Computational Finance: Lecture 11/14 (Hedging and Monte Carlo Greeks)

Computational Finance Lecture 11- Hedging and Monte Carlo Greeks ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ This course is based on the book: "Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ - Codes and the slides can be found at: https://github.com/LechGrzelak/Computational-Finance-Course - See https://quantfinancebook.com/ for more details and for additional materials. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 0:00 Introduction 3:56 Hedging with the Black-Scholes Model 36:13 Dynamic Hedging- Python Experiment 52:04 Hedging in Presence of Jumps 1:03:12 Delta, Gamma and Vega Hedging 1:17: 33 Monte Carlo Greeks: Finite Difference 1:22:33 Monte Carlo Greeks: Pathwise Sensitivities 1:38:40 Monte Carlo Greeks: Likelihood Ratio Method ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ CONTENT OF THIS COURSE: Lecture 1- Introduction and Overview of Asset Classes Lecture 2- Stock, Options and Stochastics Lecture 3- Option Pricing and Simulation in Python Lecture 4- Implied Volatility Lecture 5- Jump Processes Lecture 6- Affine Jump Diffusion Processes Lecture 7- Stochastic Volatility Models Lecture 8- Fourier Transformation for Option Pricing Lecture 9- Monte Carlo Simulation Lecture 10- Monte Carlo Simulation of the Heston Model ***** Lecture 11- Hedging and Monte Carlo Greeks Lecture 12- Forward Start Options and Model of Bates Lecture 13- Exotic Derivatives Lecture 14- Summary ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ #ComputationalFinance, #Python, #QuantitativeFinance, #FinancialMathematics, #MonteCarloSimulation, #OptionPricing, #Finance, #DerivativePricing, #BlackScholes, #FreeCourse, #FinancialEngineering, #Hedging, #Simulation, #Options