﻿ Financial Engineering Videos

# Financial Engineering

• ### Regression #3: Standard Error in Linear Regression

A simple (two-variable) regression has three standard errors: one for each coefficient (slope, intercept) and one for the predicted Y (standard error of regression).While the population regression function (PRF) is singular, sample regression functions (S

• ### EWMA versus GARCH(1,1) volatility

This is a side-by-side comparison of EWMA and GARCH(1,1) to show their similarities (i.e., both are conditional estimates that give greater weight to more recent returns) and isolate on the key difference (GARCH adds mean reversion).You can get a copy of

• ### Lagrangian Multiplier Method

This is a brief video on constrained minimization using Lagrangian Multipliers

• ### Treynor-Black Model: Excel

This video demonstrates the implementation of the Treynor-Black Model in Excel

• ### The Black-Litterman Model: Part 1

The video discusses the intuition and formula of the Black-Litterman asset allocation model

• ### Intro to Quant Finance: Square root rule

Volatility (and parametric VaR) scale by the square root of time. A convenient rule, but it requires assumptions that are immediately voilated

• ### Brownian Motion (Wiener process)

Financial Mathematics 3.0 - Brownian Motion (Wiener process) applied to Finance

• ### Lecture 6: Pricing Options with Monte Carlo

Lecturer: Prof. Shimon BenningaWe show how to price Asian and barrier options using MC. A starting point is an extended example of how to use MC to price plain vanilla calls. This example illustrates the basic principles of MC pricing for options.

• ### Lecture 5: Introduction to Monte Carlo in Finance

Lecturer: Prof. Shimon BenningaTel Aviv University2.8.11

• ### Lecture 4: Random Numbers; Binomial Model

Lecturer: Prof. Shimon BenningaTel Aviv University26.7.11

• ### Lecture 3: Black-Litterman Model

Lecturer: Prof. Shimon BenningaTel Aviv University19.7.11