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Derivatives Analytics with Python

Data Analysis, Models, Simulation, Calibration and Hedging

Derivatives Analytics with Python Image

Book Details:

Publisher:John Wiley & Sons
Series: Wiley
Author:Yves Hilpisch
Edition:1
ISBN-10:1119037999
ISBN-13:9781119037996
Pages:376
Published:Jul 10 2015
Posted:Mar 29 2016
Language:English
Book format:PDF
Book size:6.47 MB

Book Description:

Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement marketconsistent 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. Youll find and use selfcontained Python scripts and modules and learn how to apply 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, riskneutral 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 features all 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 professionals guide to exploiting Pythons capabilities for efficient and performing derivatives analytics. Reproduce major stylized facts of equity and options markets yourself 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 onetenth of the code or even less. Derivatives Analytics with Python Data Analysis, Models, Simulation, Calibration and Hedging shows you what you need to know to supercharge your derivatives and risk analytics efforts.

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