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| bio | website | linkedin.com/in/bjansen |
|---|---|---|
| location | Netherlands | |
| age | 27 | |
| visits | member for | 2 years |
| seen | 21 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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17h |
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VaR for portfolio of funds Do you want to incorporate market inefficiencies such as the trading costs each fund makes? |
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May 4 |
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Obtaining a consistent covariance matrix for stochastic volatility processes Multivariate GARCH seems to be a good fit to your problem. Do look at this answer for some further information and warnings. |
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Apr 29 |
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How to calculate unlevered beta Pages 53 and 54 of Volume 4 of the CFA level curriculum. I'm not sure where you're getting your formula but my book states $\beta_{\textrm{asset}} = \beta_{\textrm{equity}} \frac{1}{1+(1-t){\frac{D}{E}}}$. |
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Apr 9 |
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Iterating through every path of a Trinomial Tree Can you describe the data structure of your tree? Is the tree recombining? |
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Mar 28 |
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Calculating the probability of a price change using an options pricing formula @SRKX you're right, I'm assuming too much. Still a warning: do not mix measures! |
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Mar 26 |
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Calculating the probability of a price change using an options pricing formula Note that this probabilty is under the risk free measure. |
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Mar 23 |
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Why the implied volatilities calculated are so different I know and often do but these dumps without coming back are quite irritating. Despite heavy editing by other editors there still was an error. This doesn't help anyone :( |
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Mar 21 |
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Central Limit Theorem and Lévy processes My answer was based on a misunderstanding of the question. So that's gone, however I'm still not sure I understand your answer. I will upvote once I know it is correct. |
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Mar 21 |
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Central Limit Theorem and Lévy processes I retracted my up vote because I think compared to my own answer your answer complicates things unnecessarily. I find it difficult to check it is even correct. |
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Mar 20 |
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Why the implied volatilities calculated are so different I vote to close it as long as the table on top isn't cleaned up. A clear table will allow simple answering by anyone with a implied vol calculator |
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Mar 20 |
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Central Limit Theorem and Lévy processes You're welcome. The edit wasn't any trouble at all. |
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Feb 28 |
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Optimization procedure for entropy pooling Can you show us your data? |
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Feb 16 |
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How to improve the Black-Scholes framework? I'd rather see you make your question more specific and accept the answer instead of the other way around. |
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Feb 13 |
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Why do we use GARCH(1,1) to predict volatility? I don't mind at all. |
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Feb 13 |
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Why do we use GARCH(1,1) to predict volatility? Another drawback of GARCH is that it is impractical to estimate multivariate GARCH so you can't really use it with more than a small number of assets. |
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Jan 30 |
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Predict Quadratic Trend in Time Series This should fix it but Dylan Koh should review the changes |
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Jan 3 |
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How to cluster ETFs to reduce cardinality for portfolio selection The description says it works on sparse matrices. How does the complete process you used look like? |
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Jan 3 |
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Using the termstrc package in R The author mailed me that this change will be considered for the next revision of the package. |
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Jan 3 |
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How to cluster ETFs to reduce cardinality for portfolio selection I fixed the link. |
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Jan 1 |
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Using the termstrc package in R I've mailed the package maintainer and added that last line to my answer. |
