Название: Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging
Автор: Yves Hilpisch
Издательство: John Wiley & Sons Ltd
Год: 2015
Формат: PDF
Страниц: 377
Размер: 11,47 MB
Язык: English

Supercharge options analytics and hedging using the power of Python

Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented. Coverage includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging, with models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution and automation.
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 finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics.

Reproduce major stylized facts of equity and options marketsyourself
Apply Fourier transform techniques and advanced Monte Carlo pricing
Calibrate advanced option pricing models to market data
Integrate advanced models and numeric methods to dynamically hedge options

Recent developments in the Python ecosystem enable analysts to implement analytics tasks as performing as with C or C++, but using only 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 to supercharge your derivatives and risk analytics efforts.