1,966 reputation
2832
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 7 months
seen 14 hours ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

Dec
14
comment Technical Analysis in FX: literature on effective methods
Hi Ocean, welcome to Quant.SE! I've updated your title to make it more informative. I think it can be improved even further so please don't hesitate to do so.
Dec
14
comment Comparison of actual running time of algorithmic trading software
Hi, these ATS will generally be proprietary and are under constant development. A comparison will be hard to make.
Dec
11
comment How Does a Put Option Work?
Hi Erik Vesterlund, welcome to Quant.SE! Unfortunately this type of question is off-topic here. Also I find your question a bit hard to understand, try to review the definitions in your book and on Wikipedia. One hint: you have to own something before you can sell it. The cost of owning a stock depends on the price...
Dec
10
comment Equivalence of Swap to Portfolio of FRAs
The edit improved the question. However, in my opinion this is not yet sufficient. Please show your work and where you get stuck. In its current form the question looks like a homework exercise.
Dec
10
comment How to calculate APR on term year
Hi aprbothersme, welcome to Quant.SE! I made the title less spammy. Please know that this question is in my view borderline off-topic. However, it seems to be CFA or something related and thus in the domain of professionals.
Dec
9
comment Equivalence of Swap to Portfolio of FRAs
Hi Gautam Kakkar, welcome to Quant.SE! Can you please tell us what you find lacking in the explanation you're working with? The question as it stands is too broad and best answered citing a chapter in some book. This doesn't fit well in our format.
Dec
8
comment Portfolio Optimization to include ALL Securities?
Hi Kevin Pei, welcome to Quant.SE! My experience is that most securities will be included in the optimal portfolio. Can you tell us some more about your constraints and correlation matrix?
Nov
29
comment How to simulate jump times in Multilevel path simulation for jump-diffusion SDEs?
Hi Rahi, welcome to Quant.SE!. I see that you use multiple accounts. Have you lost your password?
Nov
27
comment How much money should i ask for a this software?
This question appears to be off-topic because it is about project cost estimation.
Nov
27
comment How much money should i ask for a this software?
Hi Dživo Jelić. This type of question is not on-topic here. Maybe it is on [startups] but I doubt it. Closing for now, if startups likes it I will migrate. This may take a while as it seems they are having their Thanksgiving diner.
Nov
22
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
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.