Risk Management Lesson 4B: Volatility (second part) and Coherent Risk Measures
This is the second half of Lesson 4. Topics: - Exercise about volatility modeling with G-arch - Coherent risk measures - Are the variance and the standard deviation coherent? A useful document for you is available here: https://www.dropbox.com/s/6pdygf0bw6bcce1/coherence.pdf
From playlist Risk Management
Bias Variance Tradeoff Explained!
What is Bias? What is the tradeoff between bias and variance? These questions and more answered today! ABOUT ME ⭕ Subscribe: https://www.youtube.com/c/CodeEmporium?sub_confirmation=1 📚 Medium Blog: https://medium.com/@dataemporium 💻 Github: https://github.com/ajhalthor 👔 LinkedIn: https:/
From playlist The Math You Should Know
Risk Management Lesson 4A: Volatility
First part of Lesson 4. Topics: - Definitions of volatility - Basic assumptions (do they hold?) - Arch and G-arch models (brief overview)
From playlist Risk Management
Statistics: Ch 7 Sample Variability (11 of 14) What is "The Standard Error of the Mean"?
Visit http://ilectureonline.com for more math and science lectures! To donate: http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 What is “the standard error of the mean”? It is the standard deviation (of the sampling distribution) of the sample means. Previous
From playlist STATISTICS CH 7 SAMPLE VARIABILILTY
Seminar about distortion functions and Lorenz curves in finance.
From playlist Talks and Interviews
(ML 11.3) Frequentist risk, Bayesian expected loss, and Bayes risk
A simple way to visualize the relationships between the frequentist risk, Bayesian expected loss, and Bayes risk.
From playlist Machine Learning
Fin Math L7: The Wang transform and the Lorenz curve in Black-Scholes-Merton
Welcome to Financial Mathematics. In this lesson we continue our discussion about the Wang transform and we also introduce an interesting connection with the Lorenz curve, a very useful instrument originally developed in the inequality studies' literature. As we shall see, the use of Wang
From playlist Financial Mathematics
Risk Management Lesson 5A: Value at Risk
In this first part of Lesson 5, we discuss Value-at-Risk (VaR). Topics: - Definition of VaR - Loss distribution and confidence level - The normal VaR
From playlist Risk Management
Welcome to Quantitative Risk Management (QRM). In this lesson we introduce the axiomatic approach to risk measures. We give the definition of risk measure and we discuss what its uses for us are in terms of reserve capital quantification. We then define coherent and convex measures. The p
From playlist Quantitative Risk Management
Fin Math L6-3: Implied Volatility and Wang Transforms
This is the third part of Lesson 6. We continue the discussion about the estimation of volatility in the BSM framework, by dealing with implied volatility. After that, we start analysing the "distortions" we induce by moving from P to Q, and we also introduce a new measure D. Topics: 00:0
From playlist Financial Mathematics
Distinguished Visitor Lecture Series Dynamic contracts Yuliy Sannikov Stanford University, USA
From playlist Distinguished Visitors Lecture Series
Risk-Aware Reinforcement Learning for Finance (SIAM FME)
SIAM Activity Group on FME Virtual Talk Series Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering. Spe
From playlist SIAM Activity Group on FME Virtual Talk Series
QRM L1-1: The Definition of Risk
Welcome to Quantitative Risk Management (QRM). In this first class, we define what risk if for us. We will discuss the basic characteristics of risk, underlining some important facts, like its subjectivity, and the impossibility of separating payoffs and probabilities. Understanding the d
From playlist Quantitative Risk Management
Distinguished Visitor Lecture Series Dynamic contracts Yuliy Sannikov Stanford University, USA
From playlist Distinguished Visitors Lecture Series
Evaluate the derivative using the definition of derivative limit notation
👉 Learn how to evaluate the limit of a function using the difference quotient formula. The difference quotient is a measure of the average rate of change of the function over an interval, h. The limit of the difference quotient gives the derivative of the function. The difference quotient
From playlist Evaluate the Limit (PC)
Health Data Anonymization and Privacy
For more information, visit: http://strataconf.com/rx Khaled El Emam discusses health data anonymization and its effects on privacy at Strata Rx.
From playlist Strata Rx Conference 2013
Use the definition of a derivative to evaluate the limit
👉 Learn how to evaluate the limit of a function using the difference quotient formula. The difference quotient is a measure of the average rate of change of the function over an interval, h. The limit of the difference quotient gives the derivative of the function. The difference quotient
From playlist Evaluate the Limit (PC)
Fin Math L4-1: Change of measure and the Radon-Nikodym derivative
Welcome to Lesson 4 of Financial Mathematics. In this first part of our lesson we deal with the change of measure, a fundamental operation to guarantee the possibility of finding a proper risk-neutral measure. We therefore introduce Radon-Nikodym derivatives and other related concepts. To
From playlist Financial Mathematics
Fin Math L6-1: The Black-Scholes-Merton theorem
Welcome to Lesson 6 of Financial Mathematics. This is the lesson of the Black-Scholes-Merton (BSM) theorem. Finally, you might say. But it will also be the lesson of volatility and distortions. A lot of interesting things. In this first video, we focus on the BSM theorem. Topics: 00:00 I
From playlist Financial Mathematics
QRM L1-2: The dimensions of risk and friends
Welcome to Quantitative Risk Management (QRM). In this second video, we analyse the dimensions of risk. Risk is in fact an object that we need to consider from different points of view, and that sometimes we cannot even quantify. We will also discuss the importance of statistical thinking
From playlist Quantitative Risk Management