SABR Model - part 2A (Valuation PDE)

Рет қаралды 3,350

3 жыл бұрын

This part sets up the valuation problem under the SABR stochastic volatility model, and deduces the valuation PDE. In the subsequent videos, this problem will be simplified and solved using the Perturbation method.

Пікірлер: 14

@Ignoramus.et.Ignorabimus 3 жыл бұрын

Thank you Quantipie Team; the best stochastic videos ever!

@quantpie 3 жыл бұрын

You're welcome! thank you too!!

@yipj9553 3 жыл бұрын

Thanks for the great videos! Look forward to part 2B.

@quantpie 3 жыл бұрын

You are welcome! many thanks!

@yipj9553 3 жыл бұрын

Looking forward to the second part. @quantpie, counting on you :)

@quantpie 3 жыл бұрын

Ta! It is being progressed!

@WeiXing25 3 жыл бұрын

YES!! THANK YOU SO MUCH!!!!!!!

@quantpie 3 жыл бұрын

You're welcome!!

@chuckles8519 10 ай бұрын

At 14.27 how do you get the final equality at the bottom? I follow the steps up to the expression where you take the expectation of alpha squared multiplied by the joint probability of alpha and F, where F=K, but why does this equal the probability that F_t=K (conditional on F_0 and alpha_0)?

@chuckles8519 10 ай бұрын

where does the alpha squared go??

@roottokyo0918 3 жыл бұрын

Thanks for great videos, would you tell me how you're making these dynamical videos with mathematical equations and charts?

@quantpie 3 жыл бұрын

Glad you like them! We are aiming to go back-stage at some point, so watch this space! PS: nothing fancy just the standard animation tools, but we learn more over time, so hope the quality has been improving!

@eugeniomazzetti6341 3 жыл бұрын

Great Video. Thank you very much. When will part 2B be available as well as a video on practical aspects such as implementation and calibration of parameters to quoted swaptions, caps and floors vols? Thanks

@quantpie 3 жыл бұрын

Thank you and you're welcome! Will update you as soon as we have an ETA! many thanks!