SABR Model - part 2B (Transformation of PDE)

Рет қаралды 3,035

Күн бұрын

This video applies a set of transformations, which Hagan et al used in their seminal paper (Managing Smile Risk), to the SABR model PDE in order to simplify the PDE.

Пікірлер: 11

@momolo243 Жыл бұрын

Excellent video. Could you please let us know when you are planning to release the final video on the SABR Model.

@Zorothustra 2 жыл бұрын

Thanks for sharing! Really appreciated!

@quantpie 2 жыл бұрын

Thank you!

@liangguo8393 Жыл бұрын

Great channel ! When can we have the following of this video ? Besides, is it possible to make videos about stochastic volaitility interest rate model (SVDDLMM for exemple) ?

@fansongyi 2 жыл бұрын

Heelo Doc. Can you make a video explaining what the connection is between Feymann-Kac and black-scholes?

@ichkaodko7020 2 жыл бұрын

Hi guy, looks like very good channel. keep doing what u doing quantpie. subscribed.

@quantpie 2 жыл бұрын

Thank you!

@randomdude79404 2 жыл бұрын

Make a video on navigating your channel , step by steps also what prerequisites are before watching these videos !

@quantpie 2 жыл бұрын

Thanks! Good point as we do get a lot of questions around this!

@lokprakashmahap1072 2 жыл бұрын

quantpie, do you have plan to cover material on FDM/FEM techniques

@quantpie 2 жыл бұрын

We did want to cover numerical methods inclu FD; however, it seems like there is already a lot of good material out there, so we did not prioritise these topics. Many thanks for the suggestion! Much appreciated!