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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 +5 More From Tiziano Vargiolu 10 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 +6 More From Tiziano Vargiolu 16 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 +5 More From Tiziano Vargiolu 12 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 +5 More From Tiziano Vargiolu 40 plays 0