Portfolio theories | Financial models
In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets. Proposed by economist Stephen Ross in 1976, it is widely believed to be an improved alternative to its predecessor, the Capital Asset Pricing Model (CAPM). APT is founded upon the law of one price, which suggests that within an equilibrium market, rational investors will implement arbitrage such that the equilibrium price is eventually realised. As such, APT argues that when opportunities for arbitrage are exhausted in a given period, then the expected return of an asset is a linear function of various factors or theoretical market indices, where sensitivities of each factor is represented by a factor-specific beta coefficient or factor loading. Consequently, it provides traders with an indication of ‘true’ asset value and enables exploitation of market discrepancies via arbitrage. The linear factor model structure of the APT is used as the basis for evaluating asset allocation, the performance of managed funds as well as the calculation of cost of capital. (Wikipedia).
Volatility Arbitrage - How does it work? - Options Trading Lessons
What is Volatility Arbitrage? Volatility arbitrage is a trading strategy that attempts to profit from the difference between the forecasted price-volatility of an asset, like a stock, and the implied volatility of options on that asset. These classes are all based on the book Trading and
From playlist Class 4 The Greeks & Dynamic Hedging
Merger Arbitrage Hedge Fund Strategy ― How Does it Work?
#mergerarbitrage #hedgefunds #trading #riskarbitrage Merger Arbitrage is an absolute return hedge fund trading strategy that aims to profit from predictable moves in stock prices that occur once a merger deal has been announced. 2020 has not been a great period for this strategy as a numbe
From playlist Corporate Finance
Make Money Betting on Politics - Arbitrage with Predictit
Step-by-step tutorial to find and profit from arbitrage opportunities on Predictit. Predictit is market with unique attributes that makes it the perfect place for arbitrage: it is closed to big players like banks and hedge funds, and it lets you bet on political outcomes. - PredictIt arb
From playlist Finance, Probability, and Other Stuff
Arbitrage Pricing Theory (APT)
APT is similar to CAPM but with several factors
From playlist Intro to Quant Finance
Pricing Financial Futures (Part 1 of 2)
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle Pricing Futures: When the deli
From playlist Class 1 Futures & Forwards
Monique Jeanblanc: Arbitrages in a progressive enlargement of filtration
Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b
From playlist Probability and Statistics
Pricing Financial Futures (Part 2 of 2)
Today we will learn about pricing financial futures These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitt
From playlist Class 1 Futures & Forwards
Fixed Income: Arbitrage to exploit violation of law of one price (FRM T4-24)
Financial Risk Manager (FRM), Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 1, Prices Discount Factors and Arbitrage. How do we exploit the Law of One Price (which asserts that--absent confounding factors like liquidity or taxes--is only one set of discount factor
From playlist Valuation and RIsk Models (FRM Topic 4)
Matteo Burzoni: Viability and arbitrage under Knightian uncertainty
Abstract: We provide a general framework to study viability and arbitrage in models for financial markets. Viability is intended as the existence of a preference relation with the following properties: It is consistent with a set of preferences representing all the plausible agents trading
From playlist Probability and Statistics
Foundation of Risk Management -- Part 1 - Financial Risk Manager | Simplilearn
🔥Explore Our Free Courses With Completion Certificate by SkillUp: https://www.simplilearn.com/skillup-free-online-courses?utm_campaign=FoundationofRiskManagement&utm_medium=DescriptionFirstFold&utm_source=youtube This video talks about: 1.Foundation of Risk Management -- Part 1. 2.Arbitra
From playlist FRM Tutorial | Financial Risk Management Tutorial | Simplilearn
Daniel Balint: Discounting invariant FTAP for large financial markets
Abstract: For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K
From playlist Probability and Statistics
A conversation between Nassim Nicholas Taleb and Stephen Wolfram at the Wolfram Summer School 2021
Stephen Wolfram plays the role of Salonnière in this new, on-going series of intellectual explorations with special guests. Watch all of the conversations here: https://wolfr.am/youtube-sw-conversations Follow us on our official social media channels. Twitter: https://twitter.com/Wolfra
From playlist Conversations with Special Guests
4 5 Fundamental theorems of asset pricing Part 1
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić
Financial Markets (ECON 252) Options introduce an essential nonlineary into portfolio management. They are contracts between buyers and writers, who agree on exercise prices and dates at which the buyer can buy or sell the underlying (such as a stock). Options are priced based on the pr
From playlist Financial Markets (2008) with Robert Shiller
4 2 Risk neutral pricing Part 1
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić
Reduced form Setting undr Model Uncertainty w/ Nonlinear Affine Intensities - Prof Francesca Biagini
Abstract In this talk we present a market model including financial assets and life insurance liabilities within a reduced-form framework under model uncertainty by following [1]. In particular we extend this framework to include mortality intensities following an affine process unde
From playlist Uncertainty and Risk
Prof. Frank Riedel - Frank Knight, the Economics of Uncertainty, and 21st Century Finance
A workshop to commemorate the centenary of publication of Frank Knight’s "Risk, Uncertainty, and Profit" and John Maynard Keynes’ “A Treatise on Probability” This workshop is organised by the University of Oxford and supported by The Alan Turing Institute. For further details and regular
From playlist Uncertainty and Risk
6. Irving Fisher's Impatience Theory of Interest
Financial Theory (ECON 251) Building on the general equilibrium setup solved in the last week, this lecture looks in depth at the relationships between productivity, patience, prices, allocations, and nominal and real interest rates. The solutions to three of Fisher's famous examples ar
From playlist Financial Theory with John Geanakoplos
What are Dividend Swaps, commodity swaps, equity swaps?
In todays video we will learn about Dividend Swaps, Commodity Swaps and Equity Swaps. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patri
From playlist Swaps
A conversation between Fred Meinberg and Stephen Wolfram at the Wolfram Summer School 2021
Stephen Wolfram plays the role of Salonnière in this new, on-going series of intellectual explorations with special guests. Watch all of the conversations here: https://wolfr.am/youtube-sw-conversations Follow us on our official social media channels. Twitter: https://twitter.com/Wolfram
From playlist Conversations with Special Guests