Search for tag: "convergence"

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Lecture 6: Functional limit theorems for… duration 1 hour 52 minutes Lecture 6: Functional limit theorems for… Lecture 6: Functional limit theorems for financial markets with long-range dependence	Lecture 6: Functional limit theorems for financial markets with long-range dependence * General conditions of weak convergence - Convergence of sums - Multiplicative scheme* Monotonicity along the diagonal of a triangular matrix in the Cholesky decomposition of a positive definite… weak convergence cholesky decomposition toeplitz matrix stationary processes fractional brownian motion high-frequency trading From Tiziano Vargiolu 8 plays 0
Lecture 4: Application of Malliavin calculus to… duration 1 hour 53 minutes Lecture 4: Application of Malliavin calculus to… Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility	Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility Introduction Model of asset price and payoff function: additional assumptions, auxiliary properties Elements of Malliavin calculus and application to option pricing The rate of convergence of… euler scheme monte carlo method density malliavin calculus stochastic volatility rough volatility convergence From Tiziano Vargiolu 13 plays 0
Lectures 70-71: Computationally simple trees duration 1 hour 42 minutes Lectures 70-71: Computationally simple trees Lectures 70-71: Computationally simple trees	Lectures 70-71: Computationally simple trees Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB… computationally simple trees ornstein-uhlenbeck process markov chain convergence in distribution convergence in law parallel computing From Tiziano Vargiolu 6 plays 0
Lecture 3: binomial approximation duration 42 minutes 59 seconds Lecture 3: binomial approximation Lecture 3: binomial approximation	Lecture 3: binomial approximation Binomial random walk. Convergence in distribution to a Brownian motion binomial random walk random walk brownian motion convergence in distribution convergence in law characteristic function From Tiziano Vargiolu 31 plays 0