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 (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

Comments are closed   Financial Engineering, Numerical Methods, Python, Technology   , , , , , , , , , ,  

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

Comments are closed   Financial Engineering, Numerical Methods, Python, Technology   , , , , , , , , , ,  

New Book about “Derivatives Analytics with Python”

By yhilpisch, on January 11th, 2012%

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 . . . → Read More: New Book about “Derivatives Analytics with Python”

Comments are closed   Financial Engineering, Numerical Methods, Technology   , , , , , , ,  

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

Comments are closed   Conference, Financial Engineering, Numerical Methods, Python, Python, Science, Technology   , , , , ,  

Simplicity Principle No. 1: Single Numerical Method

By yhilpisch, on August 27th, 2010%

DEXISION offers simple, Web-based Derivatives Analytics. This is the first post in a series that explains where the simplicity of our Web-based analytics suite stems from. We start today with the single numerical method, Monte Carlo simulation.

From the beginning on, we knew that we wanted to be able to value complex derivative instruments with, for example, . . . → Read More: Simplicity Principle No. 1: Single Numerical Method

Comments are closed   DEXISION, Numerical Methods, Technology   , , , , , , ,