Python for Finance

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Publisher : Packt Publishing Ltd
ISBN 13 : 1787125025
Total Pages : 586 pages
Book Rating : 4.7/5 (871 download)

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Book Synopsis Python for Finance by : Yuxing Yan

Download or read book Python for Finance written by Yuxing Yan and published by Packt Publishing Ltd. This book was released on 2017-06-30 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn and implement various Quantitative Finance concepts using the popular Python libraries About This Book Understand the fundamentals of Python data structures and work with time-series data Implement key concepts in quantitative finance using popular Python libraries such as NumPy, SciPy, and matplotlib A step-by-step tutorial packed with many Python programs that will help you learn how to apply Python to finance Who This Book Is For This book assumes that the readers have some basic knowledge related to Python. However, he/she has no knowledge of quantitative finance. In addition, he/she has no knowledge about financial data. What You Will Learn Become acquainted with Python in the first two chapters Run CAPM, Fama-French 3-factor, and Fama-French-Carhart 4-factor models Learn how to price a call, put, and several exotic options Understand Monte Carlo simulation, how to write a Python program to replicate the Black-Scholes-Merton options model, and how to price a few exotic options Understand the concept of volatility and how to test the hypothesis that volatility changes over the years Understand the ARCH and GARCH processes and how to write related Python programs In Detail This book uses Python as its computational tool. Since Python is free, any school or organization can download and use it. This book is organized according to various finance subjects. In other words, the first edition focuses more on Python, while the second edition is truly trying to apply Python to finance. The book starts by explaining topics exclusively related to Python. Then we deal with critical parts of Python, explaining concepts such as time value of money stock and bond evaluations, capital asset pricing model, multi-factor models, time series analysis, portfolio theory, options and futures. This book will help us to learn or review the basics of quantitative finance and apply Python to solve various problems, such as estimating IBM's market risk, running a Fama-French 3-factor, 5-factor, or Fama-French-Carhart 4 factor model, estimating the VaR of a 5-stock portfolio, estimating the optimal portfolio, and constructing the efficient frontier for a 20-stock portfolio with real-world stock, and with Monte Carlo Simulation. Later, we will also learn how to replicate the famous Black-Scholes-Merton option model and how to price exotic options such as the average price call option. Style and approach This book takes a step-by-step approach in explaining the libraries and modules in Python, and how they can be used to implement various aspects of quantitative finance. Each concept is explained in depth and supplemented with code examples for better understanding.

A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

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Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters by : Chi-Fai Lo

Download or read book A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters written by Chi-Fai Lo and published by . This book was released on 2007 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.

Implementing Derivatives Models

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Publisher :
ISBN 13 :
Total Pages : 350 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Implementing Derivatives Models by : Les Clewlow

Download or read book Implementing Derivatives Models written by Les Clewlow and published by . This book was released on 1998 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Natural medicine for plants

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Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (166 download)

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Book Synopsis Natural medicine for plants by :

Download or read book Natural medicine for plants written by and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Foreign Exchange Option Pricing

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Publisher : John Wiley & Sons
ISBN 13 : 0470683686
Total Pages : 308 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Foreign Exchange Option Pricing by : Iain J. Clark

Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-01-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.

The Mathematical Foundations of Barrier Option-Pricing Theory

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Mathematical Foundations of Barrier Option-Pricing Theory by : Don R. Rich

Download or read book The Mathematical Foundations of Barrier Option-Pricing Theory written by Don R. Rich and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options are one of the most popular first-generation exotic options, yet little theoretical research exists. This paper begins by presenting, in an intuitive and unified framework, the mathematical foundation necessary to value barrier options. Closed-form solutions are derived and comparative statics are presented for European barrier options with a fixed rebate and barrier level. From both a theoretical and hedging perspective, barrier options are shown to be more complex than standard options. Further, it is shown that under certain conditions barrier options are identical in value to standard options, that all valuation solutions are linearly homogeneous of degree one with respect to the underlying asset price, exercise price, barrier level, and rebate, and that barrier options have quite different hedging properties than standard options. Closed-form solutions are also derived for European barrier options with barriers that depend exponentially on time to expiration. Applications discussed in the paper include covered calls, portfolio insurance, options embedded in bonds, and when barrier option prices are more likely to correspond to observed market prices than Black-Scholes option prices.

