Welcome to Quantitative Risk Management (QRM). There is so much confusion about tails, that it is time to clarify what we are speaking about. Heavy tails, long tails and fat tails are not the same thing from a statistical and probabilistic point of view. In mathematics we need to be preci
From playlist Quantitative Risk Management
Tail risk of contagious diseases: a conversation with Nassim Nicholas Taleb
In this conversation, Nassim and I speak about our paper on the tail risk of contagious diseases and other related things. The paper will be available here on Monday 25 at 5pm (CET): https://www.nature.com/articles/s41567-020-0921-x
From playlist Talks and Interviews
How Increasing Benefits Increases the Risk of Ruin
Explains why you do not decrease tail risks by increasing benefits, you decrease tail risk by decreasing tail risk. This is a very short exposition of a fallacy quite generalized, but particularly present in discussions concerning the benefits of GMO. Biologists dealing with probability ha
From playlist QUANT FINANCE TOPICS
CURRENT SPEC A-Level Maths Hypothesis Tests YOU MUST KNOW!
Binomial Hypothesis Testing 01:09 One Tail Test Less Than 04:42 One Tail Test Less Than Critical Region Method 08:21 One Tail Test Greater Than 12:22 One Tail Test Greater Than Critical Region Method 15:59 Two Tail Test 19:45 Two Tail Test Critical Region Method Sample Means Hypothesis Te
From playlist A-Level Maths Revision
MINI-LESSON 2: Fat Tails, a Very, Very Introductory Presentation.
What are Fat Tails? This is very introductory. See the whole book (gets technical beyond Chapter 5) https://researchers.one/articles/20.01.00018
From playlist MINI LECTURES IN PROBABILITY
One Tailed and Two Tailed Tests, Critical Values, & Significance Level - Inferential Statistics
This statistics video tutorial explains when you should use a one tailed test vs a two tailed test when solving problems associated with hypothesis testing. It all depends on the statement associated with the alternative hypothesis. This video also discusses the critical values and signi
From playlist Statistics
Tail risk of contagious diseases: a conversation with coauthor Pasquale Cirillo
Paper in Nature Physics on "the dog wags the tails", how pandemics are fat tailed and the implications. https://www.nature.com/articles/s41567-020-0921-x We also discuss the dangers of verbalistic users of statistical buzzwords without understanding probability s.a. BS vendor Philip Tetlo
From playlist TOPICS IN APPLIED PROBABILITY
Welcome to Quantitative Risk Management (QRM). In this lesson, we play with R to deal with VaR and ES. We show how to compute them empirically, but also in the case of normality. We then show that normality tends to underestimate tail risk, as observable in actual financial data. The pdf
From playlist Quantitative Risk Management
QRM 4-4: Tails in Data - Zipf Plot and Meplot
Welcome to Quantitative Risk Management (QRM). We close Lesson 4 by introducing some first tools for the graphical analysis of tails. We will deal with the exponential QQ-plot, the Zipf plot, the Fractality plot and the Meplot. More details will then follow in Lesson 5. Topics: 00:00 Int
From playlist Quantitative Risk Management
This is the video of my talk at the Conference on Complex Systems 2020 (CCS2020), in the satellite event organised by Alfredo J. Morales (MIT) and Rosa M. Benito (Technical University of Madrid). For privacy reasons, I have cut the video, not to show the pictures of the other participants
From playlist Talks and Interviews
The Volatility Smile - Options Trading Lessons
The volatility smile is a real-life pattern that is observed when different strikes of option, with the same underlying and same expiration date are plotted on a graph. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. htt
From playlist The Term Structure of Volatility
1.2.10 Error Detection and Correction
MIT 6.004 Computation Structures, Spring 2017 Instructor: Chris Terman View the complete course: https://ocw.mit.edu/6-004S17 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP62WVs95MNq3dQBqY2vGOtQ2 1.2.10 Error Detection and Correction License: Creative Commons BY-NC-S
From playlist MIT 6.004 Computation Structures, Spring 2017
QRM 5-1: Tails in Data - MS Plot and Concentration Profile
Welcome to Quantitative Risk Management (QRM). Let us continue our discussion about the graphical tools we can use to study tails. We will consider the very useful Max-to-Sum (MS) plot, able to tell us something about the existence of moments, and the Concentration Profile, another way of
From playlist Quantitative Risk Management
Fin Math L8-2: Conditions for the absence of arbitrage
Welcome to Financial Mathematics. In the second video of lesson 8 we consider some necessary conditions for the absence of arbitrage on the market. For example we discuss the Put-Call Parity, and the impossibility of having two (or more) risk-free assets. Topics: 00:00 Welcome 03:55 Uniq
From playlist Financial Mathematics
QUANTITATIVE FINANCE 2: We don't use Black-Scholes, the simpler derivation vindicating Bachelier.
How instead of using the limit of dt (dynamic hedging) one uses the limit of dK (static hedging, K is the strike) and one can use Bachelier's formula.
From playlist QUANT FINANCE TOPICS
3!=1+2+3 & n Factorial is not 1+...+n
New Merch at https://papaflammy.myteespring.co/ ! :D @Flammable Maths Two Help me create more free content! =) https://www.patreon.com/mathable Merch :v - https://papaflammy.myteespring.co/ https://www.amazon.com/shop/flammablemaths https://shop.spre
From playlist Number Theory
Interest rate parity applies cost of carry model (FRM T3-21)
[my xls is here https://trtl.bz/2uIVV9R] Interest rate parity applies the cost of carry (COC) model to enforce an equilibrium (indifference) between two choices: 1. translate the 1,000 EURs immediately at the spot FX rate, and subsequently grow them at the USD risk-free rate for two years;
From playlist Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
A conversation between Nassim Nicholas Taleb and Stephen Wolfram at the Wolfram Summer School 2021
Stephen Wolfram plays the role of Salonnière in this new, on-going series of intellectual explorations with special guests. Watch all of the conversations here: https://wolfr.am/youtube-sw-conversations Follow us on our official social media channels. Twitter: https://twitter.com/Wolfra
From playlist Conversations with Special Guests
One tailed test or two tailed test
How to decide if a hypothesis test should be a one-tailed test or a two-tailed test.
From playlist Hypothesis Tests and Critical Values
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Jake Xia This lecture focuses on portfolio management, including portfolio construction, portfolio theory, risk parity portfolios, and their limita
From playlist MIT 18.S096 Topics in Mathematics w Applications in Finance