2,081 reputation
2932
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 10 months
seen 13 mins ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

Feb
13
comment What methods - inspired by Haavelmo’s Structural Econometrics - can show that a partial equilibrium model is unreliable?
Hi Paul4forest, welcome to Quant.SE! I believe this question could have been on-topic here but since we tryh to keep questions unique across the StackExchange network I'm going to close it here. In the future you can request a migration and the question can then be moved by a moderator such as me.
Feb
11
answered Do you have a good application example of Approximate Dynamic Programming?
Feb
11
comment Do you have a good application example of Approximate Dynamic Programming?
Well not professionally but I used it for my thesis in a portfolio allocation context. I have some literature to share although it's not the most recent stuff. It can give you a good start.
Feb
11
comment Do you have a good application example of Approximate Dynamic Programming?
Hi donpresente, welcome to Quant.SE! There is a ton of stuff on Google, without more information it's hard to make a specific recommendation. For applications to finance you can do worse than read the papers and books of Dimitri P. Bertsekas et. al.
Feb
8
reviewed Looks OK How can I create a public viewable stock market index?
Feb
4
comment Comparing cost of two alternative given their distribution
OK, in that case: can't you argue that initial wealth should be included in the optimal choice? If you can you can just subtract the costs from that amount.
Feb
4
reviewed No Action Needed Constant Relative Risk Aversion
Feb
4
reviewed Reviewed Comparing cost of two alternative given their distribution
Feb
4
comment Comparing cost of two alternative given their distribution
Hi Mohsen, welcome to Quant.SE! I think you have to model the risk averseness of the investor to answer this. For example, you need to have some view how volatility and skewness interact.
Feb
4
reviewed No Action Needed Covariance matrix and Cholesky decomposition
Jan
30
revised Cheapness indicator for Convertibles Bonds
Add textrm
Jan
30
reviewed Reviewed Constructing Volatility Smile from American Options
Jan
29
answered Cheapness indicator for Convertibles Bonds
Jan
29
reviewed No Action Needed What constitutes an “odd lot” in corporate bonds trades?
Jan
28
reviewed Reviewed Why random walk Metropolis Hasting algorithm works bad on GARCH(1,1) parameters estimation
Jan
28
reviewed No Action Needed Why is the vega of an at the money option so insensitive to movements in volatility? I.e, why do ATM options have such little Vomma?
Jan
28
reviewed No Action Needed Dixit & Pindyck (1993) Chapter 4, equation 13
Jan
26
reviewed Reviewed How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Jan
26
reviewed Reviewed In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?
Jan
26
reviewed Reviewed When are implied and real world parameters the same?