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Change of Numeraire 20:40
Change of Numeraire quantpie 8,156 2 года назад
An intuitive explanation the Black Scholes' formula 05:48
An intuitive explanation the Black Scholes' formula quantpie 32,441 4 года назад
Why is dW^2=dt? 04:54
Why is dW^2=dt? quantpie 9,200 4 года назад
Heston European Option Closed Form Formula 31:30
Heston European Option Closed Form Formula quantpie 9,742 4 года назад
Merton Jump Diffusion Model 14:54
Merton Jump Diffusion Model quantpie 15,474 3 года назад
Simplified: Change of Probability Measure, and Risk Neutral Valuation 27:25
Simplified: Change of Probability Measure, and Risk Neutral Valuation quantpie 14,968 4 года назад
Derivation of Heston Stochastic Volatility Model PDE 29:03
Derivation of Heston Stochastic Volatility Model PDE quantpie 18,619 4 года назад
SABR Model - part 1 33:58
SABR Model - part 1 quantpie 12,574 3 года назад
Fokker Planck Equation Derivation: Local Volatility, Ornstein Uhlenbeck, and Geometric Brownian 21:19
Fokker Planck Equation Derivation: Local Volatility, Ornstein Uhlenbeck, and Geometric Brownian quantpie 29,948 5 лет назад
Measure change approach to the derivation of Black Scholes 05:44
Measure change approach to the derivation of Black Scholes quantpie 7,005 5 лет назад
Simplified: Girsanov Theorem for Brownian Motion (Change of Probability Measure) 26:34
Simplified: Girsanov Theorem for Brownian Motion (Change of Probability Measure) quantpie 27,116 4 года назад
Change of probability measure for Poisson process 12:13
Change of probability measure for Poisson process quantpie 3,265 2 года назад
Brownian motion - Physical intuition 07:39
Brownian motion - Physical intuition quantpie 15,391 4 года назад
Why dWdt=0? 07:07
Why dWdt=0? quantpie 7,548 4 года назад
Interest Rate Term Structure Models: Introductory Concepts 16:01
Interest Rate Term Structure Models: Introductory Concepts quantpie 32,207 5 лет назад
Local vs Stochastic vs Implied Volatilities 34:34
Local vs Stochastic vs Implied Volatilities quantpie 15,268 5 лет назад
Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons 41:51
Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons quantpie 34,550 5 лет назад
Geometric Brownian Motion: SDE Motivation and Solution 21:33
Geometric Brownian Motion: SDE Motivation and Solution quantpie 24,282 4 года назад
Ito’s lemma, also known as Ito’s formula, or Stochastic chain rule: Proof 11:28
Ito’s lemma, also known as Ito’s formula, or Stochastic chain rule: Proof quantpie 24,054 6 лет назад
LIBOR Market Model 22:40
LIBOR Market Model quantpie 13,596 5 лет назад

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