Stochastic control | Portfolio theories
Merton's portfolio problem is a well known problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to consume and must allocate their wealth between stocks and a risk-free asset so as to maximize expected utility. The problem was formulated and solved by Robert C. Merton in 1969 both for finite lifetimes and for the infinite case. Research has continued to extend and generalize the model to include factors like transaction costs and bankruptcy. (Wikipedia).
Fin Math L5-3: Towards Black-Scholes-Merton
Welcome to the last part of Lesson 5. In this video we cover some last relevant topics to finally deal with the Black-Scholes-Merton theorem, which will be the starting point of all our pricing exercises. Here you can download the new chapter of the lecture notes: https://www.dropbox.com/s
From playlist Financial Mathematics
Pricing Options using Black Scholes Merton
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 The Black–Scholes or Black–Scho
From playlist Class 3: Pricing Financial Options
FRM: How d2 in Black-Scholes becomes PD in Merton model
In Black-Scholes, N(d2) is the probability that the option will be struck in the risk-neutral world. The Merton model for credit risk uses the Black-Scholes by treating equity as a call option on firm assets. In Merton, d2 becomes the "distance to default" and N(-d2) becomes the probabilit
From playlist Derivatives: Option Pricing
Low Default Portfolios (Part 1)
A Low Default Portfolio (LDP) is a portfolio characterized by a low number of defaults. Too simple? Citing the BCBS (Basel Committee on Banking Supervision): Several types of portfolios may have low numbers of defaults. For example, some portfolios historically have experienced low numb
From playlist Topics in Credit Risk Modelling
Risk Management Lesson 7B: Credit Ratings (continued) and Merton's Model
Second part of Lesson 7. Topics: - Credit Ratings: unconditional and conditional PD - Structural models of default. - Merton's Model: basic assumptions and functioning - The PD in Merton's setting - Merton's Model: pros and cons
From playlist Risk Management
Discrete Math - 1.2.2 Solving Logic Puzzles
In this video we talk about strategies for solving logic puzzles by reasoning and truth tables. Textbook: Rosen, Discrete Mathematics and Its Applications, 7e Playlist: https://www.youtube.com/playlist?list=PLl-gb0E4MII28GykmtuBXNUNoej-vY5Rz
From playlist Discrete Math I (Entire Course)
Black Scholes Merton option pricing model (FRM T4-11)
[xls to go here] David gives a brief tour of a Black Scholes option pricing model. He highlights three of the questions that we get about this famous model. 1. How are dividends exactly treated? 2. Can we interperet N(d1) and N(d2)? 3. Is there any way to get an intuition about how this Bl
From playlist Valuation and RIsk Models (FRM Topic 4)
Fin Math L6-1: The Black-Scholes-Merton theorem
Welcome to Lesson 6 of Financial Mathematics. This is the lesson of the Black-Scholes-Merton (BSM) theorem. Finally, you might say. But it will also be the lesson of volatility and distortions. A lot of interesting things. In this first video, we focus on the BSM theorem. Topics: 00:00 I
From playlist Financial Mathematics
FRM: Intuition behind the Black-Scholes-Merton
The value of a European call must be equal to a replicating portfolio that has two positions: long a fractional (delta) share of stock plus short a bond (where the bond = strike price). For more financial risk videos, visit our website! http://www.bionicturtle.com
From playlist Derivatives: Option Pricing
2012 FRM Credit Risk Measurement & Management T6.d
This is a sample of our 2012 FRM Credit Risk Measurement & Management T6.d video tutorials. You may view our products here: https://www.bionicturtle.com/products/financial-risk-management/ The Bionic Turtle program is the most effective and affordable preparation aid for the Financial Ri
From playlist FRM
Sixth SIAM Activity Group on FME Virtual Talk
Talk info: Speaker: Jean-Pierre Fouque, University of California Santa Barbara Title: Accuracy of Approximation for Portfolio Optimization under Multiscale Stochastic Environment Abstract: For the problem of portfolio optimization when returns and volatilities are driven by stochastic fa
From playlist SIAM Activity Group on FME Virtual Talk Series
Fin Math L4-2: The two fundamental theorems of asset pricing and the exponential martingale
Welcome to the second part of Lesson 4 of Financial Mathematics. In this video we discuss the two fundamental theorems of asset pricing and we introduce the exponential martingale, an essential tool that we will use as the Radon-Nikodym derivative to move from P to Q in the Cameron-Martin
From playlist Financial Mathematics
MIT 15.401 Finance Theory I, Fall 2008 View the complete course: http://ocw.mit.edu/15-401F08 Instructor: Andrew Lo License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu
From playlist MIT 15.401 Finance Theory I, Fall 2008
6 1 Black Scholes Merton 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
Applied Portfolio Management - Video 4 - Fixed Income Asset Management
All slides are available on my Patreon page: https://www.patreon.com/PatrickBoyleOnFinance Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest
From playlist Applied Portfolio Management
The problem with `functions' | Arithmetic and Geometry Math Foundations 42a
[First of two parts] Here we address a core logical problem with modern mathematics--the usual definition of a `function' does not contain precise enough bounds on the nature of the rules or procedures (or computer programs) allowed. Here we discuss the difficulty in the context of funct
From playlist Math Foundations