วีดีโอ

Dear Professor. Thank you for sharing your insights and knowledge with us. I have been looking at asset pricing literature for quite some time but still lacked the required clarity. Your video brought me clarity on the concepts and even the methodology

great work🎉

Hi mate, just thought you might be interested that we found this effect in Australian stocks back in 2013. The reference is Bowers, Heaton (2013) "What Does High Dimensional Factor Analysis Tell us About Risk Factors in the Australian Stock Market", and it was published in Applied Economics (I'm the Bowers part of that - Colin T Bowers). I actually also found it in US stocks almost two decades ago as part of a Masters research thesis. Interesting to see the effect is still alive and well today! I always felt like there was more to say about the fact that these methods always find the equal-weighted is a better fit than the value-weighted, which contradicts what classical portfolio theory tells us we should see. I never got around to looking in it further though.

WOw,thank you so much

Could you elaborate on the third reason the Ito integral is important in finance? Thanks. (I didn't get the part about holdings/innovations etc.)

After I finished this entire playlist does it mean I will qualify to become quant

respeced sir solution?

Why can we write Sigma tilde as P’xSigmaxP? 5:34

You are so bad at communicating with laymen then you will absolutely, never, never grow your channel to 100,000 subs. You have to stop explaining as if you are talking to experts. Experts wouldn't care because they already know this stuff.

Peace be upon you. Please send me books related to the subject. Thank you.

Peace be upon you. Please send me books related to the subject. Thank you.

This is so based

You said that half of the financial risk management literature is written using stochastic calculus, what is the other half written using?

nice

Subtitle your video or enable automatic subtitles

ضع ترجمة على الفيديو يا محترم

Thanks very much for the wonderful videos. What is an ITO process?

Hello ... I'm an electronics engineer trying to enter in to finance. I'm exploring all the solutions that I can. So I came across with your channel, it seems great content! I've seen that you did some videos on Kalman, however this type of filter is applicable only to gaussian distributions, which is not the case for the majority of the instruments/assets. Did you know if the finance industry explored/uses Particle Filters or Sequential Monte Carlo as an alternative to Kalman filters? ... Another questions, but this one regarding Factors I've seen that you use PCA, but again for that you need to assume several things on your data and the main one is that the several parameters (factors) that you are trying to apply reduction are linearly related. Did you've tried anything rather than PCA? thanks. Regards Daniel

It makes sense to say that increments of W_t are not only pairwise independent.

Thank you!

Can you provide some examples or link for the use of fubini's trick, used for integrating stochastic integral.

That is an error in the data. as simple as that. I have checked it in other sources. These jumps didn't occur in that period.

Is that possible to extract what is the weight of stocks for the first pc?

and this is what's behind the algorithm of current popular AI image generative model. (I am serious)

Dr. Ulrich, I really appreciate your pedagogical approach--not too theoretical but still mathematically rigorous and hands-on. Are slides you present in these videos available anywhere? Regards, Nathan

Great explanation! Thank you

before I found this course, I was scared by "stochastic calculus" I was like what does that even mean? then I came across with this baby course, I am like ahh! it is differential equation i did in my uni course but the answer is pdf rather than a normal equation! much clearer, simpler, great introduction to stochastic calculus for a newbie like me :) thank you so much!

you are speaking very low even i can't hear you properly in earbuds

Hey do you know of any good books on learning stochastic calculus?

Very Detailed Information and video! Thank you!

Brilliant! Thank you!

Great video

4:39 what the video name is? I cannot find separable Ito SDE viedo in your channel..

The volume is way too low

That biscuit line really got me!

Great lecture! Thanks!

such a good motivation from ODE to SDE

Hi

Thank you Sir

Very clear explanation.

Thanks so much for this awesome work. Though I have a question which is abit outside this context. What is the behavior when two independent stochastic differential equations are multiplied?

5:27 Did you mean that r_1^tilda conditioned on F_0 follows the distribution on the RHS? I'm more used to seeing ~ than a =

Thank you soo much for this, I was looking all over the internet but could not find such a simple & logical explanation of SDE...

Subscribed, liked and appreciated. Thank you

I noticed that too. Sometimes the decimal point in their data is shifted by one on some days, thus giving a huge change in one direction and on the next day an equally large change back to the original value. Other times the faulty data is a bit random. I assume you are using yfinance, which might also be the culprit and not yahoo itself. However, I still did not find a reliable method to correct for this. If you do, let me know :)

supi tnx

The fonts are really small. Might be helpful if we can get access to the notebooks.

can we get access to the notebooks?

May I know your references?

The intuition was so helpful.