Listed Volatility and Variance Derivatives: A Python-based Guide
Language: English
Published by John Wiley & Sons Inc, 2016
- First Edition
- Hardcover
- New
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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. Series: Wiley Finance. Num Pages: 352 pages. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 244 x 170. . . 2016. 1st Edition. Hardcover. . . . .
Seller Inventory # V9781119167914
- Title
- Listed Volatility and Variance Derivatives: A Python-based Guide
- Author
- Yves Hilpisch
- Publisher
- John Wiley & Sons Inc
- Publication year
- 2016
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1119167914
- ISBN 13
- 9781119167914
- Edition
- 1st Edition
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.
"Synopsis" may belong to another edition of this title.
About the Author
DR. YVES HILPISCH is founder and managing partner of The Python Quants (http://tpq.io), a group focusing on the use of open source technologies for financial data science, algorithmic trading and computational finance. He is the author of Python for Finance, and Derivatives Analytics with Python. Yves lectures on computational finance on the CQF Program as well as on data science at htw saar University of Applied Sciences. He has written the financial analytics library DX Analytics (http://dx-analytics.com) and organizes meetup groups and conferences about Python for quantitative finance in Frankfurt, London and New York.
"About the title" may belong to another edition of this title.
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