"Data-Driven Optimization in Pricing and Revenue Management" by Arnoud den Boer - Lecture 1
In this course we will study data-driven decision problems: optimization problems for which the relation between decision and outcome is unknown upfront, and thus has to be learned on-the-fly from accumulating data. This type of problems has an intrinsic tension between statistical goals a
From playlist Thematic Program on Stochastic Modeling: A Focus on Pricing & Revenue Management
Basic stochastic simulation b: Stochastic simulation algorithm
(C) 2012-2013 David Liao (lookatphysics.com) CC-BY-SA Specify system Determine duration until next event Exponentially distributed waiting times Determine what kind of reaction next event will be For more information, please search the internet for "stochastic simulation algorithm" or "kin
From playlist Probability, statistics, and stochastic processes
Prob & Stats - Markov Chains (8 of 38) What is a Stochastic Matrix?
Visit http://ilectureonline.com for more math and science lectures! In this video I will explain what is a stochastic matrix. Next video in the Markov Chains series: http://youtu.be/YMUwWV1IGdk
From playlist iLecturesOnline: Probability & Stats 3: Markov Chains & Stochastic Processes
"Data-Driven Optimization in Pricing and Revenue Management" by Arnoud den Boer - Lecture 3
In this course we will study data-driven decision problems: optimization problems for which the relation between decision and outcome is unknown upfront, and thus has to be learned on-the-fly from accumulating data. This type of problems has an intrinsic tension between statistical goals a
From playlist Thematic Program on Stochastic Modeling: A Focus on Pricing & Revenue Management
“Data-Driven Pricing” – Prof. Omar Besbes
Pricing is central to many industries and academic disciplines ranging from Operations Research to Economics and Computer Science. At the heart of pricing lies a fundamental informational dimension regarding the level of knowledge about customers' values. In practice, the latter comes from
From playlist Thematic Program on Stochastic Modeling: A Focus on Pricing & Revenue Management
Applied Portfolio Management - Video 4 - Fixed Income Asset Management
All slides are available on my Patreon page: https://www.patreon.com/PatrickBoyleOnFinance Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest
From playlist Applied Portfolio Management
Dr Lukasz Szpruch, University of Edinburgh
Bio I am a Lecturer at the School of Mathematics, University of Edinburgh. Before moving to Scotland I was a Nomura Junior Research Fellow at the Institute of Mathematics, University of Oxford, and a member of Oxford-Man Institute for Quantitative Finance. I hold a Ph.D. in mathematics fr
From playlist Short Talks
[T1 2022] Sebastian Schreiber - Coevolution of habitat choice in a stochastic world
Joint work with Alex Hening and Dang Nguyen. Species live and interact in patchy landscapes where environmental conditions vary both in time and space. In the face of this spatial-temporal heterogeneity, species may co-evolve how they select habitat patches. Under equilibrium conditions,
From playlist [T1 2022] Workshop - Mathematical models in ecology and evolution - March 21st to 25th, 2022
Paolo Guasoni, Lesson II - 19 december 2017
QUANTITATIVE FINANCE SEMINARS @ SNS PROF. PAOLO GUASONI TOPICS IN PORTFOLIO CHOICE
From playlist Quantitative Finance Seminar @ SNS
George Papanicolaou: Stochastic Analysis in Finance
This lecture was held at The University of Oslo, May 24, 2007 and was part of the Abel Prize Lectures in connection with the Abel Prize Week celebrations. Program for the Abel Lectures 2007 1. “A Short History of Large Deviations” by Srinivasa Varadhan, Abel Laureate 2007, Courant Ins
From playlist Abel Lectures
Fourteenth SIAM Activity Group on FME Virtual Talk
Speakers: Damir Filipovic, EPFL and Swiss Finance Institute Title: A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems Moderator: Rene Carmona, Princeton University
From playlist SIAM Activity Group on FME Virtual Talk Series
Options (Lecture 2) by Shashi Jain
Program Summer Research Program on Dynamics of Complex Systems ORGANIZERS: Amit Apte, Soumitro Banerjee, Pranay Goel, Partha Guha, Neelima Gupte, Govindan Rangarajan and Somdatta Sinha DATE : 15 May 2019 to 12 July 2019 VENUE : Madhava hall for Summer School & Ramanujan hall f
From playlist Summer Research Program On Dynamics Of Complex Systems 2019
FinMath L3-1: The Ito-Doeblin formula and the basics of math finance
Welcome to Lesson 3 of Financial Mathematics (Part 1). In this lesson we conclude our introductory discussion on the Ito integral, by addressing the (heuristics of the) Ito-Doeblin formula. Such a result will be very useful for us in the rest of the course. We then introduce important conc
From playlist Financial Mathematics
Paolo Guasoni, Lesson III - 20 december 2017
QUANTITATIVE FINANCE SEMINARS @ SNS PROF. PAOLO GUASONI TOPICS IN PORTFOLIO CHOICE
From playlist Quantitative Finance Seminar @ SNS
Francois Baccelli: High dimensional stochastic geometry in the Shannon regime
This talk will focus on Euclidean stochastic geometry in the Shannon regime. In this regime, the dimension n of the Euclidean space tends to infinity, point processes have intensities which are exponential functions of n, and the random compact of interest sets have diameters of order squa
From playlist Workshop: High dimensional spatial random systems
Fin Math L5-3: Towards Black-Scholes-Merton
Welcome to the last part of Lesson 5. In this video we cover some last relevant topics to finally deal with the Black-Scholes-Merton theorem, which will be the starting point of all our pricing exercises. Here you can download the new chapter of the lecture notes: https://www.dropbox.com/s
From playlist Financial Mathematics
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
Ivan Guo: Stochastic Optimal Transport in Financial Mathematics
Abstract: In recent years, the field of optimal transport has attracted the attention of many high-profile mathematicians with a wide range of applications. In this talk we will discuss some of its recent applications in financial mathematics, particularly on the problems of model calibra
From playlist SMRI Seminars
Introduction to the paper https://arxiv.org/abs/2002.06707
From playlist Research