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Credit Risk Modelling: an Introduction to Reduced-Form Models
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in this video we will give an introduction to reduced-form credit risk models with constant, non-constant and stochastic default intensity models.
0:10 Default Models
0:43 Constant Default Intensity Model
1:39 Non Constant Default Intensity Model
2:11 Default Intensity as a Function of the Credit Quality
2:50 Stochastic Default Intensity Model
#creditrisk, #creditriskmodel, #quantita...
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in this video we will give an introduction to reduced-form credit risk models with constant, non-constant and stochastic default intensity models.
0:10 Default Models
0:43 Constant Default Intensity Model
1:39 Non Constant Default Intensity Model
2:11 Default Intensity as a Function of the Credit Quality
2:50 Stochastic Default Intensity Model
#creditrisk, #creditriskmodel, #quantita...
Просмотров: 271
Видео
Credit Risk Modelling: Default Time Distribution
Просмотров 6202 месяца назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video, we will focus on the default time distribution. We will see ...
Credit Risk Modelling: The Probability of Default
Просмотров 8813 месяца назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video, we will focus on the probability of default, one of the key ...
Credit Risk: An Introduction
Просмотров 5483 месяца назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video, we will give an introduction to credit risk, presenting the ...
Options, Pricing and Risk Management Part III - Course Overview
Просмотров 4483 месяца назад
★★ Link to the course: quant-next.com/product/options-pricing-and-risk-management-part-3/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/compa...
The SABR Model: Course Overview
Просмотров 4744 месяца назад
★★ Link to the course: quant-next.com/product/the-sabr-model/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ This cours...
The SABR Model Part I: an Introduction
Просмотров 1,5 тыс.5 месяцев назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com/product/options-pricing-and-risk-management-part-3/ ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video we will i...
Volatility Surface Parameterization: the SVI Model - Course Overview
Просмотров 7025 месяцев назад
★★ Link to the course: quant-next.com/product/volatility-surface-parameterization-the-svi-model/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com/product/options-pricing-and-risk-management-part-3/ ★★ ★★ Contact us: con...
Risk Neutral Density: The Breeden-Litzenberger Formula
Просмотров 6375 месяцев назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com/product/options-pricing-and-risk-management-part-3/ ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video we will p...
Volatility Surface Modelling: An Introduction
Просмотров 1 тыс.5 месяцев назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video, we will give an introduction to the modelling of the volatil...
The Heston Model for Option Pricing: Course Overview
Просмотров 8866 месяцев назад
★★ Link to the course: quant-next.com/product/the-heston-model-for-option-pricing/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quan...
Greeks and Risk Management of Exotic Options: An Introduction
Просмотров 77910 месяцев назад
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com/product/options-pricing-and-risk-management-part-2/ ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/company/quant-next/ ★★ In this video, we will ...
Finite Difference Methods for Option Pricing: Overview of the Course
Просмотров 31410 месяцев назад
★★ Link to the course: quant-next.com/product/finite-difference-methods-for-option-pricing/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/com...
Replication and Risk Management of Exotic Options: Overview of the Course
Просмотров 20810 месяцев назад
★★ Link to the course: quant-next.com/product/replication-and-risk-management-of-exotic-options/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.co...
Monte Carlo Simulations for Option Pricing: Overview of the Course
Просмотров 27810 месяцев назад
★★ Link to the course: quant-next.com/product/monte-carlo-simulations-for-option-pricing/ ★★ ★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextRUclips10 ★★ ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ ★★ Visit us: quant-next.com ★★ ★★ Contact us: contact@quant-next.com ★★ ★★ Follow us: www.linkedin.com/compa...
