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 BOOK

Derivatives Analytics with Python — Data Analysis, Models, Simulation, Calibration, Hedging

by Dr. Yves J. Hilpisch (March 2013)

On 358 pages you learn how to analyze financial market data and how to implement a market-based valuation process for European and American options using the Python programming language.

The book is  an outgrowth of Dr. Hilpisch’s diverse activities

  • at our company Visixion GmbH — where we use Python since almost 10 years for financial engineering — and
  • at Saarland University — where Dr. Hilpisch is a lecturer for Mathematical Finance.

Download an excerpt from the book here Derivatives Analytics with Python.

Derivatives Analytics with Python 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 and the Fundamental Theorem of Asset Pricing,
  • Fourier transform methods in continuous and discrete time,
  • Monte Carlo simulation and the valuation of American options by Least-Squares Monte Carlo,
  • model calibration by global and local optimization,
  • valuation by (semi-)analytical formulas and numerical methds as well as
  • dynamic hedging of American options.

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. By running the Python scripts, the reader can reproduce all figures and numerical results presented in the book.

Download an excerpt from the book here Derivatives Analytics with Python.

The book is available in two versions:

  • Premium — DIN A4 format, colored — for € 59.00 (incl. VAT) plus
    € 4.90 shipping.
  • Value — DIN A5 format, black/white — for € 35.00 (incl. VAT) plus
    € 4.90 shipping.

Currently, we ship the book only in printed form — it is still a preliminary, but complete, edition. We ship the book once per week — therefore, it may take 10-14 days for international deliveries.

Yves Hilpisch: “Derivatives Analytics with Python.” Visixion GmbH, Softcover.

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