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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 27-28: the Girsanov theorem and the… duration 1 hour 22 minutes Lectures 27-28: the Girsanov theorem and the… Lectures 27-28: the Girsanov theorem and the martingale representation theorem	Lectures 27-28: the Girsanov theorem and the martingale representation theorem Levy's characterization of Brownian motion. Drift transformation in the Brownian motion and the Girsanov theorem. The martingale representation theorem. Representation of densities of… levy's characterization theorem +8 More From Tiziano Vargiolu 34 plays 0
Lecture 26: change of probability with a… duration 52 minutes 57 seconds Lecture 26: change of probability with a… Lecture 26: change of probability with a filtration	Lecture 26: change of probability with a filtration Equivalent probability measures. Conditional expectation and martingales under the new probability. absolutely continuous probabilities +6 More From Tiziano Vargiolu 22 plays 0
Lecture 24: change of probability duration 32 minutes 8 seconds Lecture 24: change of probability Lecture 24: change of probability	Lecture 24: change of probability Absolutely continuous probability measures. Measures defined by a density. The Radon-Nykodym theorem. Expectation under the new probability. density of probabilities +4 More From Tiziano Vargiolu 32 plays 0