The Heston Model And Its Extensions In Matlab And C

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The Heston Model and its Extensions in Matlab and C#

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118695178
Total Pages : 437 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis The Heston Model and its Extensions in Matlab and C# by : Fabrice D. Rouah

Download or read book The Heston Model and its Extensions in Matlab and C# written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.

The Heston Model and Its Extensions in VBA

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 111900330X
Total Pages : 359 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis The Heston Model and Its Extensions in VBA by : Fabrice D. Rouah

Download or read book The Heston Model and Its Extensions in VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2015-04-27 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical options pricing for better-informed investment decisions. The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools—the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently—and accurately—exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets. The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding—and VBA code—they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions. Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs.

Mathematical and Computational Approaches in Advancing Modern Science and Engineering

Author : Jacques Bélair
Publisher : Springer
ISBN 13 : 3319303791
Total Pages : 777 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Mathematical and Computational Approaches in Advancing Modern Science and Engineering by : Jacques Bélair

Download or read book Mathematical and Computational Approaches in Advancing Modern Science and Engineering written by Jacques Bélair and published by Springer. This book was released on 2016-08-10 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on five main groups of interdisciplinary problems, this book covers a wide range of topics in mathematical modeling, computational science and applied mathematics. It presents a wealth of new results in the development of modeling theories and methods, advancing diverse areas of applications and promoting interdisciplinary interactions between mathematicians, scientists, engineers and representatives from other disciplines. The book offers a valuable source of methods, ideas, and tools developed for a variety of disciplines, including the natural and social sciences, medicine, engineering, and technology. Original results are presented on both the fundamental and applied level, accompanied by an ample number of real-world problems and examples emphasizing the interdisciplinary nature and universality of mathematical modeling, and providing an excellent outline of today’s challenges. Mathematical modeling, with applied and computational methods and tools, plays a fundamental role in modern science and engineering. It provides a primary and ubiquitous tool in the context making new discoveries, as well as in the development of new theories and techniques for solving key problems arising in scientific and engineering applications. The contributions, which are the product of two highly successful meetings held jointly in Waterloo, Ontario, Canada on the main campus of Wilfrid Laurier University in June 2015, i.e. the International Conference on Applied Mathematics, Modeling and Computational Science, and the Annual Meeting of the Canadian Applied and Industrial Mathematics (CAIMS), make the book a valuable resource for any reader interested in a broader overview of the methods, ideas and tools involved in mathematical and computational approaches developed for other disciplines, including the natural and social sciences, engineering and technology.

Progress in Artificial Intelligence

Author : Goreti Marreiros
Publisher : Springer Nature
ISBN 13 : 3030862305
Total Pages : 815 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Progress in Artificial Intelligence by : Goreti Marreiros

Download or read book Progress in Artificial Intelligence written by Goreti Marreiros and published by Springer Nature. This book was released on 2021-09-07 with total page 815 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 20th EPIA Conference on Artificial Intelligence, EPIA 2021, held virtually in September 2021. The 62 full papers and 6 short papers presented were carefully reviewed and selected from a total of 108 submissions. The papers are organized in the following topical sections: artificial intelligence and IoT in agriculture; artificial intelligence and law; artificial intelligence in medicine; artificial intelligence in power and energy systems; artificial intelligence in transportation systems; artificial life and evolutionary algorithms; ambient intelligence and affective environments; general AI; intelligent robotics; knowledge discovery and business intelligence; multi-agent systems: theory and applications; and text mining and applications.

Advances in Longitudinal Data Methods in Applied Economic Research

Author : Nicholas Tsounis
Publisher : Springer Nature
ISBN 13 : 3030639703
Total Pages : 545 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis Advances in Longitudinal Data Methods in Applied Economic Research by : Nicholas Tsounis

Download or read book Advances in Longitudinal Data Methods in Applied Economic Research written by Nicholas Tsounis and published by Springer Nature. This book was released on 2021-03-31 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents new methods and applications in longitudinal data estimation methodology in applied economic. Featuring selected papers from the 2020 the International Conference on Applied Economics (ICOAE 2020) held virtually due to the corona virus pandemic, this book examines interdisciplinary topics such as financial economics, international economics, agricultural economics, marketing and management. Country specific case studies are also featured.

Introduction to Stochastic Finance with Market Examples

Author : Nicolas Privault
Publisher : CRC Press
ISBN 13 : 1000778959
Total Pages : 663 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Introduction to Stochastic Finance with Market Examples by : Nicolas Privault

Download or read book Introduction to Stochastic Finance with Market Examples written by Nicolas Privault and published by CRC Press. This book was released on 2022-12-13 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes. New to this Edition New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources Added over 150 graphs and figures, for more than 250 in total, to optimize presentation 57 R coding examples now integrated into the book for implementation of the methods Substantially class-tested, so ideal for course use or self-study With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.

