Some simple illustration to help understand the shape of the log-normal distribution, or the one-dimensional distribution of the Geometric Brownian Motion.
Пікірлер: 8
@user-wc7em8kf9d3 жыл бұрын
What a delight it should be to have you as a professor! Thanks for sharing.
@quantpie3 жыл бұрын
So nice of you! thank you, though hard to meet the professor jobs' requirements!
@95MarioKaci953 жыл бұрын
for t = 3 both distributions will have fater tails
@quantpie3 жыл бұрын
indeed! many thanks!
@sundarj81742 жыл бұрын
Such a nice explanation
@quantpie2 жыл бұрын
Glad you liked it! Many thanks @Sundar J !
@giovanniberardi41342 жыл бұрын
Thank you for your videos. I have a question. In the example, the geometric brownian motion has a drift rate of -0,045? If so, why is it negative? Thank you very much
@WeiXing253 жыл бұрын
Thanks. If I may ask, when can we see the next SABR video buddy?