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Related lectures (9)
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Girsanov's Theorem: Numerical Simulation of SDEs
Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.
Financial Innovation: Implied Volatility
Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.
Risk-neutral Valuation
Explores risk-neutral valuation for European derivatives, EMMs, trading strategies, and market securities in financial modeling.
Linear Response and Complex Diffusivity
Explores martingale-based linear response, complex diffusivity, and Nyquist relation in stochastic systems with time-dependent perturbation.
Fluctuation-dissipation relations for reversible diffusions
Covers linear response, steady states, Girsanov transforms, and covariance limits in reversible diffusions.
ARCH and GARCH Models
Explores ARCH and GARCH models, volatility clustering, time series, estimation, and filtering steps in financial and macroeconomic contexts.
Asset Pricing: Fundamental Theorems
Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.
Business Model: Value Creation and Capture
Explores business models, value creation, and the Business Model Canvas.
Multiperiod Valuation and Hedging
Explores arbitrage, martingale measures, and market completeness in multiperiod models, focusing on pricing and hedging strategies.
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