Research

NEW BOOK: "Derivatives Analytics with Python"

Derivatives Lecture at Saarland University

Fast Monte Carlo Valuation of American Options with Stochastic Volatility

RECENT CLIENT PROJECT

Visixion GmbH has developed and conducted a focused Python training for selected people at Eurex, one of the world's leading derivatives exchanges. The major goal is to replace in certain areas a heterogeneous IT infrastructure (including, amongst others, Matlab and R) by Python as the main programming environment. Requirements are increased productivity, fast development cycles, easy collaboration, easy-to-maintain solutions and high performance.

DEXISION In The Press

DEXISION mentioned in the March 2010 Cover Story of Wilmott Magazine as first Derivatives Analytics suite based on the Python programming language. Read the whole Story.

Python for Finance (III) — Compact and Fast

By yhilpisch, on January 23rd, 2013%

This is the third post in a series about Python for Finance. We will work again with the example of the first and second post of the series to illustrate now how to automate the valuation of a complete set of American put options.

In the first two posts, we presented a rather concise and nevertheless quite . . . → Read More: Python for Finance (III) — Compact and Fast

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Python for Finance (II) — Compact and Fast

By yhilpisch, on December 24th, 2012%

This is the second post in a series about Python for Finance. We will pick up the example of the first post and show how to incorporate variance reduction techniques for better accuracy and increased speed.

In the first post, we presented a rather concise and nevertheless quite fast implementation of the Longstaff-Schwartz algorithm (LSM) to value . . . → Read More: Python for Finance (II) — Compact and Fast

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Python for Finance (I) — Compact and Fast

By yhilpisch, on July 20th, 2012%

Python is a multi-purpose programming language and many people use Python for everything but their core applications. However, Python can even be used for compute-intensive tasks like Monte Carlo simulation — a common numerical method in Finance in general and Financial Engineering in particular.

Monte Carlo simulation (MCS) is a quite flexible numerical method, in particular when . . . → Read More: Python for Finance (I) — Compact and Fast

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PyCon DE 2011 — Rapid Financial Engineering and Automating Numerical Research

By yhilpisch, on September 29th, 2011%

From 04-09 October 2011, the first German PyCon conference will take place in Leipzig. As the first regional Python conference of this format, it illustrates that Python is strongly gaining ground compared to other programming languages. The conference will offer a diverse program of talks, two of which will be given by Dr. Yves J. Hilpisch, . . . → Read More: PyCon DE 2011 — Rapid Financial Engineering and Automating Numerical Research

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PyPhy 2011 — Automating Numerical Research with Python

By yhilpisch, on August 29th, 2011%

On 29. August 2011, the Python in Physics (PyPhy) conference took place. An international group of researchers from diverse fields presented their use cases for Python in Physics and related areas. Dr. Yves Hilpisch gave a talk about potential approaches to automate numerical research projects—starting with a simple Monte Carlo simulation study, showing Python implementations and . . . → Read More: PyPhy 2011 — Automating Numerical Research with Python

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EuroScipy 2011 — Fast Monte Carlo Valuation with Python

By yhilpisch, on August 29th, 2011%

To Python’s success story there has been added a new chapter: EuroScipy 2011. The conference who took place in Paris from 25.–28. August 2011 attracted researchers from diverse fields. Attendees learned how Python can be beneficially applied in such fields as physics, chemistry, biology, mechanical engineering—and finance. Dr. Yves Hilpisch gave a talk and presented a . . . → Read More: EuroScipy 2011 — Fast Monte Carlo Valuation with Python

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