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008 150330s2015 njua b 001 0 eng
010 _a 2015010191
040 _aDLC
_beng
_erda
_cDLC
_dBTCTA
_dBDX
_dYDXCP
_dOCLCF
_dCDX
_dKSU
_dGSU
_dSTF
_dOCLCQ
019 _a925506979
_a932158749
020 _a9781119037996
_q(hardback)
035 _a(OCoLC)892890170
_z(OCoLC)925506979
_z(OCoLC)932158749
042 _apcc
050 0 0 _aHG6024.A3
_b.H56 2015
082 0 0 _a332.64/5702855133
_223
100 1 _aHilpisch, Yves J.
245 1 0 _aDerivatives analytics with Python :
_bdata analysis, models, simulation, calibration and hedging /
_cYves Hilpisch.
264 1 _aChichester :
_bWiley,
_c2015.
300 _axvii, 356 pages :
_billustrations ;
_c25 cm.
336 _atext
_btxt
_2rdacontent
337 _aunmediated
_bn
_2rdamedia
338 _avolume
_bnc
_2rdacarrier
490 1 _aThe Wiley finance series
504 _aIncludes bibliographical references (pages 341-345) and index.
520 _a"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 programming language. 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. 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. 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. 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. This book is the finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics. 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. 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"--
_cProvided by publisher.
505 0 _a1. A quick tour -- 2. What is market-based valuation? -- 3. Market stylized facts -- 4. Risk-neutral valuation -- 5. Complete market models -- 6. Fourier-based option pricing -- 7. Valuation of American options by simulation -- 8. A first example of market-based valuation -- 9. General model framework -- 10. Monte Carlo simulation -- 11. Model calibration -- 12. Simulation and valuation in the general model framework -- 13. Dynamic hedging -- 14. Executive summary -- Appendix A. Python in a nutshell.
650 0 _aDerivative securities.
650 0 _aHedging (Finance)
650 0 _aPython (Computer program language)
650 7 _aDerivative securities.
_2fast
_0(OCoLC)fst00891019
650 7 _aHedging (Finance)
_2fast
_0(OCoLC)fst00954458
650 7 _aPython (Computer program language)
_2fast
_0(OCoLC)fst01084736
776 0 8 _iOnline version:
_aHilpisch, Yves J.
_tDerivatives analytics with Python.
_b1.
_dHoboken : Wiley, 2015
_z9781119037934
_w(DLC) 2015013871
830 0 _aWiley finance series.
856 4 2 _3Cover image
_uhttp://catalogimages.wiley.com/images/db/jimages/9781119037996.jpg
938 _aBrodart
_bBROD
_n111159857
938 _aBaker and Taylor
_bBTCP
_nBK0015795274
938 _aCoutts Information Services
_bCOUT
_n29645426
938 _aYBP Library Services
_bYANK
_n12046402
029 1 _aAU@
_b000054667350
942 _cBOOK
994 _aZ0
_bSUPMU
948 _hNO HOLDINGS IN SUPMU - 42 OTHER HOLDINGS
856 4 2 _3Cover image
_uhttp://catalogimages.wiley.com/images/db/jimages/9781119037996.jpg
596 _a1 2
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