What is the Monte Carlo method? | Monte Carlo Simulation in Finance | Pricing Options
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
Stefano De Marco: Some asymptotic results about American options and volativity
Abstract: The valuation of American options (a widespread type of financial contract) requires the numerical solution of an optimal stopping problem. Numerical methods for such problems have been widely investigated. Monte-Carlo methods are based on the implementation of dynamic programmin
From playlist Numerical Analysis and Scientific Computing
Lecture 6: Pricing Options with Monte Carlo
Lecturer: Prof. Shimon Benninga We show how to price Asian and barrier options using MC. A starting point is an extended example of how to use MC to price plain vanilla calls. This example illustrates the basic principles of MC pricing for options.
From playlist Financial Modeling (Simon Benniga)
Financial Options Pricing History. How do Investors Price Options?
Financial Options Pricing History. Today we will learn How do Investors Price Options? 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 Class 2: An Introduction to Options
Monte Carlo Simulation and Python
Monte Carlo Simulation with Python Playlist: http://www.youtube.com/watch?v=9M_KPXwnrlE&feature=share&list=PLQVvvaa0QuDdhOnp-FnVStDsALpYk2hk0 Here we bring at least the initial batch of tutorials to a close with the 3D plotting of our variables in search for preferable settings to use.
From playlist Monte Carlo Simulation with Python
Giray Ökten: Derivative pricing, simulation from non-uniform distributions - lecture 3
The models of Bachelier and Samuelson will be introduced. Methods for generating number sequences from non-uniform distributions, such as inverse transformation and acceptance rejection, as well as generation of stochastic processes will be discussed. Applications to pricing options via re
From playlist Probability and Statistics
Pricing Options Using the Binomial Tree (Risk Neutral Valuation Approach)
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 In finance, the binomial option
From playlist Class 3: Pricing Financial Options
Gerhard Larcher: Two concrete FinTech applications of QMC
I present the basics and numerical result of two (or three) concrete applications of quasi-Monte-Carlo methods in financial engineering. The applications are in: derivative pricing, in portfolio selection, and in credit risk management. VIRTUAL LECTURE Recording during the meeting "Q
From playlist Virtual Conference
What are Real Options? - Real Options Valuation Method For Capital Budgeting Decisions
Real options valuation, also often termed real options analysis, applies option valuation techniques to capital budgeting decisions. 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
From playlist Class 5 - Options Wrap Up
Financial Derivatives - Lecture 8 - Monte Carlo Method & Risk Management
These full length lectures are being provided for students who are unable to attend live university lectures due to the public health issues associated with Covid 19. I will return to my standard YouTube video format shortly. Buy The Book Here: https://amzn.to/2Qdj9zu Visit our website.
From playlist Full Financial Derivatives Lectures
Monte Carlo Integration In Python For Noobs
Monte Carlo is probably one of the more straightforward methods of numerical Integration. It's not optimal if working with single-variable functions, but nonetheless is easy to use, and readily generalizes to multi-variable functions. In this video I motivate the method, then solve a one-d
From playlist Daily Uploads
Options (Lecture 2) by Shashi Jain
Program Summer Research Program on Dynamics of Complex Systems ORGANIZERS: Amit Apte, Soumitro Banerjee, Pranay Goel, Partha Guha, Neelima Gupte, Govindan Rangarajan and Somdatta Sinha DATE : 15 May 2019 to 12 July 2019 VENUE : Madhava hall for Summer School & Ramanujan hall f
From playlist Summer Research Program On Dynamics Of Complex Systems 2019
Gunther Leobacher: Quasi Monte Carlo Methods and their Applications
In the first part, we briefly recall the theory of stochastic differential equations (SDEs) and present Maruyama's classical theorem on strong convergence of the Euler-Maruyama method, for which both drift and diffusion coefficient of the SDE need to be Lipschitz continuous. VIRTUAL LECTU
From playlist Virtual Conference
Jorge P. Zubelli: Project Evaluation under Uncertainty
Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furtherm
From playlist Mathematics in Science & Technology
An introduction to multilevel Monte Carlo methods – Michael Giles – ICM2018
Numerical Analysis and Scientific Computing Invited Lecture 15.7 An introduction to multilevel Monte Carlo methods Michael Giles Abstract: In recent years there has been very substantial growth in stochastic modelling in many application areas, and this has led to much greater use of Mon
From playlist Numerical Analysis and Scientific Computing
What is Monte Carlo Method?| Financial Risk Manager Online Certification | FRM Videos | Simplilearn
🔥Explore Our Free Courses With Completion Certificate by SkillUp: https://www.simplilearn.com/skillup-free-online-courses?utm_campaign=WhatIsMonteCarloMethodDec31&utm_medium=DescriptionFirstFold&utm_source=youtube This video explains the: 1.Monte Carlo Simulation 2.Examples 3.Applications
From playlist FRM Tutorial | Financial Risk Management Tutorial | Simplilearn
2012 FRM Valuation & Risk Models T4.a
This is a sample of our 2012 FRM Valuation & Risk Models T4.a video tutorials. https://www.bionicturtle.com/features-pricing/ The Bionic Turtle program is the most effective and affordable preparation aid for the Financial Risk Manager (FRM) exam.
From playlist FRM
Adaptive Sampling via Sequential Decision Making - András György
The workshop aims at bringing together researchers working on the theoretical foundations of learning, with an emphasis on methods at the intersection of statistics, probability and optimization. Lecture blurb Sampling algorithms are widely used in machine learning, and their success of
From playlist The Interplay between Statistics and Optimization in Learning
Monte Carlo Simulation and Python 18 - 2D charting monte carlo variables
Monte Carlo Simulation with Python Playlist: http://www.youtube.com/watch?v=9M_KPXwnrlE&feature=share&list=PLQVvvaa0QuDdhOnp-FnVStDsALpYk2hk0 Here we use Matplotlib to chart a 2D representation of our variables and their relationship to profit. In the monte carlo simulation with Python
From playlist Monte Carlo Simulation with Python