1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 9 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Dec
27
revised Hidden Markov Model & Its Application
remove NY wishes
Dec
26
revised How to reactivate a risk mangement rule in an automated process
Clean up
Dec
26
revised Hidden Markov Model & Its Application
Fix spelling and remove courtesy
Dec
22
comment Using the termstrc package in R
So the docs are wrong?
Dec
22
comment How to enumerate all the possible portfolios with a given target volatility?
This proves to be a harder nut to crack than I expected and I'm still working on it. Re: the number of solutions: $\mathbf{\omega' \Sigma \omega}$ has an infinite number of solutions for every attainable $\sigma_*$, these are the contours of the paraboloid for a certain level. However, the number of solutions that intersect the plane given by $\iota' \omega$ and this contour is limited, and depended on $n$.
Dec
20
answered Using the termstrc package in R
Dec
15
revised Kalman Filter Equity Example
Remove courtesy
Dec
14
revised Annualized Covariance
Math and clean up
Dec
13
revised Quanto CDS modeling
Fix markdown and spelling
Dec
12
revised Basket option pricing: step by step tutorial for beginners
Remove courtesy
Dec
11
revised Simple question about stochastic differential
Uppercase title and remove courtesy
Dec
10
answered Should I use GARCH volatility or standard deviation in cross-sectional regression?
Dec
6
revised Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
Expanded the answer with regard to the pros and cons of choosing rational exponents
Dec
6
comment Risk management insurance (Solvency II / MaRisk)
That's a lot of questions, why not split them?
Dec
5
answered Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
Dec
5
comment GBM 3d plot with R
Yes, I couldn't find any problems with your implementation, and apparently it is correct. Since dlnorm is just the log normal density in R, with the right $\mu$ and $\sigma$ they are equivalent.
Dec
5
answered GBM 3d plot with R
Dec
5
comment GBM 3d plot with R
Or, less exotic, uniform over a very small interval.
Dec
2
comment GBM 3d plot with R
I'm starting to doubt the graph given on Wikipedia. The peakedness of the density seems to correspond to a volatility of 0.005.
Dec
2
revised GBM 3d plot with R
Make R code simpler