Derivatives analytics with Python : data analysis, models, simulation, calibration and hedging /
"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 progr...
| Κύριος συγγραφέας: | |
|---|---|
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken :
Wiley,
2015.
|
| Έκδοση: | 1 |
| Σειρά: | Wiley finance series.
|
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Series; Title page; Copyright; Preface; Chapter 1: A Quick Tour; 1.1 Market-Based Valuation; 1.2 Structure of the Book; 1.3 Why Python?; 1.4 Further Reading; Notes; Part One: The Market; Chapter 2: What is Market-Based Valuation?; 2.1 Options and their Value; 2.2 Vanilla vs. Exotic Instruments; 2.3 Risks Affecting Equity Derivatives; 2.4 Hedging; 2.5 Market-Based Valuation as a Process; Notes; Chapter 3: Market Stylized Facts; 3.1 Introduction; 3.2 Volatility, Correlation and Co.; 3.3 Normal Returns as the Benchmark Case; 3.4 Indices and Stocks; 3.5 Option Markets; 3.6 Short Rates
- 3.7 Conclusions3.8 Python Scripts; Notes; Part Two: Theoretical Valuation; Chapter 4: Risk-Neutral Valuation; 4.1 Introduction; 4.2 Discrete-Time Uncertainty; 4.3 Discrete Market Model; 4.4 Central Results in Discrete Time; 4.5 Continuous-Time Case; 4.6 Conclusions; 4.7 Proofs; Notes; Chapter 5: Complete Market Models; 5.1 Introduction; 5.2 Black-Scholes-Merton Model; 5.3 Greeks in the BSM Model; 5.4 Cox-Ross-Rubinstein Model; 5.5 Conclusions; 5.6 Proofs and Python Scripts; Notes; Chapter 6: Fourier-Based Option Pricing; 6.1 Introduction; 6.2 The Pricing Problem; 6.3 Fourier Transforms
- 6.4 Fourier-Based Option Pricing6.5 Numerical Evaluation; 6.6 Applications; 6.7 Conclusions; 6.8 Python Scripts; Chapter 7: Valuation of American Options by Simulation; 7.1 Introduction; 7.2 Financial Model; 7.3 American Option Valuation; 7.4 Numerical Results; 7.5 Conclusions; 7.6 Python Scripts; Notes; Part Three: Market-Based Valuation; Chapter 8: A First Example of Market-Based Valuation; 8.1 Introduction; 8.2 Market Model; 8.3 Valuation; 8.4 Calibration; 8.5 Simulation; 8.6 Conclusions; 8.7 Python Scripts; Notes; Chapter 9: General Model Framework; 9.1 Introduction; 9.2 The Framework
- 9.3 Features of the Framework9.4 Zero-Coupon Bond Valuation; 9.5 European Option Valuation; 9.6 Conclusions; 9.7 Proofs and Python Scripts; Note; Chapter 10: Monte Carlo Simulation; 10.1 Introduction; 10.2 Valuation of Zero-Coupon Bonds; 10.3 Valuation of European Options; 10.4 Valuation of American Options; 10.5 Conclusions; 10.6 Python Scripts; Notes; Chapter 11: Model Calibration; 11.1 Introduction; 11.2 General Considerations; 11.3 Calibration of Short Rate Component; 11.4 Calibration of Equity Component; 11.5 Conclusions; 11.6 Python Scripts for Cox-Ingersoll-Ross Model; Notes
- Chapter 12: Simulation and Valuation in the General Model Framework12.1 Introduction; 12.2 Simulation of BCC97 Model; 12.3 Valuation of Equity Options; 12.4 Conclusions; 12.5 Python Scripts; Notes; Chapter 13: Dynamic Hedging; 13.1 Introduction; 13.2 Hedging Study for BSM Model; 13.3 Hedging Study for BCC97 Model; 13.4 Conclusions; 13.5 Python Scripts; Notes; Chapter 14: Executive Summary; Appendix A: Python in a Nutshell; A.1 Python Fundamentals; A.2 European Option Pricing; A.3 Selected Financial Topics; A.4 Advanced Python Topics; A.5 Rapid Financial Engineering; Notes; Bibliography; Index
