How Mean Returns Lie: Itô's Lemma (2nd form), GBM, & Volatility Drag | Stochastic Calculus ep.4
#math #probability #statistics #StochasticProcesses #StochasticCalculus #StochCalc #finance #quant 00:00 - 01:39 Introduction 01:39 - 05:27 GBM, definition, interpretation, and simulations 05:27 - 06:47 Itô SDE, general form 06:47 - 09:31 Main Results 09:31 - 12:03 Derivation of Itô's Lemma (2nd form) 12:03 - 14:15 Itô's Lemma special case, interpretation of Itô drift correction 14:15 - 16:10 Solution to GBM 16:10 - 20:26 Volatility drag explained: typical trajectory vs mean return Reference: Introduction to Stochastic Calculus with Applications, Gregory Lawler (available for free): https://www.math.uchicago.edu/~lawler... Slides: https://docs.google.com/presentation/...
▶︎
Itô integrals: an Intuitive Introduction | Stochastic Calculus ep.1
▶︎
But what is the Central Limit Theorem?
▶︎
The Greatest Unsolved Problem In Mathematics
▶︎
How Maxwell's Equations Were Discovered
▶︎
Probability and Statistics problem session (and chat)
▶︎
The Insane Genius of a Formula 1 Gearbox
▶︎
Why Brownian Motion Needs a New Calculus (dW^2 = dt) | Stochastic Calculus ep. 2
▶︎
Fastest Protocol to Erase VISCERAL FAT (Doctor Explains)
▶︎
Inside West Virginia's Most Remote Holler
▶︎
I Was An MIT Educated Neurosurgeon Now I'm Unemployed And Alone In The Mountains How Did I Get Here?
▶︎
The ASML Replacement Nobody Saw Coming
▶︎
Eigenvectors and eigenvalues | Chapter 14, Essence of linear algebra
▶︎
Magnus Teaches the London System (to every Elo)
▶︎
What is the Riemann Hypothesis REALLY about?
▶︎
The most beautiful formula not enough people understand
▶︎
Conditional Expectations Are Just Projections
▶︎
The problem with pretending quantum mechanics makes sense | Sean Carroll
▶︎
Trump's Concert Turns Into Total Disaster, He Brags About Health Exam & Spencer Pratt's Mayoral Ads
▶︎
When Stupid Cops Mess With FBI Agent
▶︎