You are a hero man! Thank you very much for your lectures!! For people with not enough money for books and online courses, you are a source of hope for their dreams
Saw this promoted on LinkedIn. My heart sank when I heard you say "we won't be covering interest rate modelling in this course, only equities". Such a shame, but thank you anyway for putting this together and offering this openly. Greatly appreciated.
I am going now through your book and these lectures. As a physicist I find the math in the sweet spot, with enough formality to be precise but not too much to obfuscate clarity and results. Where can I find the slides for this course? Thank you for making these lectures available. They are the perfect companion to your book.
Read the free sample from your website and got totally convinced that I should have your book! Great buy. Could you also update with videos in the description which all sections each lecture will be covering as you had mentioned somewhere in the comments that the topics are not covered in the same order as in the book. Thank you so much for these.
Hello Sid, thanks for the comment! Excellent to hear you liked the book. It is a bit difficult to indicate exactly from which part of the book is the lecture, as for this course I have "extracted" most of the method from different chapters, and here and there I have added more materials. The same strategy I have followed for the next "Financial Engineering" course. Enjoy the series, Best, Lech
Hello Doctor Lech. Is it possible that we could have a finance engineering lectures in c++ in the future. Thank you for giving us this wonderful knowledge for free sir. Thanks for your kindness to pass on this information and knowledge to the world.
This course is amazing. I looked at the syllabus of the book you are referring to and it sounds simply SPOT ON. Are you planning to upload videos on all the material of the book?? We are waiting for the rest!! don't let us down :)
Hello M Rida, yes, the next lecture will be released this week. After this course is finished, there will be a few more. I will release them one by one- as you can imagine, it takes some time to prepare it. Best wishes and welcome to the course. Lech
@@ComputationsInFinance Thank you very much for your reply. I will, indeed, follow the book together with the lectures, one by one. You have done an amazing job so far . So just to make things even clearer, can you confirm that all the material from the book (all the chapters) will indeed be covered in the lectures you will be uploading on your RU-vid channel? :-) Thanks again.
hello M Rida @M Rida, yes I confirm that all the materials from the book will be covered in the online lectures. However, the lectures will not be in the same order. I hope it clarifies. Best wishes, Lech
@@ComputationsInFinance very much so. i'm prepping for a quant dev interview despite having minimal background (but did most of this math in uni many years ago) and your series is honestly one of the most useful - it provides good context and explains the broad points very well (eg., "what is the point of a martingale?") but then goes deep with lots of real math and real code on github - the coursera on quantitative finance is absolutely useless by comparison. it's like "here's a formula. now here's another formula. now here's another." with little explanation or motivation
Thanks for the wonderful book Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes, loved reading it though I am new to Python. However, I have some doubts about the calibration that you have mentioned in the videos. Specifically, I am looking for a code that carries out calibration for the Heston model using market data of simple call or put options. Thanks in advance Saumitra Bhaduri
hello Saumitra, thanks for the feedback. You will find code, not in this lecture, but in the github website for the book. There I have included also the codes for the model calibration. I hope you will find it useful. Best regards, Lech
Thank you so much! This was amazing. I’m currently in a 2 year college getting my associate degree in Business Administration, and I was wondering, what major will you advice me to do when I transfer my credits to a 4 year college to prepare me for getting my masters in financial engineering?. Thanks in advance
hello Kenny, everything depends on your university and possible routes you have. General rule is that you should move to stochastics, numerics asap. Then your change to be a good at it is higher. Best wishes, and good luck. Lech
hello Ashutosh, it is explained in this lecture, but let me summarize: you need to know how to code in Python or Matlab (coding focused on numerical analysis, like matrix inversions, Euler discretizations etc). Then you should be familiar with basic algebra and most important, if you don't understanding something in this course you should dedicate your time to learn it. This course I teach for 1st and 2nd year Master students with math, numerics and economic background. Good luck, Lech
Hello sir , looking forward in following through these videos and learning these concepts. What can we expect from this channel in the future ? Does the current playlist " Computational Finance Course " cover everything that is in the book ? Thank you for uploading these informative videos.
hello Arsh, please watch the lecture number 1, there I explain what is needed to be able to follow this course. Best wishes and welcome to this channel. Lech
Hello, your welcome. I'm not sure whether I understand your question. If you follow the next lectures you will find a lot of information on how to price options using Python. Best, Lech
Hello, your welcome. I'm not sure whether I understand your question. If you follow the next lectures you will find a lot of information on how to price options using Python. Best, Lech
Thank you for the lecture. I think there is a hiccup on the 55th minutes, going on for a couple of minutes, where you share the wrong slide. Is that correct?
Dear Mr. Lech, thank you very much for these lectures and course. I recently bought your book on Amazon Kindle, India. Are the above lectures chapterwise from the above book? I will go through the lectures topics (from book) and see if there are any where I require your help. I appreciate you will be very busy. Are you planning to put more videos on topics from the above book. Thank you once again.
Hello Prasad, thanks for the message. The book covers a much wider scope than just computational finance. Therefore, you can consider this course to be an extract from the book. More courses are in production right now. They will be released very soon! Best regards, Lech
@@ComputationsInFinance Thank you for your prompt response. You mentioned that more courses are in production-then do these new videos cover the remaining topics from the book? Just curious to know. Just in case, I need an video session live/recorded on any particular topic from the book then is there any scope for such specific classes? Thank you once again.
@@kdpr007 The current course is mainly focused on computational aspects of pricing. The follow-up courses will go more in-depth on the topics discussed. In this way, every course will give more insights. I hope it explains.
@@ComputationsInFinance Thank you. It is a noble thought. I purchased your book on Kindle (India). Further to the book, producing Video sessions on such complex topics is even more commendable. Eagerly waiting fir the new videos. Thank you once again
hello Sebastian, no, not in particular, the courses on this channel require some financial background. On the other hand, if you have followed the book of S. Shreve this course would be a nice add on! Best wishes, Lech
Indeed, that slide is a bit outdated. Unfortunately, I don't have any update for it. The idea behind that slide was to illustrate the proportions between different markets. I hope it illustrated that well. Best regards, Lech
Hello Jayjay F. I recommend to watch a few lectures and then assess it yourself. It will cost you only a few minutes to see whether you can follow. In general, if you know mathematics it should be easy! Best wishes, Lech
Hello Donald, definitely! If you don't understand how the financial models work you cannot be a good financial engineer. Then you are just a programmer! Always expand your horizons! Good luck, Lech
Definitely! In coming weeks I will release a series on questions and answers based on these courses. These are often used for interviews or exams. Best wishes, Lech
HI Sir, I liked your content and this is very helpful. Can you please cover Chapter 1 Basics of stochastic processes and Interest Rate Derivatives in upcoming series ?
hello, Expected prior knowledge: Basic knowledge of partial differential equations (PDEs), of numerical methods for solving PDEs, of linear algebra and of the basic of numerical linear algebra, computing tool: Python. Best wishes, Lech
hello Daniel, of course there is no assignment for you. The assignment was made for a group of students that I taught last year. Hope it clarifies. Best, Lech
hello Anju, and can you call yourself a Superman after watching the Superman series? Of course not, you need not only watch the lectures but work in the field, dive into mathematics, be fluent in coding and solve real problems. Then you will get a bit closer to being an engineer. Good luck.
