Kolmogorov Backward Equation: Derivation and Interpretation
Derives the Kolmogorov Backward Equation for a Markov Diffusion process described by a general SDE, which includes Brownian Motion, Geometric Brownian Motion, and Ornstein Uhlenbeck processes as special cases.
Видео Kolmogorov Backward Equation: Derivation and Interpretation канала quantpie
Видео Kolmogorov Backward Equation: Derivation and Interpretation канала quantpie
Показать
Комментарии отсутствуют
Информация о видео
Другие видео канала
Climate Modelling 1: Earth's energy budget and the Greenhouse gases' role in keeping us warm!
Ho-Lee and Hull-White Extended Vasicek/CIR: Derivation of the Drifts using HJM
Which one is riskier: option or stock?
Calibrating (Fitting) the Dupire Local Volatility Model
Calibration of Vasicek’s Portfolio Loss Distribution
SABR Model - part 2A (Valuation PDE)
SABR Model - part 1
Chain Binomial Model for COVID-19 spread
Why is dt^2=0?
Change of probability measure for Poisson process
Stochastic spatial model for Coronavirus spread
Climate Modelling 3: General circulation of the atmosphere
the Shape of the Geometric Brownian Motion’s distribution
SABR Model - part 2B (Transformation of PDE)
Quiz 1: Stochastic Calculus
Poisson Process: dynamics, probability, and alternative characterisations
Abstract Bayes' Formula and Conditional Expectation
Climate Modelling 2: The atmosphere and the radiation, a combination that makes the magic happen
Gamma of Black Scholes Price: Derivation and Intuitive Explanation
An illustration of Black Scholes’ Delta Hedging
Brownian motion - Physical intuition