using an interest-rate in which the notional principal amount declines over time?
Feb
5
reviewed Needs Improvement price of a “Cash-or-nothing binary call option”
Feb
4
reviewed Satisfactory Most natural generalization of covariance/correlation to model dependence of extreme events
Feb
4
reviewed Satisfactory Basket option pricing: step by step tutorial for beginners
Feb
4
reviewed Satisfactory Determining portfolio risk return in R given historical data for individual holdings?
Feb
4
awarded  Custodian
Feb
4
reviewed Excellent Understanding Passive Rebate Arbitrage