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

1d
comment negative transition probabilities in the heston model
BTW: thanks for sharing the paper. I'm still reading it. The authors spend quite some time on these negative probabilities and apparently a number of things can go wrong. I do wonder though: in the first step shouldn't v0 be the volatility now and vt the vol at the next step.
1d
comment How can I estimate expected maximum drawdown with historical data?
Hi Corne Luis, welcome to Quant.SE! I did some Googling and found some promising resources for starting this research. Did you try those?
1d
comment How to calculate unsystematic risk?
Hi Akhtar Rasheed, welcome to Quant.SE! What about the _un_systematic risk?
1d
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
Hi Paul, welcome to Quant.SE! Good to hear you found your solution. Can you put it as an answer? Then it's clear this question is solved.
Sep
29
comment negative transition probabilities in the heston model
No luck yet for me. Can you the complete invocation of the function? Do you by any chance have v0 and vt equal?
Sep
28
comment Pricing American with floating strike
Hi ABC, welcome to Quant.SE and thank you for asking your question here. Can you show us what you have tried?
Sep
28
comment negative transition probabilities in the heston model
Hi Season, welcome to Quant.SE! As the probabilities are negative I think it's best to show your code anyway. Without the code people will probably think it's a bug.
Sep
27
comment stock option strategies long vs short
Hi VladT, welcome to Quant.SE! Are you affiliated with optionsforum.net? We would appreciate it if you disclose this.
Sep
23
comment What are the most important forces that influence stock price?
Be more specific. Possibly, an expert can give good and succinct answers to your questions, as @emcor suggests but then you might just have the kind of summary you find on the back of a book. Furthermore I count four question marks and a few subquestions. This is almost always to broad. So, I agree more with SKRX, your questions have to be much more specific then just splitting this in four new questions. Try to follow the advice on How to Ask and on general question asking: catb.org/esr/faqs/smart-questions.html.
Sep
18
comment How to work out weights for a portfolio based on an inverse ratio with positive and negative values?
Hi arodrisa, welcome to Quant.SE! I don't see how this helps with the case that $\mathrm{EV} \leq 0$ or $\mathrm{EBIT} = 0$. Can you elaborate?
Sep
17
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
@JimBeam Please keep it nice. You don't have to agree but the point is valid. I've made a small edit to your comment.
Sep
15
comment How does Volatility Pairs Trading work?
Can you elaborate on how to determine which pairs have profit generating potential. Now the answer feels a bit unfulfilling.
Sep
15
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
For your worst case: it's available in QuantLib which you can use from C#.
Sep
4
comment How to draw a binomial option tree graph?
Aha, so you want to create nice graphics in something else than Tikz? I misunderstood, doubting this one is really on-topic but I'll let the community decide as it might be of interest. For now, have you looked at GraphViz?
Sep
4
comment How to draw a binomial option tree graph?
See above, here its off topic, they will probably close for lack of detail.
Sep
4
comment How to draw a binomial option tree graph?
Hi TJB, welcome to quant.SE! I would transfer this to tex.stackexchange.com but you have to show more work or they will just close it. So I will close it here and suggest you try again there.
Sep
3
comment Rate Distortion Minimization in a Python Clustering Algorithm
Would indeed be fun but this is a busy week for me. I'll let you hear something soonish
Sep
2
comment Option on a dice game
I think the point is to see the first throw as a kind of strike. If I'm right the question is: What is the value for the possibility to get a better roll after the first?
Sep
2
comment What continous adjustment methods are firms using for futures backtesting?
Thank you for your clarification. I've added the comment to your answer to give it more prominence.
Aug
31
comment Rate Distortion Minimization in a Python Clustering Algorithm
Thanks, I'll check. I see the PyPI page but pip errors and the links are not useful. Also, PyPI refers to 1.49 while 1.50 is available...