15 minutes ago was reading the last chapter of Shreve's 2nd volume on stochastic calculus for finance and trying to understand the Itô's lemma for jump processes, and quantpie is here. Just on time ;) Thank you a lot for your content, it is a real piece of diamond!
@@quantpie Miss your uploads friend :). Can't wait for more. Did we ever cover Gyöngy’s theorem (markovian projections) anywhere? I'm hoping to see more implementation videos at some point in the future for the advanced material not covered elsewhere. As always, thanks for these great videos, they've been extremely inspiring and assistive.
Hi Brian, apologies for the radio silence! Hope you have been keeping well. A bit of high priority projects kept us quiet! Yes briefly in one of the stochastic vol videos (not proof of the theorem). More uploads to follow - not long now, we have a long inventory to publish! Also you should see more news coming your way!
Thanks alot for this interesting video Really you are very talented person and I wish if you continue posting videos related to jump diffusion models and how to implement them in python and try also to solve them numerically using Euler Maryuma method Thanks alot again
Hi! Some months ago I had asked if it is possible for you to provide PDFs/Lectures Notes/Slides from your animations. I don't know if this is too much work for you but if it is in ANY way possible for you to provide it, that would be really great. Thank you very much in advance!
Thanks Benjamin! A very Happy New Year to you! Yes you did ask, and we shared a few but then stopped! Could you list 3-5 videos whose content you would like to see in a non-animated format please?
15 minutes ago was reading the last chapter of Shreve's 2nd volume on stochastic calculus for finance and trying to understand the Itô's lemma for jump processes, and quantpie is here. Just on time ;) Thank you a lot for your content, it is a real piece of diamond!
Are you ok to share which page/concept/theorem number, this video is relevant for in chapter 11?
Thank you
thank you Dmitry! You're welcome!!
Excellent. Very nice to see a return to some Stochastic theory.
thanks Brian!
@@quantpie Miss your uploads friend :). Can't wait for more. Did we ever cover Gyöngy’s theorem (markovian projections) anywhere? I'm hoping to see more implementation videos at some point in the future for the advanced material not covered elsewhere. As always, thanks for these great videos, they've been extremely inspiring and assistive.
Hi Brian, apologies for the radio silence! Hope you have been keeping well. A bit of high priority projects kept us quiet! Yes briefly in one of the stochastic vol videos (not proof of the theorem). More uploads to follow - not long now, we have a long inventory to publish! Also you should see more news coming your way!
Here is the Gyongy's lemma: th-cam.com/video/y4B4wSnXg6E/w-d-xo.html
Can't wait for your next video my friend!
thanks @Wei Xing! Apologies for not uploading more frequently! It should not be long now!
At 5:39, why you only used Taylor series in 1 variable, but not both variables (N_t and t)? Thank you so much!
Many thanks for the great question @Hung Duong. That is the main trick- derivative wrt N is quite a tricky thing!
Thanks alot for this interesting video
Really you are very talented person and I wish if you continue posting videos related to jump diffusion models and how to implement them in python and try also to solve them numerically using Euler Maryuma method
Thanks alot again
Hi! Some months ago I had asked if it is possible for you to provide PDFs/Lectures Notes/Slides from your animations. I don't know if this is too much work for you but if it is in ANY way possible for you to provide it, that would be really great. Thank you very much in advance!
Thanks Benjamin! A very Happy New Year to you! Yes you did ask, and we shared a few but then stopped! Could you list 3-5 videos whose content you would like to see in a non-animated format please?
@@quantpie Thank you very much for answering this. Everything from the series "Stochastic Calculus and SDEs" would be great.