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| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years |
| seen | 6 hours ago | |
| stats | profile views | 281 |
- Consultant @ Veneficus
- Interested in the combination of Finance and Computer Science
- Building Web2Docx, if you have tips or ideas, please let know
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Sep 29 |
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Integrating log-normal An intuitive explanation can be found in Financial Calculus by Rennie and Baxter. |
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Sep 29 |
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Fastest solver possible for portfolio optimization Add point about seeding and at refrence to Numerical Optimization by Nocedal and Wright |
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Sep 28 |
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Fastest solver possible for portfolio optimization I don't know whether this applies in this scenario but another idea is seeding the solver with a good initial guess. In this case a good guess could be obtained by using the portfolio weights of the previous day. |
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Aug 30 |
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What distribution to assume for interest rates? Thanks, I've added some links to your answer. |
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Aug 30 |
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What distribution to assume for interest rates? Add links to papers in comment |
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Aug 28 |
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What distribution to assume for interest rates? Do you have any references? |
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Aug 24 |
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How to estimate CAViaR (Engle and Manganelli 2004) using non linear quantile regression? Spelliing error, cursive symbols. |
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Aug 21 |
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Appropriate method for calculating negative returns on a trading strategy? @Freddy nice comment |
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Aug 21 |
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Appropriate method for calculating negative returns on a trading strategy? I see no reason for downvoting but the pros and cons of the different methods is always interesting. So please do elaborate. |
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Aug 16 |
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How to annualize skewness and kurtosis based on daily returns Have a look at this question: possible duplicate of Skewness and Kurtosis under aggregation |
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Aug 10 |
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portfolio optimisation with VaR (or CVaR) constraints For VaR: I think you can turn it into a mean-variance problem and choose the portfolio with the highest expected return on the frontier for which the VaR constraint holds. |
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Aug 10 |
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How to simulate cointegrated prices Improve LaTeX math |
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Aug 9 |
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How to simulate cointegrated prices Fix grammar, remove thanks |
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Aug 7 |
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FpML class generation gives error It appears I was wrong ;) |
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Aug 7 |
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FpML class generation gives error Clean up |
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Aug 6 |
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FpML class generation gives error Could you please update clean up your question and give more information about what you're doing (code, commands) with what software, etc? I'm pretty sure that in its current form your question will not get a satisfactory answer. |
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Aug 6 |
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Simulating the joint dynamics of a stock and an option Ok, great, thanks! |
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Aug 5 |
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Simulating the joint dynamics of a stock and an option how do you want to be credited in my thesis? Under Brian B or under some other name. If you want you can contact me via my profile. |
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Jul 26 |
revised |
What is an acceptable error on implied volatility? No thanks needed |
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Jul 22 |
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Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern? Clean up: spelling, formatting and link |
