2,081 reputation
2932
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 11 months
seen 12 mins ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

Mar
10
reviewed Approve How to test the 5 Factor CAPM of Fama & French (2014)?
Mar
8
comment Fix protocol and Bars
How would that even work?
Mar
7
reviewed Reviewed Bond Portfolio Immunization - Duration Matching
Mar
6
reviewed No Action Needed Where can one find realistic historical transaction costs?
Mar
5
reviewed Reviewed How to calculate global exposure via commitment approach for FX swaps?
Mar
5
reviewed No Action Needed How to estimate parameters of geometric brownian motion with time-varying mean?
Mar
4
reviewed No Action Needed Derivation of Ito's Lemma
Mar
4
reviewed No Action Needed Why should we expect geometric Brownian motion to model asset prices?
Mar
3
comment Empirical copula
Copula are often (mainly?) used in finance, so I consider this to be on-topic, certainly not spam.
Mar
3
comment novice question on fixed coupon schedule in QuantLib
@LauraLe I converted your answer to a comment as it was not really an answer to the question asked. If you want to, you can elaborate a bit more and ask a new question.
Mar
3
comment Typical risk aversion parameter value for mean-variance optimization?
I haven't read it but I think this is the book user6494 meant: amazon.com/Robust-Portfolio-Optimization-Management-Fabozzi/dp/…
Mar
3
comment Empirical copula
@emcor Can you elaborate?
Mar
1
reviewed No Action Needed Has automated trading produced profits at IEX?
Mar
1
reviewed No Action Needed How to simulate stock prices with a Geometric Brownian Motion?
Mar
1
reviewed Reviewed Why should we expect geometric Brownian motion to model asset prices?
Feb
28
reviewed Satisfactory CIR model: is the short rate really non-central $\chi^2$ distributed?
Feb
28
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Feb
28
reviewed Satisfactory Deriving the definition of stochastic integrals with respect to Ito processes from first principles
Feb
28
reviewed Needs Improvement How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Feb
28
reviewed Satisfactory Some questions about implied volatilities and how to generate theoretical prices when market prices are not available