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| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years |
| seen | 36 mins ago | |
| stats | profile views | 283 |
- Consultant @ Veneficus
- Interested in the combination of Finance and Computer Science
- Building Web2Docx, if you have tips or ideas, please let know
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Mar 5 |
comment |
Simulating the joint dynamics of a stock and an option Thanks, I noticed the $T - \tau$ and wondered whether it was correct under a different interpretation of the variables. Nice to know it's not ;) I've implemented most of it over the weekend and will show the result (appendix in my thesis) and MATLAB code soon, I hope. You've really been a great help, quadrature is new terrain for me and your answer was a great start. |
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Mar 3 |
awarded | Scholar |
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Mar 3 |
accepted | Simulating the joint dynamics of a stock and an option |
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Mar 2 |
revised |
SKEW and VIX relations? Cleaned up text and removed thanks |
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Mar 2 |
suggested | suggested edit on SKEW and VIX relations? |
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Mar 1 |
comment |
Simulating the joint dynamics of a stock and an option Thanks, is there a reason for specifically referring to Lobatto Quadrature? |
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Feb 29 |
comment |
Simulating the joint dynamics of a stock and an option I've updated the question, I assume the existence of the options pricing function $BSM(S,t,{params})$. |
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Feb 29 |
revised |
Simulating the joint dynamics of a stock and an option Clearified the nature of BSM(S_t) |
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Feb 29 |
awarded | Student |
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Feb 29 |
asked | Simulating the joint dynamics of a stock and an option |
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Feb 27 |
revised |
Discrete time Ho lee model Use the Greek symbol for delta |
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Feb 27 |
suggested | suggested edit on Discrete time Ho lee model |
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Feb 12 |
revised |
Is there any measure that is a non-trivial combination of VWAP and TWAP? Fixed up the names *WAP in the latex code. Unfortunately the T still looks odd. |
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Feb 12 |
suggested | suggested edit on Is there any measure that is a non-trivial combination of VWAP and TWAP? |
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Feb 5 |
awarded | Fanatic |
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Jan 22 |
comment |
What is the correct procedure to choose the lag when preforming Johansen cointegration test? In my opinion, this question fits our domain well, it's clearly in the domain in the domain of financial econmetrics. However I feel professionals should be able to figure this out themselves. On the other hand: a good, comprehensive answer would be a boon to this site. |
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Jan 22 |
revised |
What is the correct procedure to choose the lag when preforming Johansen cointegration test? Removed thanks and tried to clarify |
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Jan 22 |
suggested | suggested edit on What is the correct procedure to choose the lag when preforming Johansen cointegration test? |
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Jan 17 |
answered | Can we replicate a call option without borrowing and make it cheaper in this way? |
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Jan 17 |
revised |
Can we replicate a call option without borrowing and make it cheaper in this way? Minor grammar fixes |
