1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 4 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Aug
6
comment Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
Nice find, I will have to check that out.
Aug
5
comment Why are indifference equations in mean-variance portfolio theory convex shaped
What do you mean by indifference equation?
Aug
4
revised How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?
Spelling cleaning
Aug
4
comment What is the significance of Relative Risk Aversion
I tried to make it clear but I'm not sure I succeeded, if you have any further questions don't hesitate to ask.
Aug
4
answered What is the significance of Relative Risk Aversion
Aug
4
revised What is the significance of Relative Risk Aversion
Add explanation of notation
Aug
3
revised expected value of the discounted payoff
Tried some cleaning
Aug
2
revised What is the significance of Relative Risk Aversion
Clean up, make code Latex.
Aug
1
comment IMM dates in excel
You need to get the what?
Jul
31
revised A question on Monte Carlo method
Fix formatting
Jul
26
comment A question on Ito
You can use $\LaTeX$
Jul
24
comment Is there a different test to check stationarity?
Have you looked at quant.stackexchange.com/questions/2372/… ?
Jul
19
reviewed Approve suggested edit on Question on an approximation in pricing formula
Jul
8
comment Practical quantitative finance problems that could be solved in trustless grid computing environment?
Calculating option greeks would be a possibility? However, using proprietary algorithms in the trustless environment seems impossible unless you can split it in a public and a private part (but I doubt this set-up has a practical use case).
Jun
18
comment Heston MC Simulations - Speed up in Matlab
You could use the GPU, but I guess that's overkill in your situation. What to improve depends on where you are.
Jun
18
comment Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
What happens if you set the initial guess (very) close to the correct answer? If that doesn't work I fear you have a bug.
Jun
12
comment What programming languages are most commonly used in quantitative finance?
This paradigm seems interesting, but could you be so kind to edit in your affiliation with AlgoTrader?
Jun
7
reviewed Approve suggested edit on Stochastic modeling of stock price process
Jun
7
revised Creditworthiness indicator for copula one-factor model
Add reference to paper to question
Jun
6
reviewed Satisfactory In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?