1,937 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 5 months
seen 9 hours ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

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.
Jul
19
revised Calculate bond yield in python
Remove courtesy
Jul
19
answered Calculate bond yield in python
Jul
17
comment Arbitrage free implies complete market?
Still not quite sure I follow, can you explain Prop 2.3?
Jul
17
comment Arbitrage free implies complete market?
Hmm, I don't see how this answers your question in toto: "Which part of finding the replicating portfolio makes use of the assumption?". Can you elaborate?
Jul
17
comment How is PnL calculated
Note that I agree 99% with @SRKX, but IMO with the specifics added this is an almost new question on the same topic.
Jul
17
comment How is PnL calculated
I think it's a bit better now, some specfics on "please help me with some more insights" would improve it tremendously.
Jul
17
reviewed Edit and Reopen How is PnL calculated
Jul
17
revised How is PnL calculated
Clean up
Jul
17
reviewed No Action Needed list of ADR's by volume or market cap
Jul
17
reviewed Looks OK Handling Missing values in stocks returns when estimating the co variance matrix
Jul
17
reviewed No Action Needed What Is A Good Success Rate Using Machine Learning For A Beginner?
Jul
17
comment forecasting crash time of KLSE index (1991-1994)
The less general the title, the better. I believe your equation has some errors. Can you take a careful look at it? For instance, I believe that $B$ should depend on the parameter $m$ and can't be seen as a independent input to the optimization.
Jul
17
revised forecasting crash time of KLSE index (1991-1994)
Fix up text
Jul
17
reviewed No Action Needed What's the difference between volatility and variance?