1,795 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 2 months
seen 3 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

May
15
answered What is the equation for Garman-Klass volatility?
May
15
comment What is the equation for Garman-Klass volatility?
My Google-fu didn't turn up anything great so I will produce something below. Credits to @joshuaulrich for the TTR R-package I used as source.
May
15
revised Asset volatility in Merton model
Clean up
May
15
reviewed Approve suggested edit on Is there an easily implementable alternative to lognormal growth (something with fatter tails)?
May
15
reviewed No Action Needed Is there an easily implementable alternative to lognormal growth (something with fatter tails)?
May
13
comment Beta arbitrage in CAPM
That's a solution for Excel and if I Google it it seems you have to do a fair bit of work, down-voted.
May
13
awarded  Informed
May
13
comment Hansen-Jagannathan bounds derivation: last step is not clear
No problem, glad to help.
May
13
answered Hansen-Jagannathan bounds derivation: last step is not clear
May
13
comment Hansen-Jagannathan bounds derivation: last step is not clear
I might be a bit dense now. I don't think that sentence on Wikipedia relates to that last step. Basically in the first equation $a = r b$ and we have $|r| \leq 1$ so certainly $b > a$ as we have in the second equation. Taking absolutes just drops the signs.
May
9
answered Are the sin, cos, tan functions used in some financial calculations?
May
9
reviewed No Action Needed Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement
May
7
awarded  Yearling
May
7
comment Nominative financial datas
What are "nominative financial data"?
May
5
comment Stochastic Volatility for Stocks, FTSE
Have you tried this and what went wrong?
May
5
comment Bond pricing by Monte Carlo methods
I think you have to give more information, preferably code.
May
5
comment Stochastic Volatility for Stocks, FTSE
What have you tried?
May
5
comment calculation of parameters in Stochastic Volatility
possible duplicate of Stochastic Volatility for Stocks, FTSE
May
4
awarded  Custodian
May
4
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?