Derivatives analytics with Python By John Willey

Derivative Analytics – About The E-Book

Title – Derivatives Analytics with Python: data analysis, models, And More
Author – John Wiley
Total Pages – 377 Pages
Total Chapters – 14 Chapters
File Size – 7 MBs

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

Book Contents

1.1 Market-Based Valuation 1
1.2 Structure of the Book 2
1.3 Why Python? 3
1.4 Further Reading 4
And More

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Derivatives analytics – Example Pages