Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging (The Wiley Finance Series)

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Description

Supercharge options analytics and hedging the usage of the power of Python

Derivatives Analytics with Python shows you how you can enforce market-consistent valuation and hedging approaches the usage of 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 be able to find and use self-contained Python scripts and modules and discover ways to apply Python to advanced data and derivatives analytics as you get pleasure from the 5,000+ lines of code that are provided that can assist 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 web page 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 professional’s guide to exploiting Python’s capabilities for efficient and performing derivatives analytics.

  • Reproduce major stylized facts of equity and options markets yourself
  • Apply Fourier grow to be techniques and advanced Monte Carlo pricing
  • Calibrate advanced option pricing models to market data
  • Integrate advanced models and numeric how one can dynamically hedge options

Recent developments in the Python ecosystem enable analysts to enforce analytics tasks as performing as with C or C++, but the usage of only about one-tenth of the code or even less. Derivatives Analytics with Python — Data Analysis, Models, Simulation, Calibration and Hedging shows you what you want to know to supercharge your derivatives and risk analytics efforts.

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