Price: $120.30
—
Supercharge your options analytics and hedging capabilities with Python Derivatives Analytics. This comprehensive guide helps you implement market-consistent valuation and hedging strategies using advanced financial models, efficient numerical techniques, and the robust capabilities of the Python programming language.
The book provides in-depth explanations of all the theories, methods, and processes, equipping you with the knowledge and tools necessary to value stock index options from a solid foundation. It includes self-contained Python scripts and modules, teaching you how to apply Python to advanced data and derivatives analytics. With over 5,000 lines of code provided, you can easily reproduce the results and graphics presented in the book.
The coverage of the book includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging. It features models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website provides all code and IPython Notebooks for immediate execution and automation.
Python is increasingly being used in the derivatives analytics space, allowing institutions to deliver portfolio, trading, and risk management results quickly and efficiently. This book serves as the definitive guide for finance professionals looking to leverage Python’s capabilities for high-performing derivatives analytics.
Key Features:
– 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 advancements in the Python ecosystem enable analysts to implement analytics tasks as efficiently as with C or C++, but using only a fraction of the code. Python Derivatives Analytics – Data Analysis, Models, Simulation, Calibration and Hedging is the resource you need to enhance your derivatives and risk analytics capabilities.
—