Derivatives analytics with python: data analysis, models, simulation, calibration and hedging
Material type:
Computer fileOriginal language: English Publisher: Chichester ; John Wiley ; 2015Description: 356 pISBN: 978-1-119-03799-6Subject(s): Valores derivados | Coberturas | FinanzasLOC classification: HG/6024.A3/H55/2015
Contents:
Contiene: 1. 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.
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Contiene: 1. 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.
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