Derivatives Analytics with Python - Data Analysis, Models, Simulation, Calibration and Hedging

Name: Derivatives Analytics with Python - Data Analysis, Models, Simulation, Calibration and Hedging
Brand: John Wiley & Sons Inc
SKU: 9781119037996
Price: 1727 CZK
Availability: InStock

Autor: Y Hilpisch

Jazyk:

Vazba: Pevná

Vydavatel: John Wiley & Sons Inc

Dostupnost: Skladem u dodavatele

Odesíláme za 10-18 dnů

1 727 Kč

Supercharge options analytics and hedging using the power of Python§§Derivatives Analytics with Pyth...

Informace o knize

Autor

Y Hilpisch

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2015

Stránek

374

EAN

9781119037996

ISBN

1119037999

Enbook ID

05335429

Vydavatel

John Wiley & Sons Inc

Hmotnost

804

Rozměry

179 x 253 x 29

Kompletní popis

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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Derivatives Analytics with Python - Data Analysis, Models, Simulation, Calibration and Hedging

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