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Financial Engineering


  • 09:57 Popular Regression #3: Standard Error in Linear Regression

    Regression #3: Standard Error in Linear Regression

    by Admin Added 109 Views / 0 Likes

    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

  • 09:55 Popular EWMA versus GARCH(1,1) volatility

    EWMA versus GARCH(1,1) volatility

    by Admin Added 198 Views / 0 Likes

    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

  • 10:27 Popular Lagrangian Multiplier Method

    Lagrangian Multiplier Method

    by Admin Added 124 Views / 0 Likes

    This is a brief video on constrained minimization using Lagrangian Multipliers

  • 26:46 Popular Treynor-Black Model: Excel

    Treynor-Black Model: Excel

    by Admin Added 224 Views / 0 Likes

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

  • 26:08 Popular The Black-Litterman Model: Part 1

    The Black-Litterman Model: Part 1

    by Admin Added 160 Views / 0 Likes

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

  • 09:50 Popular Intro to Quant Finance: Square root rule

    Intro to Quant Finance: Square root rule

    by Admin Added 110 Views / 0 Likes

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

  • 39:09 Popular Brownian Motion (Wiener process)

    Brownian Motion (Wiener process)

    by Admin Added 115 Views / 0 Likes

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

  • 2:06:50 Lecture 6:  Pricing Options with Monte Carlo

    Lecture 6: Pricing Options with Monte Carlo

    by Admin Added 87 Views / 0 Likes

    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.

  • 2:22:29 Popular Lecture 5: Introduction to Monte Carlo in Finance

    Lecture 5: Introduction to Monte Carlo in Finance

    by Admin Added 124 Views / 0 Likes

    Lecturer: Prof. Shimon BenningaTel Aviv University2.8.11

  • 2:12:27 Popular Lecture 4: Random Numbers; Binomial Model

    Lecture 4: Random Numbers; Binomial Model

    by Admin Added 137 Views / 0 Likes

    Lecturer: Prof. Shimon BenningaTel Aviv University26.7.11

  • 2:17:12 Popular Lecture 3: Black-Litterman Model

    Lecture 3: Black-Litterman Model

    by Admin Added 113 Views / 0 Likes

    Lecturer: Prof. Shimon BenningaTel Aviv University19.7.11

  • 2:10:40 Popular Lecture 2:  Computing Efficient Portfolios

    Lecture 2: Computing Efficient Portfolios

    by Admin Added 135 Views / 0 Likes

    Lecturer: Prof. Shimon BenningaTel Aviv University12.7.11

  • 2:43:01 Lecture 1: Portfolio Choice with Multiple Assets

    Lecture 1: Portfolio Choice with Multiple Assets

    by Admin Added 83 Views / 0 Likes

    Lecturer: Prof. Shimon BenningaTel Aviv University5.7.11

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