Hilpisch Derivatives Analytics with Python

Data Analysis, Models, Simulation, Calibration and Hedging
1. Auflage 2015
ISBN: 978-1-119-03800-9
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 376 Seiten, E-Book

Reihe: Wiley Finance

Supercharge options analytics and hedging using the power ofPython
Derivatives Analytics with Python shows you how toimplement market-consistent valuation and hedging approaches usingadvanced financial models, efficient numerical techniques, and thepowerful capabilities of the Python programming language. Thisunique guide offers detailed explanations of all theory, methods,and processes, giving you the background and tools necessary tovalue stock index options from a sound foundation. You'll find anduse self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as youbenefit from the 5,000+ lines of code that are provided to help youreproduce the results and graphics presented. Coverage includesmarket data analysis, risk-neutral valuation, Monte Carlosimulation, model calibration, valuation, and dynamic hedging, withmodels that exhibit stochastic volatility, jump components,stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution andautomation.
Python is gaining ground in the derivatives analytics space,allowing institutions to quickly and efficiently deliver portfolio,trading, and risk management results. This book is the financeprofessional's guide to exploiting Python's capabilities forefficient and performing derivatives analytics.
* Reproduce major stylized facts of equity and options marketsyourself
* Apply Fourier transform techniques and advanced Monte Carlopricing
* Calibrate advanced option pricing models to market data
* Integrate advanced models and numeric methods to dynamicallyhedge options
Recent developments in the Python ecosystem enable analysts toimplement analytics tasks as performing as with C or C++, but usingonly about one-tenth of the code or even less. DerivativesAnalytics with Python -- Data Analysis, Models, Simulation,Calibration and Hedging shows you what you need to know tosupercharge your derivatives and risk analytics efforts.

Autoren/Hrsg.

Hilpisch, Yves

Über Autor(innen)

YVES HILPISCH is founder and Managing Partner of The Python Quants a group that focuses on Python & Open Source Software for Quantitative Finance. Yves is also a Computational Finance Lecturer on the CQF Program. He works with clients in the financial industry around the globe and has ten years of experience with Python. Yves is the organizer of Python and Open Source for Quant Finance conferences and meetup groups in Frankfurt, London and New York City.