5. Stochastic Processes I
1:17:41
YouTubeMIT OpenCourseWare
5. Stochastic Processes I
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Choongbum Lee *NOTE: Lecture 4 was not recorded. This lecture introduces stochastic processes, including random walks and Markov chains. License: Creative Commons BY-NC-SA More information at http://ocw ...
1M viewsJan 6, 2015
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yourquant_rick on Instagram: "What if you could step into a parallel universe where the math is simpler? That’s basically what Girsanov’s Theorem does in finance. It lets quants swap the messy real-world drift (µ) for the risk-free rate (r), creating the risk-neutral measure. This “measure change” underpins risk-neutral pricing, Black-Scholes, and advanced models in stochastic volatility & fixed income. In short: it’s the math that lets finance move between universes without breaking arbitrage.
yourquant_rick on Instagram: "What if you could step into a parallel universe where the math is simpler? That’s basically what Girsanov’s Theorem does in finance. It lets quants swap the messy real-world drift (µ) for the risk-free rate (r), creating the risk-neutral measure. This “measure change” underpins risk-neutral pricing, Black-Scholes, and advanced models in stochastic volatility & fixed income. In short: it’s the math that lets finance move between universes without breaking arbitrage.
Instagramyourquant_rick
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yourquant_rick on Instagram: "Chapter 8 of Frequently Asked Questions in Quantitative Finance by Paul Wilmott zeroes in on one of the most famous formulas in finance: the Black-Scholes option pricing model. Developed in the 1970s, it gave quants a revolutionary way to calculate the “fair” price of an option using volatility, interest rates, time to maturity, and the stochastic behavior of the underlying asset. It quickly became the industry standard—the E=mc² of quantitative finance. But Wilmott
yourquant_rick on Instagram: "Chapter 8 of Frequently Asked Questions in Quantitative Finance by Paul Wilmott zeroes in on one of the most famous formulas in finance: the Black-Scholes option pricing model. Developed in the 1970s, it gave quants a revolutionary way to calculate the “fair” price of an option using volatility, interest rates, time to maturity, and the stochastic behavior of the underlying asset. It quickly became the industry standard—the E=mc² of quantitative finance. But Wilmott
Instagramyourquant_rick
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