Computations in Finance
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6:39
What are the Chooser options?
Computations in Finance
1.1K views • 1 year ago
13:20
How to calibrate a pricing model? How to choose the objective function?
Computations in Finance
1.6K views • 1 year ago
7:56
What instruments to choose to calibrate your pricing model?
Computations in Finance
736 views • 1 year ago
10:03
What is the relation between European and Forward-start options?
Computations in Finance
624 views • 1 year ago
8:27
What is the Bates model, and how can it be used for pricing?
Computations in Finance
652 views • 1 year ago
12:50
What is pathwise sensitivity?
Computations in Finance
475 views • 1 year ago
12:26
How to hedge Jumps?
Computations in Finance
773 views • 1 year ago
8:39
Why do we need Monte Carlo if we have FFT methods for pricing?
Computations in Finance
749 views • 1 year ago
10:30
What are the challenges of discretizing the CIR process using the Euler method?
Computations in Finance
434 views • 1 year ago
11:52
What is weak and strong convergence in Monte Carlo pricing?
Computations in Finance
596 views • 1 year ago
10:26
What is a standard error? How to interpret it?
Computations in Finance
656 views • 1 year ago
14:33
What to do if the FFT/COS method does not converge for increasing expansion terms?
Computations in Finance
376 views • 1 year ago
8:56
What are the benefits of FFT compared to a “brute force” integration?
Computations in Finance
436 views • 1 year ago
8:14
Can we model volatility with the Arithmetic Brownian Motion process?
Computations in Finance
456 views • 1 year ago
10:43
Can you interpret the Heston model parameters and their impact on the volatility surface?
Computations in Finance
998 views • 1 year ago
9:52
Why is adding more and more factors to the pricing models not the best idea?
Computations in Finance
560 views • 1 year ago
11:00
Is the Heston model with time-dependent parameters affine?
Computations in Finance
585 views • 1 year ago
15:20
How to derive a characteristic function for a model with jumps?
Computations in Finance
557 views • 1 year ago
11:01
What is the impact of jumps on implied volatility?
Computations in Finance
679 views • 1 year ago
14:45
How does Ito’s table look like if we include the Poisson jump process?
Computations in Finance
621 views • 1 year ago
5:37
What are the deficiencies of the Black-Scholes model? Why is the BS model still used?
Computations in Finance
1K views • 1 year ago
7:08
What is the implied volatility term structure?
Computations in Finance
1.1K views • 1 year ago
6:31
What is the Feynman-Kac formula?
Computations in Finance
3.7K views • 1 year ago
6:31
What sanity checks can you perform for a simulated stock process?
Computations in Finance
632 views • 1 year ago
7:16
What are the advantages and disadvantages of using ABM/GBM for modelling a stock process?
Computations in Finance
864 views • 1 year ago
3:39
What is the difference between a stochastic process and a random variable?
Computations in Finance
2K views • 1 year ago
5:47
Can you price options using Arithmetic Brownian motion?
Computations in Finance
1.3K views • 1 year ago
12:24
What are the challenges in the calculation of implied volatilities?
Computations in Finance
1.2K views • 1 year ago
10:26
How is the money savings account related to a zero-coupon bond?
Computations in Finance
1.1K views • 1 year ago
7:48
Can we use the same pricing models for different asset classes?
Computations in Finance
2.9K views • 1 year ago
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