I love these videos btw. So many times in grad school they are like, "here is a model, figure it out on your own. You will be tested on it but we won't tell you what it means or how to do it." These videos are very helpful.
Appreciate your content. You just saved my life!!! I am doing master in quantitative finance and just found your channel. Your code and explanation are well clarified and really help me with the coursework. I couldn't imagine If I didn't find your video at the first place.
100% agree. You don't actually know what's happening until you go through it to understand what's actually going on and what the assumptions even mean.
I would very much appreciate a video series discussing rigorously the stochastic picture in finance. I have a background in Statistical Physics from where I learned about Random Processes. Now I believe a very thorough analytics as well as real world stochastic modelling would be very beneficial for many enthusiasts like me. I will look forward to this. Moreover, out of many YT resources I have found your contents, most reasonable and analytical. Thank you for your contribution.
AHHHHH. We just finished up Derivatives in my MFE. This is awesome. For parameters are you guys going to do MLE on the historical data? Can't wait to see it!
Really appreciating the content! For other audience who might potentially use milstein scheme from the reference, there is a typo in equation (18) ,in the "Fabrice Douglas Rouah" reference provided in the video description. I think it should be 0.5 * St * Vt * dt (Zs**2 - 1); The simulation would be just wrong using the original equation.
Thank you for the great video again. I just wanted to understand that how did you get parameter combination as initial value for heston and monte carlo? If I remember it correctly you might have answered it some video, but these parameter combinations can be found out using argmax(MLE) OR using machine learning NN and other non-linear machine learning models as output with input as market observable prices which then sampled over by uniform sampling method like Latin hypercube sampling? Is my understanding correct that black volatility surface can also be created using numerical iterative methods like newton rhapson method and also via Machine Learning NN and other classical machine learning models? Why we use MC method for simulating Stochastic Volatility Modelling equation rather than other numerical methods like Finite di erence, COS method and numerical integration? Why to use any of these classical models like heston to find option price when the prices can be sourced from bloomberg and other readily available tools easily and then later trained via machine learning ensemble models to get the model calibrated parameters for valuing an option in future date?
Nice video. A question - how to estimate heston parameters using only underlying price data? Example: to compute IV of an option on xyz asset that don't have any options market. Would you suggest to look into any other model?
Thank you for these great videos (btw I was being sarcastic/cheeky when i mentioned the pyvollib vectorized lib), but I was wondering what you did regarding the ValueError you get when you try to compute S_p, v_p/S_n, v_n via the heston function. ValueError: operands could not be broadcast together with shapes (252, ), (100_000, ) (underscore mine, for readability)
Please tell me why there is dt associated with Wt in the integral form. Isn't it should be just Wt? In the code Wt = sqrt(t)*Zt looks good for me though.
Accurate and fast explanation. I got this when run first part of code "ModuleNotFoundError: No module named '_testcapi'", how can i fix this? thanks in advance
Legend, thanks for update. Sometimes it's hard to pick these up when writing in latex $\Large S_{i+1} = S_i e^{(r-\frac{v_i}{2}) \Delta t + \sqrt{v_{i}}\Delta tW^\mathbb{Q}_{S,i+1}}$
Can you help with quantitative finance jobs? I am looking for roles in quantitative finance and have a master in financial engineering but the problem is that I had a family emergency and now there is a gap since I graduated. No firm is giving me an interview now as the gap is 14 months now.