1,840 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 2 months
seen 38 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

May
4
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
May
3
reviewed No Action Needed how market makers set the time factor to calculate option greeks on the expiration day?
May
3
awarded  Custodian
May
2
accepted Intuitive explanation of the Hansen-Jagannathan bound
Apr
30
awarded  Custodian
Apr
30
reviewed Reviewed What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Apr
30
reviewed Reviewed What's the disadvantage of ARMA-GARCH model?
Apr
30
reviewed Reviewed Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Apr
30
reviewed Reviewed annual excess returns from CAPM on monthly total returns
Apr
30
reviewed No Action Needed Integration in the context of modelling with the Meixner Process
Apr
30
reviewed Reviewed Should Sharpe ratio be computed using log returns or relative returns?
Apr
30
reviewed Reviewed How to perform Empirical Mode Decomposition?
Apr
30
reviewed Reviewed What is the difference between Option Adjusted Spread (OAS) and Z-spread?
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.