Trees (data structures) | Models of computation | Mathematical finance | Short-rate models | Financial models
In finance, a lattice model is a technique applied to the valuation of derivatives, where a discrete time model is required. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at "all" times (any time) before and including maturity. A continuous model, on the other hand, such as Black–Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par. The method is also used for valuing certain exotic options, where because of path dependence in the payoff, Monte Carlo methods for option pricing fail to account for optimal decisions to terminate the derivative by early exercise, though methods now exist for solving this problem. (Wikipedia).
From playlist Exploratory Data Analysis
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From playlist Financial Theory with John Geanakoplos
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From playlist Modern Finance and Macroeconomics: A Multidisciplinary Approach
Jonathan Weare (DDMCS@Turing): Stratification for Markov Chain Monte Carlo
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From playlist Data driven modelling of complex systems
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In previous videos we made a wonderful investment portfolio and now we will use regression analysis to make stock market predictions about the future performance of our portfolio. I’ll be using the ARIMA model for making stock market predictions in this video. It focuses on trying to fit
From playlist Python for Finance
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In today's video we learn all about the Monte Carlo Method in Finance. 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 h
From playlist Exotic Options & Structured Products
What is a Random Walk? | Infinite Series
Viewers like you help make PBS (Thank you 😃) . Support your local PBS Member Station here: https://to.pbs.org/donateinfi To understand finance, search algorithms and even evolution you need to understand Random Walks. Tell PBS what types of shows you want to see at https://www.surveymonke
From playlist Probability
Román Orús: "News on tensor network simulations for quantum matter and beyond"
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From playlist Tensor Methods and Emerging Applications to the Physical and Data Sciences 2021
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From playlist Modern Finance and Macroeconomics: A Multidisciplinary Approach
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From playlist Modern Finance and Macroeconomics: A Multidisciplinary Approach
Two Applications of the Bootstrap in QCD (Lecture 1) by Martin Kruczenski
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From playlist NUMSTRING 2022
Andreas H. Hamel: From set-valued quantiles to risk measures: a set optimization approach to...
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From playlist Probability and Statistics
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SIAM Activity Group on FME Virtual Talk Series Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering. Spe
From playlist SIAM Activity Group on FME Virtual Talk Series
Zhongyang Li: "XOR Ising model and constrained percolation"
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From playlist Modern Finance and Macroeconomics: A Multidisciplinary Approach
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From playlist Modern Finance and Macroeconomics: A Multidisciplinary Approach
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Nonperturbative and Numerical Approaches to Quantum Gravity, String Theory and Holography DATE:27 January 2018 to 03 February 2018 VENUE:Ramanujan Lecture Hall, ICTS Bangalore The program "Nonperturbative and Numerical Approaches to Quantum Gravity, String Theory and Holography" aims to
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Microlocal sheaves on certain affine Springer fibers - Zhiwei Yun
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From playlist Seminar on Geometric and Modular Representation Theory
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From playlist Turing Seminars