2,081 reputation
2932
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 10 months
seen 6 mins ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

1d
comment Java Implied Volatility Solving with Newtons Method
Am I correct in assuming that theoValue gives the option value? Are you 100% both theoValue and calculateVega are correct?
Mar
26
comment No data in get symbols
I'm voting to close this question as off-topic because this would probably be better on-topic on StackOverflow but the way it's phrased will probably cause a close there. So I close this without migrating.
Mar
26
comment Error: could not find function “covEWMA”
Hi Answer22, welcome to Quant.SE! You have to ask better questions. This is impossible to answer. Please take a look at the faq.
Mar
25
comment Use of Stochastic Calculus in QF
It's indeed too broad. Good luck with your endavours and the Karatzas and Shreve book!
Mar
25
comment Java Implied Volatility Solving with Newtons Method
Agreed with above. This is unanswerable as is and a candidate for closing. It also could do with some reformatting, nobody likes side scrolling.
Mar
24
comment Lévy alpha-stable distribution and modelling of stock prices.
Hi Hank, welcome to Quant.SE! Could you please disclose your association with FinAnalytica?
Mar
21
comment DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA
In my opinion it's on-topic here and less so over there. GARCH main area of application seems to be Quantitative Finance / Risk Management.
Mar
16
comment CFA (Level 1) schedule after school and working a 9-5 job
Hi okocj, unfortunately we can't help you with studying. We can help with quantitativily oriented questions in the curriculum. I know special CFA forums exist but I don't use them so I can't point you to them. Good luck with your studies.
Mar
8
comment Fix protocol and Bars
How would that even work?
Mar
3
comment Empirical copula
Copula are often (mainly?) used in finance, so I consider this to be on-topic, certainly not spam.
Mar
3
comment novice question on fixed coupon schedule in QuantLib
@LauraLe I converted your answer to a comment as it was not really an answer to the question asked. If you want to, you can elaborate a bit more and ask a new question.
Mar
3
comment Typical risk aversion parameter value for mean-variance optimization?
I haven't read it but I think this is the book user6494 meant: amazon.com/Robust-Portfolio-Optimization-Management-Fabozzi/dp/…
Mar
3
comment Empirical copula
@emcor Can you elaborate?
Feb
13
comment Semi-strong efficiency and HFT
I already am reading the book! Sadly priorities changed and I'm only half way.
Feb
13
comment What methods - inspired by Haavelmo’s Structural Econometrics - can show that a partial equilibrium model is unreliable?
I'm voting to close this question as off-topic because this question has been cross posted to economics.
Feb
13
comment What methods - inspired by Haavelmo’s Structural Econometrics - can show that a partial equilibrium model is unreliable?
Hi Paul4forest, welcome to Quant.SE! I believe this question could have been on-topic here but since we tryh to keep questions unique across the StackExchange network I'm going to close it here. In the future you can request a migration and the question can then be moved by a moderator such as me.
Feb
11
comment Do you have a good application example of Approximate Dynamic Programming?
Well not professionally but I used it for my thesis in a portfolio allocation context. I have some literature to share although it's not the most recent stuff. It can give you a good start.
Feb
11
comment Do you have a good application example of Approximate Dynamic Programming?
Hi donpresente, welcome to Quant.SE! There is a ton of stuff on Google, without more information it's hard to make a specific recommendation. For applications to finance you can do worse than read the papers and books of Dimitri P. Bertsekas et. al.
Feb
4
comment Comparing cost of two alternative given their distribution
OK, in that case: can't you argue that initial wealth should be included in the optimal choice? If you can you can just subtract the costs from that amount.
Feb
4
comment Comparing cost of two alternative given their distribution
Hi Mohsen, welcome to Quant.SE! I think you have to model the risk averseness of the investor to answer this. For example, you need to have some view how volatility and skewness interact.