1,968 reputation
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bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 6 months
seen 6 hours ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Oct
1
comment negative transition probabilities in the heston model
BTW: thanks for sharing the paper. I'm still reading it. The authors spend quite some time on these negative probabilities and apparently a number of things can go wrong. I do wonder though: in the first step shouldn't v0 be the volatility now and vt the vol at the next step.
Oct
1
reviewed Reviewed How to calculate unsystematic risk?
Oct
1
comment How to calculate unsystematic risk?
Hi Akhtar Rasheed, welcome to Quant.SE! What about the _un_systematic risk?
Oct
1
answered Efficient Frontier Derivation: why minimize half the portfolio variance instead of just the variance?
Sep
30
awarded  Explainer
Sep
30
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
Hi Paul, welcome to Quant.SE! Good to hear you found your solution. Can you put it as an answer? Then it's clear this question is solved.
Sep
29
comment negative transition probabilities in the heston model
No luck yet for me. Can you the complete invocation of the function? Do you by any chance have v0 and vt equal?
Sep
28
revised negative transition probabilities in the heston model
Formatted code
Sep
28
reviewed Reviewed GMM time-series regression factor model with factors that are not returns
Sep
28
reviewed Reviewed Pricing American with floating strike
Sep
28
comment Pricing American with floating strike
Hi ABC, welcome to Quant.SE and thank you for asking your question here. Can you show us what you have tried?
Sep
28
reviewed Reviewed negative transition probabilities in the heston model
Sep
28
comment negative transition probabilities in the heston model
Hi Season, welcome to Quant.SE! As the probabilities are negative I think it's best to show your code anyway. Without the code people will probably think it's a bug.
Sep
27
reviewed Reject suggested edit on Are e-mini markets manipulated?
Sep
27
reviewed Looks OK Option pricing ? Where to get the dividend yield from?
Sep
27
reviewed Reviewed stock option strategies long vs short
Sep
27
comment stock option strategies long vs short
Hi VladT, welcome to Quant.SE! Are you affiliated with optionsforum.net? We would appreciate it if you disclose this.
Sep
27
reviewed No Action Needed How to compute for basis adjusted forward rate?
Sep
20
reviewed No Action Needed Why would there be a positive risk-free rate?
Sep
18
reviewed Reviewed How to work out weights for a portfolio based on an inverse ratio with positive and negative values?