Book Image

Python for Finance - Second Edition

By : Yuxing Yan
5 (1)
Book Image

Python for Finance - Second Edition

5 (1)
By: Yuxing Yan

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
Index

Exercises


  1. What is the present value of $206 received in 10 years with an annual discount rate of 2.5%?

  2. What is the future value of perpetuity with a periodic annual payment of $1 and a 2.4% annual discount rate?

  3. For a normal project, its NPV is negatively correlated with the discount rate. Why?

  4. John deposits $5,000 in the bank for 25 years. If the annual rate is 0.25% per year, what is the future value?

  5. If the annual payment is $55 with 20 years remaining, what is the present value if the annual discount rate is 5.41%, compounded semi-annually?

  6. If Mary plans to have $2,400 by the end of year 5, how much does she have to save each year if the corresponding annual rate is 3.12%?

  7. Why have we got a negative number of periods in the following code?

    >>>import scipy as sp
    >>> sp.nper(0.012,200,5000,0)
    -21.99461003591637
  8. If a firm's earnings per share grows from $2 to $4 over a 9-year period (the total growth is 100%), what is its annual growth rate?

  9. In this chapter, while writing a present...