1,937 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 5 months
seen 2 hours ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Aug
25
reviewed Reviewed Art market specificities
Aug
25
comment CVA/CDVA - Worsened Credit Quality implies profit?
I'll try to add some stuff later today.
Aug
24
answered CVA/CDVA - Worsened Credit Quality implies profit?
Aug
21
reviewed Reject suggested edit on Are e-mini markets manipulated?
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
The equation at the start of your question is not a model preposition. It's just a model, it has some useful properties but doesn't follow from the usual axioms. It's not the truth. Why we want to use it is in the Discussion section there and in the papers linked in at the bottom of the Wiki-page.
Aug
21
revised What is the reasoning to derive this financial model called the Vasicek Model?
Add link to Wikipedia, add tags
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
Well, it's your question ;) What do you think about the discussion on Wikipedia?
Aug
21
comment What is the reasoning to derive this financial model called the Vasicek Model?
Well to model interest rates... Do you mean: why model them like that?
Aug
20
comment multiperiod optimization using R
Looks good to me!
Aug
20
reviewed Looks OK How can theta be so large on this option?
Aug
20
reviewed Reviewed How to design a custom equity backtester?
Aug
20
comment Stock Price Evolution Equation Clarifications
Sorry, it's too basic to be on-topic here.
Aug
20
reviewed Reviewed ADR vs Foriegn Stock Price Arbitraguers
Aug
20
comment Probability of stock closing over a certain price
Hi Ginger, welcome to quant.SE! I've removed your 'disclaimer' and cleared up the title. However, I believe one thing is missing: what model are you using?
Aug
20
revised Probability of stock closing over a certain price
Clean up, remove disclaimer
Aug
20
reviewed Reject suggested edit on Are e-mini markets manipulated?
Aug
20
reviewed Reviewed Valuation of barrier options in Jump diffusion model
Aug
20
revised Valuation of barrier options in Jump diffusion model
Fix code
Aug
19
comment multiperiod optimization using R
I don't believe there is any universal package or approach for multi-period optimizing (but I'd love to be wrong). Can you be more specific what kind of problems you're trying to solve?
Aug
19
reviewed Reviewed what kind of test for volatility and where find the data