Search for tag: "stochastic volatility"

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
Lecture 64: stochastic volatility models duration 1 hour 9 minutes Lecture 64: stochastic volatility models Lecture 64: stochastic volatility models	Lecture 64: stochastic volatility models The martingale representation theorem and stochastic volatility models. local martingale martingale representation theorem martingale property stochastic volatility From Tiziano Vargiolu 11 plays 0
Lecture 50: the Markov property duration 1 hour 2 minutes Lecture 50: the Markov property Lecture 50: the Markov property	Lecture 50: the Markov property The Markov property. An example: stochastic volatility models. Infinitesimal generator. markov property markov process stochastic volatility infinitesimal generator existence and uniqueness From Tiziano Vargiolu 22 plays 0