1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 31 mins ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Dec
2
revised GBM 3d plot with R
100 points per dimension was a bit too much
Dec
2
revised GBM 3d plot with R
Clean up of code and links, removed thanks
Nov
30
revised desk's performance
Further cleaning
Nov
27
revised When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
LaTeX and replaced -> with see
Nov
27
comment Calculating portfolio VaR for (custom) leveraged products
Implementation of $f(x)$ requires a model for the returns. You can look at the question mentioned for an idea but a choice for a model requires careful consideration, I (and others) can't judge which model to use.
Nov
24
answered How do I estimate the parameters of an MA(q) process?
Nov
23
comment Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
Did you have look at: en.wikipedia.org/wiki/Black%E2%80%93Scholes#Interpretation?
Nov
23
revised Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
Fix latex and added changed .. to ellipsis
Nov
23
revised How to simulate a Merton Jump Diffusion process?
Add code and LaTeX mark up
Nov
22
comment Calculating portfolio VaR for (custom) leveraged products
The model depends on the assets you want to calculate the VaR for. For instance if you have stocks and want to use a simple model you can look at this question: quant.stackexchange.com/questions/4589/… The answer as it is now just describes the general solution, you would have to provide more details about your specific situation for hints on implementing $f(x)$.
Nov
21
answered Calculating portfolio VaR for (custom) leveraged products
Nov
21
comment Calculating portfolio VaR for (custom) leveraged products
I will, later today
Nov
20
comment Calculating portfolio VaR for (custom) leveraged products
Have you considered Monte Carlo? Using MC you could also model non-linearities.
Nov
20
answered portfolio optimization from empirical return distributions
Nov
15
answered Why is the CAPM securities market line straight?
Nov
13
revised Skewness and Kurtosis under aggregation
deleted 3 characters in body
Nov
12
comment Is it possible to derive the “risk tolerance” from the portfolio efficient frontier?
You mean the $\lambda$ in $\mu - \lambda \sigma$?
Nov
2
revised Is the stock price process a martingale or a Markov process?
Typos
Oct
21
revised Alternative liquidity measures
Clean up, provide link to Amihud paper
Sep
29
comment Integrating log-normal
An intuitive explanation can be found in Financial Calculus by Rennie and Baxter.