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Geometric Brownian Motion: SDE Motivation and Solution 

quantpie
Подписаться 20 тыс.
Просмотров 23 тыс.
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Explains how the GBM stochastic differential equation arises as a generalisation of the discrete growth and decay process, and then solves the GBM SDE.

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30 дек 2019

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Комментарии : 19   
@harshvardhanranvirsingh9473
@harshvardhanranvirsingh9473 3 года назад
This youtube channel should be made popular..Phenomenal explanation!!!
@quantpie
@quantpie 3 года назад
thanks for being so kind! thank you!
@adrianschroder4847
@adrianschroder4847 Год назад
Great explanation and appreciate the hints on simulation!! Happy Pi(e) day!
@JaGWiREE
@JaGWiREE 4 года назад
Really love this fundamental addition to your stochastic calculus / sde series, I am personally taking the time to learn some statistical mechanics as it seems the physical intuition helps me.
@JaGWiREE
@JaGWiREE 4 года назад
With that said, I wish you a fantastic new year and hope your holidays have been fantastic thus far.
@quantpie
@quantpie 4 года назад
Thanks Brian! Yes that is the way to go! These things are a lot easier to understand when visualised as particles, waves, and states (and cats!)!
@quantpie
@quantpie 4 года назад
And a very happy new year to you too!! Hope you are enjoying the festive season too!
@JaGWiREE
@JaGWiREE 4 года назад
@@quantpie I actually bursted out laughing when I read the (and cats!)! LOL. Wishing you the best of health and fortune in the new year.
@duckymomo7935
@duckymomo7935 4 года назад
O wow that was so clear to follow
@quantpie
@quantpie 4 года назад
Thanks @Mi Les!
@nilofarafzali289
@nilofarafzali289 3 года назад
Brilliant video - thank you! Thoroughly enjoyed following this.
@quantpie
@quantpie 3 года назад
Glad you enjoyed it! thanks!
@NT-ff2dp
@NT-ff2dp Год назад
Super clear presentation 👍👍👍👍👍
@franckherve981
@franckherve981 4 года назад
Happy New year guys...A good explanation once again ...
@quantpie
@quantpie 4 года назад
Thanks @Herve Franck, and a very happy New Year to you too!
@SuperDoc3000
@SuperDoc3000 4 года назад
Great video
@quantpie
@quantpie 4 года назад
Thanks!
@user-vv4lq1jj5n
@user-vv4lq1jj5n Год назад
Hi! Could you prompt how can I find out the probability that GBM (dX=X(r*dt+sigma*dB) will less than constant in all time t before T?
@FF-ms6wq
@FF-ms6wq 2 месяца назад
Total trash this “explanation”.
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