The Heston Model and Its Extensions in VBA

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1119003326
Total Pages : 349 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis The Heston Model and Its Extensions in VBA by : Fabrice D. Rouah

Download or read book The Heston Model and Its Extensions in VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2015-03-20 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical options pricing for better-informed investment decisions. The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools—the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently—and accurately—exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets. The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding—and VBA code—they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions. Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs.

Option Pricing Models and Volatility Using Excel-VBA

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah

Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

Financial Modelling

Author : Joerg Kienitz
Publisher : John Wiley & Sons
ISBN 13 : 0470744898
Total Pages : 736 pages
Book Rating : 4.4/5 (77 download)

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Book Synopsis Financial Modelling by : Joerg Kienitz

Download or read book Financial Modelling written by Joerg Kienitz and published by John Wiley & Sons. This book was released on 2013-02-18 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee

Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.

Mathematical Modeling and Methods of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)

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Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Global Sensitivity Analysis

Author : Andrea Saltelli
Publisher : John Wiley & Sons
ISBN 13 : 9780470725177
Total Pages : 304 pages
Book Rating : 4.7/5 (251 download)

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Book Synopsis Global Sensitivity Analysis by : Andrea Saltelli

Download or read book Global Sensitivity Analysis written by Andrea Saltelli and published by John Wiley & Sons. This book was released on 2008-02-28 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complex mathematical and computational models are used in all areas of society and technology and yet model based science is increasingly contested or refuted, especially when models are applied to controversial themes in domains such as health, the environment or the economy. More stringent standards of proofs are demanded from model-based numbers, especially when these numbers represent potential financial losses, threats to human health or the state of the environment. Quantitative sensitivity analysis is generally agreed to be one such standard. Mathematical models are good at mapping assumptions into inferences. A modeller makes assumptions about laws pertaining to the system, about its status and a plethora of other, often arcane, system variables and internal model settings. To what extent can we rely on the model-based inference when most of these assumptions are fraught with uncertainties? Global Sensitivity Analysis offers an accessible treatment of such problems via quantitative sensitivity analysis, beginning with the first principles and guiding the reader through the full range of recommended practices with a rich set of solved exercises. The text explains the motivation for sensitivity analysis, reviews the required statistical concepts, and provides a guide to potential applications. The book: Provides a self-contained treatment of the subject, allowing readers to learn and practice global sensitivity analysis without further materials. Presents ways to frame the analysis, interpret its results, and avoid potential pitfalls. Features numerous exercises and solved problems to help illustrate the applications. Is authored by leading sensitivity analysis practitioners, combining a range of disciplinary backgrounds. Postgraduate students and practitioners in a wide range of subjects, including statistics, mathematics, engineering, physics, chemistry, environmental sciences, biology, toxicology, actuarial sciences, and econometrics will find much of use here. This book will prove equally valuable to engineers working on risk analysis and to financial analysts concerned with pricing and hedging.

Risk Management and Simulation

Author : Aparna Gupta
Publisher : CRC Press
ISBN 13 : 1439835950
Total Pages : 518 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Risk Management and Simulation by : Aparna Gupta

Download or read book Risk Management and Simulation written by Aparna Gupta and published by CRC Press. This book was released on 2016-04-19 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk managemen

Monte Carlo and Quasi-Monte Carlo Sampling

Author : Christiane Lemieux
Publisher : Springer Science & Business Media
ISBN 13 : 038778165X
Total Pages : 373 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Monte Carlo and Quasi-Monte Carlo Sampling by : Christiane Lemieux

Download or read book Monte Carlo and Quasi-Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.

Factor Investing and Asset Allocation: A Business Cycle Perspective

Author : Vasant Naik
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960155
Total Pages : 192 pages
Book Rating : 4.9/5 (449 download)

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Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik

Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Correlation Risk Modeling and Management

Author : Gunter Meissner
Publisher : John Wiley & Sons
ISBN 13 : 1118796896
Total Pages : 268 pages
Book Rating : 4.1/5 (187 download)

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Book Synopsis Correlation Risk Modeling and Management by : Gunter Meissner

Download or read book Correlation Risk Modeling and Management written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter

Python for Finance

Author : Yves J. Hilpisch
Publisher : "O'Reilly Media, Inc."
ISBN 13 : 1492024295
Total Pages : 682 pages
Book Rating : 4.4/5 (92 download)

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Book Synopsis Python for Finance by : Yves J. Hilpisch

Download or read book Python for Finance written by Yves J. Hilpisch and published by "O'Reilly Media, Inc.". This book was released on 2018-12-05 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial industry has recently adopted Python at a tremendous rate, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. Updated for Python 3, the second edition of this hands-on book helps you get started with the language, guiding developers and quantitative analysts through Python libraries and tools for building financial applications and interactive financial analytics. Using practical examples throughout the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks.