8 January 2012 — Today, Dr. Yves J. Hilpisch, Managing Director of Visixion GmbH and Lecturer for Mathematical Finance at Saarland University, Germany, finished the preliminary version of his new book “Derivatives Analytics with Python—Market-Based Valuation of European and American Stock Index Options.”
The 323 page long book is an outgrowth of Dr. Hilpisch’s diverse activities at Visixion — like the development of our analytics suite DEXISION, giving trainings and talks about Python in Finance — and at Saarland University as a lecturer for Mathematical Finance.
Download an excerpt from the book here Derivatives Analytics with Python.
This book provides the necessary background information, theoretical foundations and numerical tools to implement a market-based valuation of stock index options. Topics are, among others,
- stylized facts of equity and options markets,
- risk-neutral valuation,
- Fourier transform methods,
- Monte Carlo simulation,
- model calibration,
- valuation and
- dynamic hedging.
The financial models introduced in the book exhibit features like
- stochastic volatility,
- jump components and
- stochastic short rates.
The approach is a practical one in that all important aspects are illustrated by a set of self-contained Python scripts. It is the first book to explain all necessary steps of a market-based derivatives valuation in detail and to provide a full set of Python scripts for every single step.
Download an excerpt from the book here Derivatives Analytics with Python.
Currently, we ship the book only in printed form — it is still a preliminary, but complete, edition.
If you are interested in getting an early copy of the book including the complete set of Python scripts, go to the Book’s Web page.
