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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 Volatilty Calculation
Yes you can, is it useful? That depends on what you want to do. Please take it a bit slower and think your questions through. What can you learn by yourself and what specific gaps in your knowledge do you want to see filled.
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.
Oct
1
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?
Oct
1
comment How to calculate unsystematic risk?
Hi Akhtar Rasheed, welcome to Quant.SE! What about the _un_systematic risk?
Sep
30
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
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?