1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 21 mins ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Dec
6
reviewed Needs Improvement tail correlation during crisis
Dec
6
reviewed Excellent From Fourier Transforms to Option Values
Dec
6
reviewed Excellent SDE simulation: P or Q?
Dec
6
reviewed Excellent Is “Issuer and Holder with same strike” meaningless?
Dec
6
reviewed Excellent Fixed Income free research available online
Dec
6
reviewed Satisfactory Time Series or Regression
Dec
3
revised Forcing price to rise or fall by high volume buying and shorting
Question was reasonable enough without the disclaimer
Nov
21
reviewed Reject suggested edit on What's the difference between volatility and variance?
Nov
17
comment Consensus on Cauchy distribution for stock prices
Your suggestion might work, we didn't test that. The downside is that skewness is now hard to model. We didn't publish our findings, it was just a university project with a strict deadline so we worked on the effects of aggregation. Later I asked about this on here and got a very nice answer here: quant.stackexchange.com/a/3678/848 I think the most promising approach is to assume a more friendly distribution such as the Student-$t$ or even the normal with heteroskedasticity (e.g. GARCH or Regime Switch). This will create kurtsosis and allows you to model volatility clustering.
Nov
17
comment R or Matlab code for Multi-Barrier-Options (3 or more underlyings)
I think you're last sentence would make a good question, if you're content with just any random pricer Googling would be best I believe.
Nov
11
comment Mitigating gateway delay
This is not my area of expertise but I do wonder: don't you want to specify some loss function? Maybe you want to punish long delays more or after a certain amount of delay it doesn't matter any more.
Nov
11
comment R or Matlab code for Multi-Barrier-Options (3 or more underlyings)
AFAIK there are no closed form solutions for this type option. So you will need some approximation scheme. I'm sure more than one exists, do you have any opinion on them?
Nov
10
comment R or Matlab code for Multi-Barrier-Options (3 or more underlyings)
What kind of pricer are you looking for?
Nov
10
revised R or Matlab code for Multi-Barrier-Options (3 or more underlyings)
Remove couresy
Nov
8
comment The basic principle of the construction a portfolio of options
That depends on the price of the options
Nov
8
comment Consensus on Cauchy distribution for stock prices
Basically what I'm saying is this: don't repeat my mistakes. Playing solitaire is probably just as productive ;)
Nov
8
comment Consensus on Cauchy distribution for stock prices
We found that MC doesn't really work because of the variance of the distribution you're simulating: you're pretty much guaranteed that your sample contains outliers and so even a simple statistic such as the mean will fluctuate wildly between samples (as it must).
Nov
7
comment Consensus on Cauchy distribution for stock prices
Except when $\alpha=2$ the variance of a stable distribution is infinite. This fact makes most common methods of analysis impossible. So my conclusion was all of them except the normal are unsuitable.
Nov
6
answered Consensus on Cauchy distribution for stock prices
Nov
5
comment How to properly take averages to reduce data in regression/panel data analysis
Maybe but the answer might depend on the use case. I believe it would be best to not average at all but if someone can offer some smart approach I'd be interested.