Options, Pricing and Risk Management Part II: Overview of the Course
Просмотров 2,2 тыс.10 месяцев назад
Options, Pricing and Risk Management Part II: Overview of the Course
Introduction to Finite Difference Methods for Option Pricing
Просмотров 2,9 тыс.10 месяцев назад
Introduction to Finite Difference Methods for Option Pricing
Introduction to Monte Carlo Simulations
Просмотров 1,5 тыс.11 месяцев назад
Introduction to Monte Carlo Simulations
American Option Pricing with Binomial Tree
Просмотров 71311 месяцев назад
American Option Pricing with Binomial Tree
Artificial Neural Network for Option Pricing with Python Code
Просмотров 2 тыс.Год назад
Artificial Neural Network for Option Pricing with Python Code
Options, Pricing and Risk Management Part I: Overview of the Course
Просмотров 7 тыс.Год назад
Options, Pricing and Risk Management Part I: Overview of the Course
Introduction to Stochastic Volatility Models
Просмотров 6 тыс.Год назад
Introduction to Stochastic Volatility Models
Introduction to Option Greeks and Risk Management
Просмотров 5 тыс.Год назад
Introduction to Option Greeks and Risk Management
Implied Volatility Calculation with Newton-Raphson Algorithm
Просмотров 1,4 тыс.Год назад
Implied Volatility Calculation with Newton-Raphson Algorithm
Thank you for the great explanation
merci beaucoup pour la video!
You're welcome 🙂!
Brilliant
Thanks :)
Un bon accent franchouillard ze volatilité iz ailleurs of ze coleu at ze monè. Cela dit c’est une video tres utile et tres bien!
Thanks for your comment! The French accent is part of the charm of Quant Next :)
Excelent presentations, please keep up with your work, thank you
Thanks a lot for your support!
Gracias
How are you able to discern the put/calls on the same volatility curve? Put/call parity?
Yes exactly. By call-put parity you have, for a given strike K and maturity T, with sigma the Black-Scholes (BS) implied volatility from the call price: put_price = callBS(sigma) + K.exp(-r.T) - S = putBS(sigma) So the BS implied volatility of the put is equal to the BS implied volatility of the call.
So when would the Heston/SABR model be more applicable and more closely tied with market pricing?
SABR would be more applicable to interpolate / extrapolate time slice volatility curves or for the pricing of path-independent options as there is no parameter to control the term structure of volatility in this model. Heston is more suitable to price path-dependent exotic options, to model the whole volatility surface when you need to price options with different strikes and different maturities as it uses additional parameters to model the term structure of volatility with a mean-reverting Cox-Ingersoll Ross process for the instantaneous volatility. If you are interested to go further, here is the link to our course on the topic: quant-next.com/product/options-pricing-and-risk-management-part-3/
quite a few new variables added compared to black Scholes method, speed of mean reversion, volatility of the variance, correlation of the two wiener process. Even correlation of the two volatilities would keep fluctuating and not remain constant. Do All these variables increase the accuracy of volatility and underlying price prediction? Does this predict the volatility skew curve shape?
Adding these new parameters allows to build different shapes of volatility surface, while it is flat under the Black-Scholes model. The different parameters can be calibrated to fit as best as possible the observed volatility surface. Stochastic volatility models such as SABR or Heston can be used for interpolation / extrapolation of the volatility surface or to price exotic products. The prime objective of such model is not to predict the future level of volatility or underlying asset price but to price and risk manage options. If you are interested, please have a look at our course: quant-next.com/product/options-pricing-and-risk-management-part-3/ Best regards, Quant Next quant-next.com/
@@quantnext4773 I truly appreciate the huge effort made by this model to build different shapes of volatility surface and extrapolate the same. However, my concern is what will be the accuracy when 6 different variables are used and many of the variables are stochastic
Very well explained! thank you
Thanks for the feedback!
are there longer version of this video? I mean stochastic calculus for finance,pls if there is can u send me?
Hello, Thanks for your interest in our videos. If you are interested in applications of stochastic calculus in finance, you might be interested in our course on Options, Pricing and Risk Management Part I: quant-next.com/product/option-pricing-risk-management-part1/ Best regards, Quant Next quant-next.com/
what are the application you will tell about
Hello Surya, Thanks for your interest in Quant Next. Through the course, you will see with Python code: - how to price vanilla options with the Heston model using the semi-analytic formula and compare it with Monte Carlo simulations - how the different Heston parameters impact the shape of the volatility surface - how to calibrate the parameters to market prices - how to estimate the risk neutral density function from the characteristic function with Fast Fourier transform - how to price a path dependent exotic options by Monte Carlo simulations and path independent ones by numerical integration Best regards, Quant Next
Very good explanation, thank you!
Thanks for the feedback!
don't you mean when beta = 1 and nu = 0 in the flat volatility smile slide?
Yes of course, thanks for spotting it! The extract has been deleted.
