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Listed Volatility and Variance Derivatives : A Python-based Guide (Hardcover) (Dr. Yves J. Hilpisch)

Listed Volatility and Variance Derivatives : A Python-based Guide (Hardcover) (Dr. Yves J. Hilpisch) - image 1 of 1

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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. It is the first book to cover European products provided by Eurex and to provide Python codes for implementing complete quantitative analysis of these financial products. The book is accompanied by a dedicated website hosting a Github repository that includes all the code from the book for easy replication and 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 of only 10% of the code lines associated with the older languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analysis.

  • 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 the micro structure elements of the markets for listed volatility and variance derivatives
  • Reproduce results and graphics with IPython 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.

Number of Pages: 354.0
Genre: Business + Money Management
Series Title: Wiley Finance
Format: Hardcover
Publisher: John Wiley & Sons Inc
Author: Dr. Yves J. Hilpisch
Language: English
Street Date: November 30, 2016
TCIN: 52150583
UPC: 9781119167914
Item Number (DPCI): 248-42-1261

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