1,938 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 5 months
seen 25 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Jul
24
reviewed Reviewed Fastest algorithm for calculating retrospective maximum drawdown
Jul
24
reviewed No Action Needed What are the proper metrics to look at for checking discrepancies in these two time series
Jul
24
reviewed No Action Needed Should I analyze the tick data day by day?
Jul
24
reviewed No Action Needed How to find optimal look back in quant trading models
Jul
23
revised questions on VAR manipulation
Add link to page of book
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Did you use a library function? $2^{-32}$ is not that small, I would expect it to happen quite often... Starting to wonder what the popular packages do.
Jul
22
revised SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
Fix code layout
Jul
21
reviewed Approve suggested edit on How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Jul
21
revised How to price a Swing Option?
Grammar fixes
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Hi Kiwiakos, welcome to quant.SE! Nice answer, I would argue that being fully rigorous is not even necessary as you can show using Ito's lemma that $\ln x$ indeed is a correct solution.
Jul
21
comment Comparison of multicurve calibration methods
@emcor it's better to post small additions to a question as a comment and not as an answer. Answers should really answer the question.
Jul
21
comment SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
Thanks, unfortunately I won't be looking at it soon but this makes it more clear.
Jul
20
comment Pricing Principle 1
Please don't post links to complete e-books unless you're the copyright holder or the explicitly license allowed this. If you doubt whether this is allowed: don't.
Jul
20
revised Pricing Principle 1
Replace links to ebook
Jul
20
revised Arbitrage free implies complete market?
Replace links to ebook
Jul
20
comment Historic Value at Risk - Ratios vs. Differences
I'm not sure I follow: the definition of $\hat{S}_i$ does not not seem logical to me with regard to the definition of $\hat{r}_i$. What is $\hat{r}_i$ exactly, and why would it become large or negative (it can't be large and negative). Can you clarify?
Jul
20
comment Does Modern Portfolio Theory align with EMH?
Hi Karol Przybylak, welcome to quant.SE! Thank you for asking your question here.
Jul
20
answered Does Modern Portfolio Theory align with EMH?
Jul
19
comment SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
I've looked at the code and the paper and it's hard for me to map the code to the formulas. Also, it's not clear to me how you derived the constants. Can you clarify the question?
Jul
19
comment Calculate bond yield in python
Hi Wade Bratz, welcome to Quant.SE! Thank you for asking your question here.