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Listed Volatility and Variance Derivatives : a Python-based Guide.
Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Somerset :
Wiley,
2016.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Hilpisch, Yves. | |
| 245 | 1 | 0 | |a Listed Volatility and Variance Derivatives : |b a Python-based Guide. |
| 260 | |a Somerset : |b Wiley, |c 2016. | ||
| 300 | |a 1 online resource (369 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Listed Volatility and Variance Derivatives; Contents; Preface; Part One Introduction to Volatility and Variance; Chapter 1 Derivatives, Volatility and Variance; 1.1 Option Pricing and Hedging; 1.2 Notions of Volatility and Variance; 1.3 Listed Volatility and Variance Derivatives; 1.3.1 The US History; 1.3.2 The European History; 1.3.3 Volatility of Volatility Indexes; 1.3.4 Products Covered in this Book; 1.4 Volatility and Variance Trading; 1.4.1 Volatility Trading; 1.4.2 Variance Trading; 1.5 Python as Our Tool of Choice; 1.6 Quick Guide Through the Rest of the Book. | |
| 505 | 8 | |a Chapter 2 Introduction to Python2.1 Python Basics; 2.1.1 Data Types; 2.1.2 Data Structures; 2.1.3 Control Structures; 2.1.4 Special Python Idioms; 2.2 NumPy; 2.3 matplotlib; 2.4 pandas; 2.4.1 pandas DataFrame class; 2.4.2 Input-Output Operations; 2.4.3 Financial Analytics Examples; 2.5 Conclusions; Chapter 3 Model-Free Replication of Variance; 3.1 Introduction; 3.2 Spanning with Options; 3.3 Log Contracts; 3.4 Static Replication of Realized Variance and Variance Swaps; 3.5 Constant Dollar Gamma Derivatives and Portfolios; 3.6 Practical Replication of Realized Variance. | |
| 505 | 8 | |a 3.7 VSTOXX as Volatility Index3.8 Conclusions; Part Two Listed Volatility Derivatives; Chapter 4 Data Analysis and Strategies; 4.1 Introduction; 4.2 Retrieving Base Data; 4.2.1 EURO STOXX 50 Data; 4.2.2 VSTOXX Data; 4.2.3 Combining the Data Sets; 4.2.4 Saving the Data; 4.3 Basic Data Analysis; 4.4 Correlation Analysis; 4.5 Constant Proportion Investment Strategies; 4.6 Conclusions; Chapter 5 VSTOXX Index; 5.1 Introduction; 5.2 Collecting Option Data; 5.3 Calculating the Sub-Indexes; 5.3.1 The Algorithm; 5.4 Calculating the VSTOXX Index; 5.5 Conclusions; 5.6 Python Scripts. | |
| 505 | 8 | |a 5.6.1 indexcollectoptiondata.py5.6.2 indexsubindexcalculation.py; 5.6.3 indexvstoxxcalculation.py; Chapter 6 Valuing Volatility Derivatives; 6.1 Introduction; 6.2 The Valuation Framework; 6.3 The Futures Pricing Formula; 6.4 The Option Pricing Formula; 6.5 Monte Carlo Simulation; 6.6 Automated Monte Carlo Tests; 6.6.1 The Automated Testing; 6.6.2 The Storage Functions; 6.6.3 The Results; 6.7 Model Calibration; 6.7.1 The Option Quotes; 6.7.2 The Calibration Procedure; 6.7.3 The Calibration Results; 6.8 Conclusions; 6.9 Python Scripts; 6.9.1 srdfunctions.py; 6.9.2 srdsimulationanalysis.py. | |
| 505 | 8 | |a 6.9.3 srdsimulationresults.py6.9.4 srdmodelcalibration.py; Chapter 7 Advanced Modeling of the VSTOXX Index; 7.1 Introduction; 7.2 Market Quotes for Call Options; 7.3 The SRJD Model; 7.4 Term Structure Calibration; 7.4.1 Futures Term Structure; 7.4.2 Shifted Volatility Process; 7.5 Option Valuation by Monte Carlo Simulation; 7.5.1 Monte Carlo Valuation; 7.5.2 Technical Implementation; 7.6 Model Calibration; 7.6.1 The Python Code; 7.6.2 Short Maturity; 7.6.3 Two Maturities; 7.6.4 Four Maturities; 7.6.5 All Maturities; 7.7 Conclusions; 7.8 Python Scripts; 7.8.1 srjdfwdcalibration.py. | |
| 500 | |a 7.8.2 srjdsimulation.py. | ||
| 520 | 8 | |a Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products. |b Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives. Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Derivative securities. | |
| 650 | 0 | |a Python (Computer program language) | |
| 650 | 6 | |a Instruments dérivés (Finances) | |
| 650 | 6 | |a Python (Langage de programmation) | |
| 650 | 7 | |a Derivative securities |2 fast | |
| 650 | 7 | |a Python (Computer program language) |2 fast | |
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| 776 | 0 | 8 | |i Print version: |a Hilpisch, Yves. |t Listed Volatility and Variance Derivatives : A Python-based Guide. |d Somerset : Wiley, ©2016 |z 9781119167914 |
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