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Derivatives Analytics with Python - Data Analysis, Models, Simulation, Calibration and Hedging (Hardcover)
Loot Price: R1,872
Discovery Miles 18 720
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Derivatives Analytics with Python - Data Analysis, Models, Simulation, Calibration and Hedging (Hardcover)
Expected to ship within 12 - 17 working days
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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 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, 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 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 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. 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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