By Yves Hilpisch
Derivatives Analytics with Python exhibits you the way to enforce market-consistent valuation and hedging methods utilizing complex monetary versions, effective numerical recommendations, and the robust services of the Python programming language. This designated consultant bargains exact factors of all thought, equipment, and strategies, providing you with the history and instruments essential to worth inventory index ideas from a legitimate beginning. you can find and use self-contained Python scripts and modules and methods to follow Python to complex facts and derivatives analytics as you enjoy the 5,000+ traces of code which are supplied that will help you reproduce the implications and images awarded. assurance contains industry information research, risk-neutral valuation, Monte Carlo simulation, version calibration, valuation, and dynamic hedging, with types that convey stochastic volatility, bounce parts, stochastic brief charges, and extra. The better half site positive factors all code and IPython Notebooks for instant execution and automation.
Python is gaining floor within the derivatives analytics area, permitting associations to speedy and successfully bring portfolio, buying and selling, and possibility administration effects. This e-book is the finance professional's advisor to exploiting Python's services for effective and appearing derivatives analytics.
- Reproduce significant stylized proof of fairness and strategies markets yourself
- Apply Fourier remodel strategies and complex Monte Carlo pricing
- Calibrate complex choice pricing types to marketplace data
- Integrate complex types and numeric ways to dynamically hedge options
Recent advancements within the Python surroundings permit analysts to enforce analytics initiatives as appearing as with C or C++, yet utilizing in basic terms approximately one-tenth of the code or maybe much less. Derivatives Analytics with Python — facts research, versions, Simulation, Calibration and Hedging exhibits you what you want to recognize to supercharge your derivatives and probability analytics efforts.
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