Listed Volatility and Variance Derivatives: A Python-based Guide


Listed Volatility and Variance Derivatives: A Python-based Guide
by 作者: Yves Hilpisch
Series: Wiley Finance (Book 1)
Pages: 368 pages
Publisher Finelybook 出版社: Wiley; 1 edition (December 27,2016)
Language 语言: English
ISBN-10 书号: 1119167914
ISBN-13 书号: 9781119167914


Book Description
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 作者: 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 作者: 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.
Preface
Part One: Introduction to Volatility and Variance
Chapter 1: Derivatives,Volatility and Variance
Chapter 2: Introduction to Python
Chapter 3: Model-Free Replication of Variance
Part Two: Listed Volatility Derivatives
Chapter 4: Data Analysis and Strategies
Chapter 5: VSTOXX Index
Chapter 6: Valuing Volatility Derivatives
Chapter 7: Advanced Modeling of the VSTOXX Index
Chapter 8: Terms of the VSTOXX and its Derivatives
Part Three: Listed Variance Derivatives
Chapter 9: Realized Variance and Variance Swaps
Chapter 10: Variance Futures at Eurex
Chapter 11: Trading and Settlement
Part Four. DX Analytics
Chapter 12: DX Analytics-An Overview
Chapter 13: DX Analytics-Square-Root Diffusion
Chapter 14: DX Analytics -Square-Root Jump Diffusion
Bibliography
Index
EULA

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