1,966 reputation
2832
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 7 months
seen 3 hours ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

Oct
8
reviewed Reviewed Why are interest rates and stock prices positively correlated?
Oct
8
reviewed Reviewed How to reduce fx currency pairs ? PCA or other tools?
Oct
8
revised How to reduce fx currency pairs ? PCA or other tools?
Clean up
Oct
8
reviewed No Action Needed How to calculate unlevered beta
Oct
7
comment What are the roles of “Game theory” and “optimisation (linear, integer, conic)” in Finance, Mathematical Finance?
Presumably you want to know this because you want to start a career in Quantitative Finance? The guidance in the tour applies, as it is a version of "How do I become a quant?" There are some good reasons that we don't want this kind of question, see this question on meta: meta.quant.stackexchange.com/questions/13/…
Oct
5
comment Is node.js being used in systematic trading software?
Hi hacklikecrack, welcome to Quant.SE! Could you please disclose any affiliations?
Oct
3
reviewed Reviewed Calibrating an Ornstein Uhlenbeck process on residuals of regression
Oct
2
revised Portfolio Turnover Constraint
Clean up
Oct
2
comment Time Lag for Market Inefficiency
Hi user7954, welcome to Quant.SE! I removed the apology, the question seems to be on-topic to me and at least two community members ;)
Oct
2
revised Time Lag for Market Inefficiency
Fits well enough, remove courtesy
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