Канал: Computations in Finance

What are the Chooser options?

What are the Chooser options?

How to calibrate a pricing model? How to choose the objective function?

How to calibrate a pricing model? How to choose the objective function?

What instruments to choose to calibrate your pricing model?

What instruments to choose to calibrate your pricing model?

What is the relation between European and Forward-start options?

What is the relation between European and Forward-start options?

What is the Bates model, and how can it be used for pricing?

What is the Bates model, and how can it be used for pricing?

What is pathwise sensitivity?

What is pathwise sensitivity?

How to hedge Jumps?

How to hedge Jumps?

Why do we need Monte Carlo if we have FFT methods for pricing?

Why do we need Monte Carlo if we have FFT methods for pricing?

What are the challenges of discretizing the CIR process using the Euler method?

What are the challenges of discretizing the CIR process using the Euler method?

What is weak and strong convergence in Monte Carlo pricing?

What is weak and strong convergence in Monte Carlo pricing?

What is a standard error? How to interpret it?

What is a standard error? How to interpret it?

What to do if the FFT/COS method does not converge for increasing expansion terms?

What to do if the FFT/COS method does not converge for increasing expansion terms?

What are the benefits of FFT compared to a “brute force” integration?

What are the benefits of FFT compared to a “brute force” integration?

Can we model volatility with the Arithmetic Brownian Motion process?

Can we model volatility with the Arithmetic Brownian Motion process?

Can you interpret the Heston model parameters and their impact on the volatility surface?

Can you interpret the Heston model parameters and their impact on the volatility surface?

Why is adding more and more factors to the pricing models not the best idea?

Why is adding more and more factors to the pricing models not the best idea?

Is the Heston model with time-dependent parameters affine?

Is the Heston model with time-dependent parameters affine?

How to derive a characteristic function for a model with jumps?

How to derive a characteristic function for a model with jumps?

What is the impact of jumps on implied volatility?

What is the impact of jumps on implied volatility?

How does Ito’s table look like if we include the Poisson jump process?

How does Ito’s table look like if we include the Poisson jump process?

What are the deficiencies of the Black-Scholes model? Why is the BS model still used?

What are the deficiencies of the Black-Scholes model? Why is the BS model still used?

What is the implied volatility term structure?

What is the implied volatility term structure?

What is the Feynman-Kac formula?

What is the Feynman-Kac formula?

What sanity checks can you perform for a simulated stock process?

What sanity checks can you perform for a simulated stock process?

What are the advantages and disadvantages of using ABM/GBM for modelling a stock process?

What are the advantages and disadvantages of using ABM/GBM for modelling a stock process?

What is the difference between a stochastic process and a random variable?

What is the difference between a stochastic process and a random variable?

Can you price options using Arithmetic Brownian motion?

Can you price options using Arithmetic Brownian motion?

What are the challenges in the calculation of implied volatilities?

What are the challenges in the calculation of implied volatilities?

How is the money savings account related to a zero-coupon bond?

How is the money savings account related to a zero-coupon bond?

Can we use the same pricing models for different asset classes?

Can we use the same pricing models for different asset classes?

Computational Finance Q&A, Volume 1, Introduction

Computational Finance Q&A, Volume 1, Introduction

Financial Engineering Course: Lecture 14/14, (The Summary of the Course)

Financial Engineering Course: Lecture 14/14, (The Summary of the Course)

Financial Engineering Course: Lecture 13/14, part 2/2, (Value-at-Risk and Expected Shortfall)

Financial Engineering Course: Lecture 13/14, part 2/2, (Value-at-Risk and Expected Shortfall)

Financial Engineering Course: Lecture 13/14, part 1/2, (Value-at-Risk and Expected Shortfall)

Financial Engineering Course: Lecture 13/14, part 1/2, (Value-at-Risk and Expected Shortfall)

Financial Engineering Course: Lecture 12/14, part 3/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 12/14, part 3/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 12/14, part 2/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 12/14, part 2/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 12/14, part 1/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 12/14, part 1/3, (Valuation Adjustments- xVA)

Financial Engineering Course: Lecture 11/14, part 2/2, (Market Models and Convexity Adjustments)

Financial Engineering Course: Lecture 11/14, part 2/2, (Market Models and Convexity Adjustments)

Financial Engineering Course: Lecture 11/14, part 1/2, (Market Models and Convexity Adjustments)

Financial Engineering Course: Lecture 11/14, part 1/2, (Market Models and Convexity Adjustments)

Financial Engineering Course: Lecture 10/14, part 3/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 10/14, part 3/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 10/14, part 2/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 10/14, part 2/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 10/14, part 1/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 10/14, part 1/3, (Foreign Exchange (FX) and Inflation)

Financial Engineering Course: Lecture 9/14, part 2/2, (Hybrid Models and Stochastic Interest Rates)

Financial Engineering Course: Lecture 9/14, part 2/2, (Hybrid Models and Stochastic Interest Rates)

