What is the definition of exotic options?
Why is it claimed that a callable bond is equivalent to a normal bond plus a Bermudan option (the issuing company is the buyer of this Bermudan option while the bond buyer is the seller)?
Write a Python program to price an Asian average price put based on the arithmetic mean.
Write a Python program to price an Asian average price put based on the geometric mean.
Write a Python program to price an up-and-in call (barrier option).
Write a Python program to price a down-and-out put (barrier option).
Write a Python program to show the down-and-out and down-and-in parity.
Write a Python program to use
permutation()
from SciPy to select 12 monthly returns randomly from the past five-year data without placement. To test your program, you can use Citigroup and the time period January 1, 2009 to December 31, 2014 from Yahoo Finance.Write a Python program to run bootstrapping with n given returns. For each time, we select m returns where m>n.
In this...
Python for Finance - Second Edition
By :
Python for Finance - Second Edition
By:
Overview of this book
This book uses Python as its computational tool. Since Python is free, any school or
organization can download and use it.
This book is organized according to various finance subjects. In other words, the first edition focuses more on Python, while the second edition is truly trying to apply Python to finance.
The book starts by explaining topics exclusively related to Python. Then we deal with critical parts of Python, explaining concepts such as time value of money stock and bond evaluations, capital asset pricing model, multi-factor models, time series analysis, portfolio theory,
options and futures.
This book will help us to learn or review the basics of quantitative finance and apply Python to solve various problems, such as estimating IBM’s market risk,
running a Fama-French 3-factor, 5-factor, or Fama-French-Carhart 4 factor model, estimating the VaR of a 5-stock portfolio, estimating the optimal portfolio, and constructing the efficient frontier for a 20-stock portfolio with real-world stock, and with Monte Carlo Simulation. Later, we will also learn how to replicate the famous Black-Scholes-Merton option model and how to price exotic options such as the average price call option.
Table of Contents (23 chapters)
Python for Finance Second Edition
Credits
About the Author
About the Reviewers
www.PacktPub.com
Customer Feedback
Preface
Free Chapter
Python Basics
Introduction to Python Modules
Time Value of Money
Sources of Data
Bond and Stock Valuation
Capital Asset Pricing Model
Multifactor Models and Performance Measures
Time-Series Analysis
Portfolio Theory
Options and Futures
Value at Risk
Monte Carlo Simulation
Credit Risk Analysis
Exotic Options
Volatility, Implied Volatility, ARCH, and GARCH
Index
Customer Reviews