1,968 reputation
2832
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 6 months
seen 45 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

22h
comment Is the volatility for these two SDEs the same
Like SolitonK I'm not sure about the intended question @quinlai can you please confirm that the edits are correct?
Nov
19
comment Need guidence on quant trading
Hi Dawson, welcome to Quant.SE! Questions on this site should be things professional quants would ask. Therefore this question is not on-topic.
Nov
19
comment Impact of Greeks on PnL for FX Option
Hi, this is not Google. We'd like you to show a bit of effort before you ask a question. What have you tried and where did you get stuck?
Nov
18
comment finance using beta and std
Not only is this too basic. It's also seems to be blatant copying of some homework question.
Nov
16
comment Black litterman model
Not exactly a duplicate but I believe it answers your question: quant.stackexchange.com/a/12652/848
Nov
14
comment pairs trading strategy return
Hi alecase, welcome to Quant.SE! I will close this question because it's not up to our our standards. We appreciate your participation. My advice for the future: Please ask your questions one by one, read the faq on what's on-topic as these questions seem quite basic and provide more context when you post code.
Nov
11
comment How to replicate the price of a FX forward contract
Hi Quin Lai, welcome to Quant.SE! You have asked almost the same question before. Both times without showing work and without providing feedback to the answer given on your question. Please show more effort and communicate with the people that answer your question. They now look like homework you don't want to do and I will close those kind of questions.
Nov
9
comment Cobb - Douglas Production Function
+1 that is what I understood from the question.
Nov
6
comment Logging FIX Messages
I believe it to be of interest for (some) practitioners, so I like it and believe it to be on-topic. If you (the community) think otherwise, please use meta for discussion about the on-topicness of the IT aspects of Quantitative Finance.
Nov
4
comment Optimization metric that takes into account number of trades vs expectancy
I'm not sure I understand: you want to have a utility function or metric that increases the number of trades? Or do you want to increase the number of bets made?
Nov
4
comment Best sources for worldwide balance sheet data?
@RndmSymbl That question is about online databases. As I understand it anything will do for franic.
Nov
4
comment Index creation from multiple time-series and variable weights
Hi SolitonK, welcome to Quant.SE! What do you mean with the final benchmark index?
Oct
26
comment How literature come up with risk-neutrality problem, considering that market is not really risk-neutral?
Hi zahra, welcome to Quant.SE! It's difficult to follow your question. Can you please revise it.
Oct
9
comment option pricing with limitation on the change of underlying daily changes
That would of course work but I don't think it models the price dynamics well. In a limit market I would expect two things not present in markets without this limit: autocorrelation as large moves take longer to complete and more probability mass at the bounds for the same reason.
Oct
8
comment option pricing with limitation on the change of underlying daily changes
I'm not aware of closed form solutions but have you looked binomial trees?
Oct
8
comment seasonality and generalized additive model
The application seems to be in finance and how the method is applied in finance and whether this is even correct. So this is quite domain specic and therefore I think it's better to keep it here.
Oct
7
comment What are the roles of “Game theory” and “optimisation (linear, integer, conic)” in Finance, Mathematical Finance?
Presumably you want to know this because you want to start a career in Quantitative Finance? The guidance in the tour applies, as it is a version of "How do I become a quant?" There are some good reasons that we don't want this kind of question, see this question on meta: meta.quant.stackexchange.com/questions/13/…
Oct
5
comment Is node.js being used in systematic trading software?
Hi hacklikecrack, welcome to Quant.SE! Could you please disclose any affiliations?
Oct
2
comment Time Lag for Market Inefficiency
Hi user7954, welcome to Quant.SE! I removed the apology, the question seems to be on-topic to me and at least two community members ;)
Oct
1
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.