meta user
network profile
| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years |
| seen | 3 hours ago | |
| stats | profile views | 280 |
- Consultant @ Veneficus
- Interested in the combination of Finance and Computer Science
- Building Web2Docx, if you have tips or ideas, please let know
|
Dec 26 |
revised |
Hidden Markov Model & Its Application Fix spelling and remove courtesy |
|
Dec 22 |
comment |
Using the termstrc package in R So the docs are wrong? |
|
Dec 22 |
comment |
How to enumerate all the possible portfolios with a given target volatility? This proves to be a harder nut to crack than I expected and I'm still working on it. Re: the number of solutions: $\mathbf{\omega' \Sigma \omega}$ has an infinite number of solutions for every attainable $\sigma_*$, these are the contours of the paraboloid for a certain level. However, the number of solutions that intersect the plane given by $\iota' \omega$ and this contour is limited, and depended on $n$. |
|
Dec 20 |
answered | Using the termstrc package in R |
|
Dec 15 |
revised |
Kalman Filter Equity Example Remove courtesy |
|
Dec 14 |
revised |
Annualized Covariance Math and clean up |
|
Dec 13 |
revised |
Quanto CDS modeling Fix markdown and spelling |
|
Dec 12 |
revised |
Basket option pricing: step by step tutorial for beginners Remove courtesy |
|
Dec 11 |
revised |
Simple question about stochastic differential Uppercase title and remove courtesy |
|
Dec 10 |
answered | Should I use GARCH volatility or standard deviation in cross-sectional regression? |
|
Dec 6 |
revised |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? Expanded the answer with regard to the pros and cons of choosing rational exponents |
|
Dec 6 |
comment |
Risk management insurance (Solvency II / MaRisk) That's a lot of questions, why not split them? |
|
Dec 5 |
answered | Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? |
|
Dec 5 |
comment |
GBM 3d plot with R Yes, I couldn't find any problems with your implementation, and apparently it is correct. Since dlnorm is just the log normal density in R, with the right $\mu$ and $\sigma$ they are equivalent. |
|
Dec 5 |
answered | GBM 3d plot with R |
|
Dec 5 |
comment |
GBM 3d plot with R Or, less exotic, uniform over a very small interval. |
|
Dec 4 |
answered | Can a programmer be a quant trader without knowing all that math and models? |
|
Dec 2 |
comment |
GBM 3d plot with R I'm starting to doubt the graph given on Wikipedia. The peakedness of the density seems to correspond to a volatility of 0.005. |
|
Dec 2 |
revised |
GBM 3d plot with R Make R code simpler |
|
Dec 2 |
revised |
GBM 3d plot with R Further clean up, changed mu and sigma to match description on Wikipedia |
