Computational Finance: Lecture 2/14 (Stock, Options and Stochastics)

Computational Finance
Lecture 2- Stock, Options and Stochastics
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This course is based on the book:
"Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019.
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- Codes and the slides can be found at: https://github.com/LechGrzelak/Computational-Finance-Course
- See https://quantfinancebook.com/ for more details and for additional materials.
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0:00 Introduction
3:21 Trading of Options and Hedging
20:13 Commodities
25:59 Currencies and Cryptos
38:22 Value of Call and Put Options and Hedging
1:00:57 Modeling of Asset Prices and Randomness
1:10:20 Stochastic Processes for Stock Prices
1:27:27 Ito’s Lemma for Solving SDEs
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CONTENT OF THIS COURSE:
Lecture 1- Introduction and Overview of Asset Classes
***** Lecture 2- Stock, Options and Stochastics
Lecture 3- Option Pricing and Simulation in Python
Lecture 4- Implied Volatility
Lecture 5- Jump Processes
Lecture 6- Affine Jump Diffusion Processes
Lecture 7- Stochastic Volatility Models
Lecture 8- Fourier Transformation for Option Pricing
Lecture 9- Monte Carlo Simulation
Lecture 10- Monte Carlo Simulation of the Heston Model
Lecture 11- Hedging and Monte Carlo Greeks
Lecture 12- Forward Start Options and Model of Bates
Lecture 13- Exotic Derivatives
Lecture 14- Summary
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Corrections:
- Around 9:20- 9:40 the correct statement is: call option price DECREASES for an increasing strike.
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Видео Computational Finance: Lecture 2/14 (Stock, Options and Stochastics) канала Computations in Finance