Hi professor, tks for sharing. But dr is'nt equal to: delta_r = r_tree[i,j]*( kappa*theta - kappa*math.log(r_tree[i,j]) + sigma**2/2 )*dt + random_factor*r_tree[i,j] ?
BSM assume that volatility is constant,Where Heston model assumes volatility of volatility is constant that is volatility's mean reversion is constant , so which assumption is less inaccurate.
Hi. Thank you for all the videos on the calibration of interest rate model. I am planning to do my project on calibration of short-term interest rate model. I have some questions on this topic. Can you help me with any doubts that I have? It would be extremely helpful.
Hello, tell me, how can I contact you? I would like to clarify some questions about the data that is presented in your code. Can I write to you by email or other messenger?
I made another video about building trinomial tree for CIR model at ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-JyFVxgWiecE.html . Hopefully it is helpful.
Thank You Very Much, Sir. Please could you also a part II video that explains how we provide latent space vector values into a model as input and how using those inputs a model can build a NEW image.
Thank you for the great video! Could you also explain when to build trinomial trees for Black-Karasinski model? Or maybe you can just recommend the literature where it can be learned
Hi Max Meng, I have a question about the parameter calibration. I looked at the previous video you had made couple of years ago on HW1F calibration. How does the calibration flow work here ? Do we assume long term mean levels \theta(t) such that it coincides with the yield of ZC bonds over different maturities of t and then Calibrate \alpha and \sigma using option instruments (such as swaption or cap or floor )? Also , let us say that we are valuing Bermudan swaptions under AMC approach using HW1F model , wouldn't it make sense to work with time varying volatility ?
I have been running the code on Ethereum daily data and the performance is no where near the performance in this video. Im using daily data from 2017 to now. I have also tried using bitcoin daily data and i am still getting the same performance metrics.
Hello, I am really interested in your work, and would like to learn more about it. Do you have a personal email address were we can correspond? Thank you.
