Коллектив авторов

 
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Derivatives Analytics with Python. Data Analysis, Models, Simulation, Calibration and Hedging
Коллектив авторов, Derivatives Analytics with Python. Data Analysis, Models, Simulation, Calibration and Hedging

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

Аннотация.
This book is the finance professional s guide to exploiting Python s capabilities for efficient and performing derivatives analytics, 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, 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.

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, 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.

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, 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.

Автор: Коллектив авторов.
Жанр книги: Всё о бизнесе.
Объем: 377 стр.
Возрастное ограничение: 0+
Общее кол-во страниц: 377
Правообладатель: John Wiley & Sons Limited

 
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