2,081 reputation
2932
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 10 months
seen 5 hours ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

Dec
23
comment Stochastic Volatility CIR estimation
@SchnitzelRaver it would help if you give some input and output of your code so that, for example, users can show you how to run the code they provide with your set of parameters. Using different dimensions for parameters always gives strange results.
Dec
23
comment Stochastic Volatility CIR estimation
@GabrielePompa I agree with Joshua Ulrich and converted your answer to a comment. Your link looks interesting so please feel free to elaborate on the link you've provided in a new answer.
Dec
23
reviewed No Action Needed Stochastic Volatility CIR estimation
Dec
23
reviewed Reviewed Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Dec
23
comment short-sale constraint with nonpositive-definite matrix in portfolio optimization
Hi, welcome to Quant.SE! I merged your answer into the question as it was not really an answer but more of an extension.
Dec
23
revised short-sale constraint with nonpositive-definite matrix in portfolio optimization
Merge non-answer with question
Dec
22
revised Ho and lee derivation for short rates model
Add closing parenthesis, uncap and at dots.
Dec
20
reviewed Reviewed Is “eoddata” a good data source?
Dec
20
comment Black scholes OTC
Your post doesn't really answer the question and it seems your affiliated with the website selono.us. Please disclose affiliations and clarify your answer otherwise this seems like spam and that merits deletion.
Dec
19
comment Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?
Neat, I added this to the answer as it seems useful for the asker.
Dec
19
revised Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?
Edited in link to ARIMA-GARCH
Dec
19
comment Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?
Does MATLAB also support seasonal ARIMA models in combination with GARCH innovations?
Dec
18
reviewed Reviewed TAQ NYSE OpenBook
Dec
16
reviewed Looks OK Maximizing utility subject to a wealth constraint
Dec
14
comment Technical Analysis in FX: literature on effective methods
Hi Ocean, welcome to Quant.SE! I've updated your title to make it more informative. I think it can be improved even further so please don't hesitate to do so.
Dec
14
revised Technical Analysis in FX: literature on effective methods
edited title
Dec
12
revised Arrow-Debreu Price in “The Volatility Smile and its implied Tree”
Add missing parenthesis and remove courtesy
Dec
11
reviewed Approve Skew in Black Scholes model
Dec
10
revised How to calculate APR on term year
Codify calculator commands
Dec
10
comment How to calculate APR on term year
Hi aprbothersme, welcome to Quant.SE! I made the title less spammy. Please know that this question is in my view borderline off-topic. However, it seems to be CFA or something related and thus in the domain of professionals.