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Mastering Python for Finance

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Mastering Python for Finance

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Mastering Python for Finance
Apr, 2015 | 340 pages
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Table of Contents (17 chapters)
Mastering Python for Finance
Mastering Python for Finance
Credits
Credits
About the Author
About the Author
About the Reviewers
About the Reviewers
www.PacktPub.com
www.PacktPub.com
Preface
Preface
Free Chapter
1
Python for Financial Applications
Python for Financial Applications
Is Python for me?
Objected-oriented versus functional programming
Which Python version should I use?
Introducing IPython
Summary
2
The Importance of Linearity in Finance
The Importance of Linearity in Finance
The capital asset pricing model and the security market line
The Arbitrage Pricing Theory model
Multivariate linear regression of factor models
Linear optimization
Solving linear equations using matrices
The LU decomposition
The Cholesky decomposition
The QR decomposition
Summary
3
Nonlinearity in Finance
Nonlinearity in Finance
Nonlinearity modeling
Examples of nonlinear models
An introduction to root-finding
Incremental search
The bisection method
Newton's method
The secant method
Combining root-finding methods
SciPy implementations
Summary
4
Numerical Procedures
Numerical Procedures
Introduction to options
Binomial trees in options pricing
The Greeks for free
Trinomial trees in options pricing
Lattices in options pricing
Finite differences in options pricing
Putting it all together – implied volatility modeling
Summary
5
Interest Rates and Derivatives
Interest Rates and Derivatives
Fixed-income securities
Yield curves
Valuing a zero-coupon bond
Bootstrapping a yield curve
Forward rates
Calculating the yield to maturity
Calculating the price of a bond
Bond duration
Bond convexity
Short-rate modeling
Bond options
Pricing a callable bond option
Summary
6
Interactive Financial Analytics with Python and VSTOXX
Interactive Financial Analytics with Python and VSTOXX
Volatility derivatives
Gathering the EUROX STOXX 50 Index and VSTOXX data
Merging the data
Financial analytics of SX5E and V2TX
Correlation between SX5E and V2TX
Calculating the VSTOXX sub-indices
Calculating the VSTOXX main index
Summary
7
Big Data with Python
Big Data with Python
Introducing big data
Hadoop for big data
Is big data for me?
Getting Apache Hadoop
A word count program in Hadoop
Going deeper – Hadoop for finance
Introducing NoSQL
Summary
8
Algorithmic Trading
Algorithmic Trading
Introduction to algorithmic trading
List of trading platforms with public API
Which is the best programming language to use?
System functionalities
Algorithmic trading with Interactive Brokers and IbPy
Building a mean-reverting algorithmic trading system
Forex trading with OANDA API
Building a trend-following forex trading platform
VaR for risk management
Summary
9
Backtesting
Backtesting
An introduction to backtesting
Designing and implementing a backtesting system
Ten considerations for a backtesting model
Discussion of algorithms in backtesting
Summary
10
Excel with Python
Excel with Python
Overview of COM
Excel for finance
Building a COM server
Building the COM client in Excel
What else can I do with COM?
Summary
Index
Index

Credits

Author

James Ma Weiming

Reviewers

Namit Kewat

Marco Marchioro

Jiri Pik

Steven E. Sommer, MD, MBA

Commissioning Editor

Usha Iyer

Acquisition Editor

Usha Iyer

Content Development Editor

Susmita Sabat

Technical Editor

Prajakta Mhatre

Copy Editor

Rashmi Sawant

Project Coordinator

Milton Dsouza

Proofreaders

Stephen Copestake

Safis Editing

Paul Hindle

Indexer

Hemangini Bari

Graphics

Sheetal Aute

Valentina D'silva

Disha Haria

Abhinash Sahu

Production Coordinator

Aparna Bhagat

Cover Work

Aparna Bhagat

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