Why is the stock more leveraged when return is down?
A company is more leveraged when its stocks are going down. The debt-to-equity ratio, calculated by dividing a company's total liabilities by its shareholder equity will typically increase when stocks are lower all other things equal.
Great video, thanks. Can you explain how at 0:56 you are showing put and call options on the same chart? Is it OTM puts on the left of spot and OTM calls on the right? In which case, how are ITM options represented? Sorry if I'm being dense.
Thanks for the feedback. We used here implied volatility for call prices. This being said, the volatility implied by a put price will be very similar than the volatility implied by a call price with same expiry and strike price.
Python Code is missing.
Hello, If you are interested to go more in depth, we propose one full course dedicated to the Heston model including applications and tutorials in Python: quant-next.com/product/the-heston-model-for-option-pricing/
great video. i have a question, what is the reason that the derivative of (the integral) wrt k gives 2 term? the first term make sense due to Fundamental theorem of calculus, where's the second term from? 2:00
i suspect the two terms come from product rule of the derivative, but does it mean the first term should not have the probability density function, but the derivative of it?
Hello, this is the Leibniz integral rule (cf en.wikipedia.org/wiki/Leibniz_integral_rule)
3:36
When is part 3 going to come out?
Good video. I'm really glad I just found your channel
What a powerful lecture on Neural Networks
Thanks for your comment!
thanks mec
Great explanation thank you ! waiting for part 3.
This is so clear and precise, thank you!
Thanks for the support!
what about more general boundary conditions like robin or cauchy?
Thank you for the video. Eagerly awaiting new videos in the finite difference series.
Thanks a lot for the support! If you are interested in finite difference methods for option pricing, please have a look on our website, there is a course available on this topic: quant-next.com/product/finite-difference-methods-for-option-pricing/
Thanks so much! Good explanation!
Thanks for the support!
Part 3 please🥹🥹🥹
Thank you so much!!!
Thanks for the support!
Thanks 🎉
Thanks for the support!
Really interesting thank you for this video, waiting for part 3 to discuss calibration and pricing
Bonjour, vous êtes Français ? Bien à vous.
Bonjour, Yes i am :), but all videos and courses are in English. Best regards
How do you plot the distribution the distribution of stock returns implied by the parameters of the Heston model ??? Thanks in advance for the answer p.s. your videos are awesome
Thank you very much for your support! I obtained the density of the stock price implied by the Heston model from European call options priced with the Heston model (with "real" probability parameters) using the Breeden-Litzenberg formula which derives the underlying return distribution from option prices. Another way to obtain the density of the stock price implied by the Heston model could be by using its characteristic function (we don't know the density but we know the characteristic function with the Heston model) and we recover the density function the Fourier inversion theorem. I will talk about it in future videos.
Thanks
Good explanation
Thank you for your feedback and your support!
That was the best explanation of the greeks I've ever seen. Simple, clear, straight to the point. Same for the volatility smile and other videos.
Thank you for your feedback and your support!
Thanks
Thank you for your support!
Please make it in linear order and make a playlist. Start from what is quant. different categories like quant finance, trading ...what are pre-request for each category.
Dear Rakesh, thanks for your interest in quant finance. This videos will be indeed part of a full course on Options, Pricing and Risk Management (coming soon!). If you are interested in this course, please leave us your email and we’ll get back to you as soon as it is ready : contact@quant-next.com
Hi, I am highly interested in pursuing quantitative analysis and want to get a head start on my education. Where would you recommend I start as I understand the math but not the functions like E(S). Thanks!
Hi, We provide videos and courses on quantitative finance. Yoy may need additional training on probability and stochastic processes. We already provide some introduction videos on stochastic calculus: ruclips.net/p/PLDRKecZj6C2ye5ou9OmhHs2OBpjEhfpoV but you may be interested in additional ones on probability. Please contact us: contact@quant-next.com
May we have a word Mr. Quant? Ty for the content
Sure, please contact us: contact@quant-next.com
Dude your content is awesome.
Thank you for your feedback and your support!
Great video.
Thank you for your feedback!
Keep uploading, amazing work! Thank you. ❤
Thank you for your feedback and your support!
Excellent material. Thank you from the very bottom of my heart. Merci du fond du coeur...
Thank you for your feedback!