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  • Produktbild: Derivatives Analytics with Python
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Derivatives Analytics with Python Data Analysis, Models, Simulation, Calibration and Hedging

Aus der Reihe Wiley Finance Series

116,99 €

inkl. MwSt, Versandkostenfrei

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

03.08.2015

Verlag

John Wiley & Sons

Seitenzahl

374

Maße (L/B/H)

25/17,5/2,5 cm

Gewicht

792 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-03799-6

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

03.08.2015

Verlag

John Wiley & Sons

Seitenzahl

374

Maße (L/B/H)

25/17,5/2,5 cm

Gewicht

792 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-03799-6

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  • Produktbild: Derivatives Analytics with Python
  • Produktbild: Derivatives Analytics with Python
  • List of Tables xi

    List of Figures xiii

    Preface xvii

    CHAPTER 1 A Quick Tour 1

    1.1 Market-Based Valuation 1

    1.2 Structure of the Book 2

    1.3 Why Python? 3

    1.4 Further Reading 4

    PART ONE The Market

    CHAPTER 2 What is Market-Based Valuation? 9

    2.1 Options and their Value 9

    2.2 Vanilla vs. Exotic Instruments 13

    2.3 Risks Affecting Equity Derivatives 14

    2.3.1 Market Risks 14

    2.3.2 Other Risks 15

    2.4 Hedging 16

    2.5 Market-Based Valuation as a Process 17

    CHAPTER 3 Market Stylized Facts 19

    3.1 Introduction 19

    3.2 Volatility, Correlation and Co. 19

    3.3 Normal Returns as the Benchmark Case 21

    3.4 Indices and Stocks 25

    3.4.1 Stylized Facts 25

    3.4.2 DAX Index Returns 26

    3.5 Option Markets 30

    3.5.1 Bid/Ask Spreads 31

    3.5.2 Implied Volatility Surface 31

    3.6 Short Rates 33

    3.7 Conclusions 36

    3.8 Python Scripts 37

    3.8.1 GBM Analysis 37

    3.8.2 DAX Analysis 40

    3.8.3 BSM Implied Volatilities 41

    3.8.4 EURO STOXX 50 Implied Volatilities 43

    3.8.5 Euribor Analysis 45

    PART TWO Theoretical Valuation

    CHAPTER 4 Risk-Neutral Valuation 49

    4.1 Introduction 49

    4.2 Discrete-Time Uncertainty 50

    4.3 Discrete Market Model 54

    4.3.1 Primitives 54

    4.3.2 Basic Definitions 55

    4.4 Central Results in Discrete Time 57

    4.5 Continuous-Time Case 61

    4.6 Conclusions 66

    4.7 Proofs 66

    4.7.1 Proof of Lemma 1 66

    4.7.2 Proof of Proposition 1 67

    4.7.3 Proof of Theorem 1 68

    CHAPTER 5 Complete Market Models 71

    5.1 Introduction 71

    5.2 Black-Scholes-Merton Model 72

    5.2.1 Market Model 72

    5.2.2 The Fundamental PDE 72

    5.2.3 European Options 74

    5.3 Greeks in the BSM Model 76

    5.4 Cox-Ross-Rubinstein Model 81

    5.5 Conclustions 84

    5.6 Proofs and Python Scripts 84

    5.6.1 It^o's Lemma 84

    5.6.2 Script for BSM Option Valuation 85

    5.6.3 Script for BSM Call Greeks 88

    5.6.4 Script for CRR Option Valuation 92

    CHAPTER 6 Fourier-Based Option Pricing 95

    6.1 Introduction 95

    6.2 The Pricing Problem 96

    6.3 Fourier Transforms 97

    6.4 Fourier-Based Option Pricing 98

    6.4.1 Lewis (2001) Approach 98

    6.4.2 Carr-Madan (1999) Approach 101

    6.5 Numerical Evaluation 103

    6.5.1 Fourier Series 103

    6.5.2 Fast Fourier Transform 105

    6.6 Applications 107

    6.6.1 Black-Scholes-Merton (1973) Model 107

    6.6.2 Merton (1976) Model 108

    6.6.3 Discrete Market Model 110

    6.7 Conclusions 114

    6.8 Python Scripts 114

    6.8.1 BSM Call Valuation via Fourier Approach 114

    6.8.2 Fourier Series 119

    6.8.3 Roots of Unity 120

    6.8.4 Convolution 121

    6.8.5 Module with Parameters 122

    6.8.6 Call Value by Convolution 123

    6.8.7 Option Pricing by Convolution 123

    6.8.8 Option Pricing by DFT 124

    6.8.9 Speed Test of DFT 125

    CHAPTER 7 Valuation of American Options by Simulation 127

    7.1 Introduction 127

    7.2 Financial Model 128

    7.3 American Option Valuation 128

    7.3.1 Problem Formulations 128

    7.3.2 Valuation Algorithms 130

    7.4 Numerical Results 132

    7.4.1 American Put Option 132

    7.4.2 American Short Condor Spread 135

    7.5 Conclusions 136

    7.6 Python Scripts 137

    7.6.1 Binomial Valuation 137

    7.6.2 Monte Carlo Valuation with LSM 139

    7.6.3 Primal and Dual LSM Algorithms 140

    PART THREE Market-Based Valuation

