1,794 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 2 months
seen 38 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

1h
comment complementary courses in financial mathematics
Hi user118746, welcome to quant.SE! Your question is off-topic here, see on-topic for more information. Questions you encounter in your further studies probably are on-topic and are appreciated.
2d
comment Heding foreign stocks with futures. the return?
Hi lol, welcome to quant.SE! Your question seems to be too basic for this stack. Furthermore, you're question is a bit hard to follow due to the formatting and spelling errors. Please read the faq to discover what is allowed here.
Jul
22
comment How to deal with extreme cases in normal random numbers generation?
Did you use a library function? $2^{-32}$ is not that small, I would expect it to happen quite often... Starting to wonder what the popular packages do.
Jul
21
comment How to get Geometric Brownian Motion's closed-form solution in Black-Scholes model?
Hi Kiwiakos, welcome to quant.SE! Nice answer, I would argue that being fully rigorous is not even necessary as you can show using Ito's lemma that $\ln x$ indeed is a correct solution.
Jul
21
comment Comparison of multicurve calibration methods
@emcor it's better to post small additions to a question as a comment and not as an answer. Answers should really answer the question.
Jul
21
comment SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
Thanks, unfortunately I won't be looking at it soon but this makes it more clear.
Jul
20
comment Pricing Principle 1
Please don't post links to complete e-books unless you're the copyright holder or the explicitly license allowed this. If you doubt whether this is allowed: don't.
Jul
20
comment Historic Value at Risk - Ratios vs. Differences
I'm not sure I follow: the definition of $\hat{S}_i$ does not not seem logical to me with regard to the definition of $\hat{r}_i$. What is $\hat{r}_i$ exactly, and why would it become large or negative (it can't be large and negative). Can you clarify?
Jul
20
comment Does Modern Portfolio Theory align with EMH?
Hi Karol Przybylak, welcome to quant.SE! Thank you for asking your question here.
Jul
19
comment How does the Bitcoin forex work?
Hi Mark Thompson, welcome to Quant.SE! I'll have to close this question for three reasons. First of all, ask one question at a time. Second, I believe this fits better on the Bitcoin Stack. Third, I believe this is too basic for both stacks. On the Bitcoin exchanges, the protocol plays no role and price is determined by supply and demand.
Jul
19
comment SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
I've looked at the code and the paper and it's hard for me to map the code to the formulas. Also, it's not clear to me how you derived the constants. Can you clarify the question?
Jul
19
comment Calculate bond yield in python
Hi Wade Bratz, welcome to Quant.SE! Thank you for asking your question here.
Jul
17
comment Arbitrage free implies complete market?
Still not quite sure I follow, can you explain Prop 2.3?
Jul
17
comment Arbitrage free implies complete market?
Hmm, I don't see how this answers your question in toto: "Which part of finding the replicating portfolio makes use of the assumption?". Can you elaborate?
Jul
17
comment How is PnL calculated
Note that I agree 99% with @SRKX, but IMO with the specifics added this is an almost new question on the same topic.
Jul
17
comment How is PnL calculated
I think it's a bit better now, some specfics on "please help me with some more insights" would improve it tremendously.
Jul
17
comment forecasting crash time of KLSE index (1991-1994)
The less general the title, the better. I believe your equation has some errors. Can you take a careful look at it? For instance, I believe that $B$ should depend on the parameter $m$ and can't be seen as a independent input to the optimization.
Jul
16
comment Math basics of Equally-weighted Risk contributions
It would be helpful if you share the information you found. Hopefully someone can recommend interesting related papers. NB: It's allowed to answer your own question.
Jul
16
comment forecasting crash time of KLSE index (1991-1994)
I'm not clear on what you're asking here. What's the relation between the title of your question and your code? Could you rephrase the first part of your question to explain exactly what it is your trying to achieve? Also, what is the time series in the ts variable?
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Hi Laplacian, welcome to quant.SE! Thank you for your question. Can you possibly show some real code instead of pseudo-code? It will help people trying to answer your question.