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| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years |
| seen | 8 mins 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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May 14 |
revised |
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? Added a link to the freely available PDF and minor edits |
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May 11 |
awarded | Organizer |
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May 11 |
revised |
Are there any valuation models of securities that use hyperbolic discounting? edited tags |
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May 10 |
comment |
Where to find introductory material on leveraged loans? @TalFishman All the better ;) At -2 I just feared it would go to -4 and be lost |
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May 10 |
revised |
GJR-GARCH Model In R Made a nice list of links |
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May 9 |
revised |
Where to find introductory material on leveraged loans? Cleaned up the question |
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May 9 |
comment |
Where to find introductory material on leveraged loans? This question is probably off topic but let's not bury it because the answer is excellent. |
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May 7 |
awarded | Yearling |
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May 7 |
comment |
Can American options with no dividends and zero risk-free rate be treated as European? Great comment! I added it to the answer since I feel an answer should stand on its own. |
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May 7 |
revised |
Can American options with no dividends and zero risk-free rate be treated as European? Added the comment about the case r<0 |
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May 6 |
comment |
Why isn't the Nelson-Siegel model arbitrage-free? Where did you get this derivation of the NS model? I'm only familiar with Filipovic (1999) (onlinelibrary.wiley.com/doi/10.1111/1467-9965.00073/abstract) showing that arbitrage is possible in the standard NS formulation and the solution of Christensen et al. (2009) (frbsf.org/publications/economics/papers/2007/wp07-20bk.pdf) who add a yield adjustment term. |
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May 5 |
awarded | Cleanup |
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May 5 |
comment |
MPT: Adding constraint on minimum asset weight I made an edit but was not really sure about "Its children add..." so I reverted it. |
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May 5 |
revised |
MPT: Adding constraint on minimum asset weight rolled back to a previous revision |
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May 5 |
revised |
MPT: Adding constraint on minimum asset weight The bounds should be correct now. |
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May 5 |
revised |
Can American options with no dividends and zero risk-free rate be treated as European? Minor clean up |
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May 4 |
answered | Can American options with no dividends and zero risk-free rate be treated as European? |
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May 1 |
revised |
Has high frequency trading (HFT) been a net benefit or cost to society? Spelling, then -> they was confusing |
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Apr 30 |
revised |
Stock Price Behavior and GARCH I believe it customary to use \varepsilon for errors. |
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Apr 30 |
answered | Stock Price Behavior and GARCH |
