Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons 

You’re welcome! Glad you found it useful! Thanks!

Thanks Brian!!

Thank you! Cheers!

thanks @Davide!!

Glad it was helpful! You are welcome!

thank you, good spot! that is a typo!

Glad you liked it! thank you!

Glad it was helpful! The material is quite standard; however, it is not based on particular book/article. If you take references in the Dupire's original paper, and complement them by those in Gatheral's then that should provide sufficient coverage of the topics covered in this video. many thanks!

many thanks for the question! One is parametric (kinda assumes a particular functional form with some parameter whose value can be varied to get as close a fit as possible), and the second is non-parametric - it does not have a specific functional form, so shape is driven by the data. Hope this answers your question. Many thanks!

@M.Y., thank you!!

thanks! We have started introducing jump processes in the Levy process playlist, there are 3 videos which cover different aspects of the Poisson, more videos to follow!

Thank you @Herve Franck!

Thanks! It is called Tanaka Meyer, pls see here- en.m.wikipedia.org/wiki/Tanaka%27s_formula

As soon as possible! We have received this request many times, but unfortunately formatting the equations in a readable format requires work, and will switch to formatting as soon as we have finished the backlog!

Thanks @Jun Wang! At least two ways to identify forward vs backward PDE in these settings: 1) via the sign of the second derivatives vs time derivative (please compare it to the Black Scholes PDE which is a backward PDE), and 2) via knowledge of the problem: initial vs terminal conditions and what dynamics is the PDE describing - here we have the initial condition S_0-K, and the PDE is in terms of the T (maturity), so it is a forward PDE. Hope it is clearer, but let me know if you have any further questions!

quantpie Thank you so much!

i got that at 18:56 haha