    CHAPTER 8 A First Example of Market-Based Valuation 147

    8.1 Introduction 147

    8.2 Market Model 147

    8.3 Valuation 148

    8.4 Calibration 149

    8.5 Simulation 149

    8.6 Conclusions 155

    8.7 Python Scripts 155

    8.7.1 Valuation by Numerical Integration 155

    8.7.2 Valuation by FFT 157

    8.7.3 Calibration to Three Maturities 160

    8.7.4 Calibration to Short Maturity 163

    8.7.5 Valuation by MCS 165

    CHAPTER 9 General Model Framework 169

    9.1 Introduction 169

    9.2 The Framework 169

    9.3 Features of the Framework 170

    9.4 Zero-Coupon Bond Valuation 172

    9.5 European Option Valuation 173

    9.5.1 PDE Approach 173

    9.5.2 Transform Methods 175

    9.5.3 Monte Carlo Simulation 176

    9.6 Conclusions 177

    9.7 Proofs and Python Scripts 177

    9.7.1 It^o's Lemma 177

    9.7.2 Python Script for Bond Valuation 178

    9.7.3 Python Script for European Call Valuation 180

    CHAPTER 10 Monte Carlo Simulation 187

    10.1 Introduction 187

    10.2 Valuation of Zero-Coupon Bonds 188

    10.3 Valuation of European Options 192

    10.4 Valuation of American Options 196

    10.4.1 Numerical Results 198

    10.4.2 Higher Accuracy vs. Lower Speed 201

    10.5 Conclusions 203

    10.6 Python Scripts 204

    10.6.1 General Zero-Coupon Bond Valuation 204

    10.6.2 CIR85 Simulation and Valuation 205

    10.6.3 Automated Valuation of European Options by Monte Carlo Simulation 209

    10.6.4 Automated Valuation of American Put Options by Monte Carlo Simulation 215

    CHAPTER 11 Model Calibration 223

    11.1 Introduction 223

    11.2 General Considerations 223

    11.2.1 Why Calibration at All? 224

    11.2.2 Which Role Do Different Model Components Play? 226

    11.2.3 What Objective Function? 227

    11.2.4 What Market Data? 228

    11.2.5 What Optimization Algorithm? 229

    11.3 Calibration of Short Rate Component 230

    11.3.1 Theoretical Foundations 230

    11.3.2 Calibration to Euribor Rates 231

    11.4 Calibration of Equity Component 233

    11.4.1 Valuation via Fourier Transform Method 235

    11.4.2 Calibration to EURO STOXX 50 Option Quotes 236

    11.4.3 Calibration of H93 Model 236

    11.4.4 Calibration of Jump Component 237

    11.4.5 Complete Calibration of BCC97 Model 239

    11.4.6 Calibration to Implied Volatilities 240

    11.5 Conclusions 243

    11.6 Python Scripts for Cox-Ingersoll-Ross Model 243

    11.6.1 Calibration of CIR85 243

    11.6.2 Calibration of H93 Stochastic Volatility Model 248

    11.6.3 Comparison of Implied Volatilities 251

    11.6.4 Calibration of Jump-Diffusion Part of BCC97 252

    11.6.5 Calibration of Complete Model of BCC97 256

    11.6.6 Calibration of BCC97 Model to Implied Volatilities 258

    CHAPTER 12 Simulation and Valuation in the General Model Framework 263

    12.1 Introduction 263

    12.2 Simulation of BCC97 Model 263

    12.3 Valuation of Equity Options 266

    12.3.1 European Options 266

    12.3.2 American Options 268

    12.4 Conclusions 268

    12.5 Python Scripts 269

    12.5.1 Simulating the BCC97 Model 269

    12.5.2 Valuation of European Call Options by MCS 274

    12.5.3 Valuation of American Call Options by MCS 275

    CHAPTER 13 Dynamic Hedging 279

    13.1 Introduction 279

    13.2 Hedging Study for BSM Model 280

    13.3 Hedging Study for BCC97 Model 285

    13.4 Conclusions 289

    13.5 Python Scripts 289

    13.5.1 LSM Delta Hedging in BSM (Single Path) 289

    13.5.2 LSM Delta Hedging in BSM (Multiple Paths) 293

    13.5.3 LSM Algorithm for American Put in BCC97 295

    13.5.4 LSM Delta Hedging in BCC97 (Single Path) 300

    CHAPTER 14 Executive Summary 303

    APPENDIX A Python in a Nutshell 305

    A.1 Python Fundamentals 305

    A.1.1 Installing Python Packages 305

    A.1.2 First Steps with Python 306

    A.1.3 Array Operations 310

    A.1.4 Random Numbers 313

    A.1.5 Plotting 314

    A.2 European Option Pricing 316

    A.2.1 Black-Scholes-Merton Approach 316

    A.2.2 Cox-Ross-Rubinstein Approach 318

    A.2.3 Monte Carlo Approach 323

    A.3 Selected Financial Topics 325

    A.3.1 Approximation 325

    A.3.2 Optimization 328

    A.3.3 Numerical Integration 329

    A.4 Advanced Python Topics 330

    A.4.1 Classes and Objects 330

    A.4.2 Basic Input-Output Operations 332

    A.4.3 Interacting with Spreadsheets 334

    A.5 Rapid Financial Engineering 336

    Bibliography 341

    Index 347