Financial Engineering Course: Lecture 9/14, part 1/2, (Hybrid Models and Stochastic Interest Rates)

Financial Engineering Course: Lecture 9/14, part 1/2, (Hybrid Models and Stochastic Interest Rates)

Financial Engineering Course: Lecture 8/14, part 4/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 4/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 3/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 3/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 2/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 2/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 1/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 8/14, part 1/4, (Mortgages and Prepayments)

Financial Engineering Course: Lecture 7/14, part 2/2, (Swaptions and Negative Interest Rates)

Financial Engineering Course: Lecture 7/14, part 2/2, (Swaptions and Negative Interest Rates)

Financial Engineering Course: Lecture 7/14, part 1/2, (Swaptions and Negative Interest Rates)

Financial Engineering Course: Lecture 7/14, part 1/2, (Swaptions and Negative Interest Rates)

Financial Engineering Course: Lecture 6/14, part 3/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 6/14, part 3/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 6/14, part 2/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 6/14, part 2/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 6/14, part 1/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 6/14, part 1/3, (Construction of Yield Curve and Multi-Curves)

Financial Engineering Course: Lecture 5/14, part 2/2, (Interest Rate Products)

Financial Engineering Course: Lecture 5/14, part 2/2, (Interest Rate Products)

Financial Engineering Course: Lecture 5/14, part 1/2, (Interest Rate Products)

Financial Engineering Course: Lecture 5/14, part 1/2, (Interest Rate Products)

Financial Engineering Course: Lecture 4/14, part 2/2, (Yield Curve Dynamics under Short Rate)

Financial Engineering Course: Lecture 4/14, part 2/2, (Yield Curve Dynamics under Short Rate)

Financial Engineering Course: Lecture 4/14, part 1/2, (Yield Curve Dynamics under Short Rate)

Financial Engineering Course: Lecture 4/14, part 1/2, (Yield Curve Dynamics under Short Rate)

Financial Engineering Course: Lecture 3/14, part 2/2, (The HJM Framework)

Financial Engineering Course: Lecture 3/14, part 2/2, (The HJM Framework)

Financial Engineering Course: Lecture 3/14, part 1/2, (The HJM Framework)

Financial Engineering Course: Lecture 3/14, part 1/2, (The HJM Framework)

Financial Engineering Course: Lecture 2/14, part 3/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 2/14, part 3/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 2/14, part 2/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 2/14, part 2/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 2/14, part 1/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 2/14, part 1/3, (Understanding of Filtrations and Measures)

Financial Engineering Course: Lecture 1/14, (Introduction and Overview of the Course)

Financial Engineering Course: Lecture 1/14, (Introduction and Overview of the Course)

Computational Finance: Lecture 14/14 (Summary of the Course)

Computational Finance: Lecture 14/14 (Summary of the Course)

Computational Finance: Lecture 13/14 (Exotic Derivatives)

Computational Finance: Lecture 13/14 (Exotic Derivatives)

Computational Finance: Lecture 12/14 (Forward Start Options and Model of Bates)

Computational Finance: Lecture 12/14 (Forward Start Options and Model of Bates)

Computational Finance: Lecture 11/14 (Hedging and Monte Carlo Greeks)

Computational Finance: Lecture 11/14 (Hedging and Monte Carlo Greeks)

Computational Finance: Lecture 10/14 (Monte Carlo Simulation of the Heston Model)

Computational Finance: Lecture 10/14 (Monte Carlo Simulation of the Heston Model)

Computational Finance: Lecture 9/14 (Monte Carlo Simulation)

Computational Finance: Lecture 9/14 (Monte Carlo Simulation)

Computational Finance: Lecture 8/14 (Fourier Transformation for Option Pricing)

Computational Finance: Lecture 8/14 (Fourier Transformation for Option Pricing)

Computational Finance: Lecture 7/14 (Stochastic Volatility Models)

Computational Finance: Lecture 7/14 (Stochastic Volatility Models)

Computational Finance: Lecture 6/14 (Affine Jump Diffusion Processes)

Computational Finance: Lecture 6/14 (Affine Jump Diffusion Processes)

Computational Finance: Lecture 5/14 (Jump Processes)

Computational Finance: Lecture 5/14 (Jump Processes)

Computational Finance: Lecture 4/14 (Implied Volatility)

Computational Finance: Lecture 4/14 (Implied Volatility)

Computational Finance: Lecture 3/14 (Option Pricing and Simulation in Python)

Computational Finance: Lecture 3/14 (Option Pricing and Simulation in Python)

Computational Finance: Lecture 1/14 (Introduction and Overview of Asset Classes)

Computational Finance: Lecture 1/14 (Introduction and Overview of Asset Classes)

Computational Finance: Lecture 2/14 (Stock, Options and Stochastics)

Computational Finance: Lecture 2/14 (Stock, Options and Stochastics)