Recent Developments in Computational Finance

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Publisher : World Scientific
ISBN 13 : 9814436429
Total Pages : 481 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Developments in Computational Finance by : Thomas Gerstner

Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Key Financial Market Concepts

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Publisher : Pearson UK
ISBN 13 : 0273750283
Total Pages : 361 pages
Book Rating : 4.2/5 (737 download)

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Book Synopsis Key Financial Market Concepts by : Bob Steiner

Download or read book Key Financial Market Concepts written by Bob Steiner and published by Pearson UK. This book was released on 2012-09-07 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Key Financial Market Concepts is the ultimate reference tool for anyone working in the finance industry, explaining the 100 essential financial market terms. It provides you with a definition of what each concept is, how it works, when it is likely to arise, how it’s calculated and how best to use it. You’ll also get access to many of the formulas used, already programmed into a Microsoft Excel spreadsheet. From simple and compound interest, through to bonds and yields and the Black and Scholes model, this book has it covered. The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.

Barrier Option Pricing

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Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (938 download)

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Book Synopsis Barrier Option Pricing by :

Download or read book Barrier Option Pricing written by and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Complete Guide to Option Pricing Formulas

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Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug

Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.

Pricing Barrier Options

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)

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Book Synopsis Pricing Barrier Options by : Manoj Kapai

Download or read book Pricing Barrier Options written by Manoj Kapai and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analysis and Pricing of Barrier Options

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Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (767 download)

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Book Synopsis Analysis and Pricing of Barrier Options by : Laurent Montête

Download or read book Analysis and Pricing of Barrier Options written by Laurent Montête and published by . This book was released on 2006 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

On Pricing Barrier Options

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis On Pricing Barrier Options by : Peter H. Ritchken

Download or read book On Pricing Barrier Options written by Peter H. Ritchken and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing and hedging barrier options using a binomial lattice can be quite delicate. If the barrier is not constant, or if there are multiple barriers, then in all likelihood binomial lattices will produce erroneous answers even when a large number of time steps are used. While in some cases the time partitions of the binomial method can be carefully chosen so as to reduce the bias, for many barrier contracts more efficient procedures exist. This article explains how a very simple and extremely efficient trinomial lattice procedure can be used to price and hedge most types of exotic barriers.

Asymptotics of American Barrier Option Pricing

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Asymptotics of American Barrier Option Pricing by : Fannu Hu

Download or read book Asymptotics of American Barrier Option Pricing written by Fannu Hu and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Black-Scholes Model

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Publisher : Cambridge University Press
ISBN 13 : 1107001692
Total Pages : 179 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis The Black-Scholes Model by : Marek Capiński

Download or read book The Black-Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.

Exotic Options Trading

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Publisher : John Wiley & Sons
ISBN 13 : 1119995183
Total Pages : 255 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Exotic Options Trading by : Frans de Weert

Download or read book Exotic Options Trading written by Frans de Weert and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by an experienced trader and consultant, Frans de Weert’s Exotic Options Trading offers a risk-focused approach to the pricing of exotic options. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options. De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formulae. The book limits the use of mathematics to explain exotic options from an economic and risk perspective by means of real life examples leading to a practical interpretation of the mathematical pricing formulae. The book covers conventional options, digital options, barrier options, cliquets, quanto options, outperformance options and variance swaps, and explains difficult concepts in simple terms, with a practical approach that gives the reader a full understanding of every aspect of each exotic option. The book also discusses structured notes with exotic options embedded in them, such as reverse convertibles, callable and puttable reverse convertibles and autocallables and shows the rationale behind these structures and their associated risks. For each exotic option, the author makes clear why there is an investor demand; explains where the risks lie and how this affects the actual pricing; shows how best to hedge any vega or gamma exposure embedded in the exotic option and discusses the skew exposure. By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice. “Although exotic options are not a new subject in finance, the coverage traditionally afforded by many texts is either too high level or overly mathematical. De Weert's exceptional text fills this gap superbly. It is a rigorous treatment of a number of exotic structures and includes numerous examples to clearly illustrate the principles. What makes this book unique is that it manages to strike a fantastic balance between the theory and actual trading practice. Although it may be something of an overused phrase to describe this book as compulsory reading, I can assure any reader they will not be disappointed.” —Neil Schofield, Training Consultant and author of Commodity Derivatives: Markets and Applications “Exotic Options Trading does an excellent job in providing a succinct and exhaustive overview of exotic options. The real edge of this book is that it explains exotic options from a risk and economical perspective and provides a clear link to the actual profit and pricing formulae. In short, a must read for anyone who wants to get deep insights into exotic options and start trading them profitably.” —Arturo Bignardi

Pricing Barrier Options

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)

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Book Synopsis Pricing Barrier Options by : Bo Jiang

Download or read book Pricing Barrier Options written by Bo Jiang and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: