Derivatives Analytics with Python: Data Analysis, Models, by Yves Hilpisch

By Yves Hilpisch

Supercharge techniques analytics and hedging utilizing the facility of Python

Derivatives Analytics with Python exhibits you the way to enforce market-consistent valuation and hedging methods utilizing complex monetary versions, effective numerical innovations, and the strong services of the Python programming language. This exact advisor deals distinct reasons of all conception, tools, and strategies, supplying you with the heritage and instruments essential to worth inventory index recommendations from a legitimate beginning. You'll locate and use self-contained Python scripts and modules and methods to practice Python to complex information and derivatives analytics as you enjoy the 5,000+ traces of code which are supplied that will help you reproduce the implications and images offered. assurance contains industry info research, risk-neutral valuation, Monte Carlo simulation, version calibration, valuation, and dynamic hedging, with types that convey stochastic volatility, leap elements, stochastic brief premiums, and extra. The better half site beneficial properties all code and IPython Notebooks for fast execution and automation.

Python is gaining floor within the derivatives analytics house, permitting associations to quick and successfully bring portfolio, buying and selling, and threat administration effects. This publication is the finance professional's advisor to exploiting Python's features for effective and appearing derivatives analytics.

Reproduce significant stylized proof of fairness and suggestions markets yourself
follow Fourier rework suggestions and complex Monte Carlo pricing
Calibrate complex choice pricing types to industry data
combine complex versions and numeric the right way to dynamically hedge options

Recent advancements within the Python environment let analysts to enforce analytics projects as appearing as with C or C++, yet utilizing basically approximately one-tenth of the code or maybe much less. Derivatives Analytics with Python — info research, versions, Simulation, Calibration and Hedging exhibits you what you want to understand to supercharge your derivatives and possibility analytics efforts.

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Extra resources for Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging

Example text

Economic risks This book focuses on economic risks only since accounting issues are highly dependent on the concrete reporting standards and may therefore vary from country to country. In that sense, the perspective of this book is cash flow driven and intentionally neglects accounting issues. The approach is that of arbitrage or risk-neutral pricing/hedging as comprehensively explained in Bj¨ork (2004) for models with continuous price processes and in Cont and Tankov (2004a) for models where price processes may jump.

4. e. 5 OPTION MARKETS This section now turns to options markets, in particular to bid/ask spreads in these markets and implied volatilities. 10 These considerations are quite heuristic in nature and are lacking a sound conceptual grounding. For example, a central question is how to assess the distinct contributions of the jump and diffusion component, respectively, to observed index movements in a jump-diffusion model. Cf. Kl¨ossner (2010) for a survey of econometric tests for jumps in financial time series.

Yves J. data as web from GBM_returns import * # Read Data for DAX from the Web def read_dax_data(): ''' Reads historical DAX data from Yahoo! dropna() DAX return DAX def count_jumps(data, value): ''' Counts the number of return jumps as defined in size by value. py # # (c) Dr. Yves J. Hilpisch # from Hilpisch, Yves (2014): Python for Finance, O'Reilly. optimize import fsolve class call_option(object): ''' Class for European call options in BSM Model. T. days / 365. def d1(self): ''' Helper function.

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