商品描述
Leverage Python for expert-level volatility and variance derivative trading
Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution.
Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives.
- Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets
- Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance
- Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives
- Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book
Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.
商品描述(中文翻譯)
利用 Python 進行專業級的波動率與變異數衍生品交易
上市波動率與變異數衍生品 是對這些日益受歡迎的衍生產品各個方面的全面探討,並且具有獨特性,因為它是第一本涵蓋 Eurex 提供的歐洲波動率與變異數產品的書籍,也是第一本提供 Python 代碼以實現這些金融產品的全面量化分析的書籍。對於那些想要立即開始的人,本書附有專門的網頁和 GitHub 倉庫,其中包含書中的所有代碼,方便複製和使用,並且提供所有代碼的即時執行版本。
Python 正迅速進入金融建模和衍生品分析領域,最近的發展使得 Python 的執行速度可以與純 C++ 或 C 相媲美,而其代碼行數通常僅為編譯語言的 10%。這本完整指南提供了使用 Python 進行上市波動率與變異數衍生品複雜量化分析的罕見見解。
- 學習如何使用 Python 進行數據和金融分析,並重現波動率與變異數市場的風格化事實
- 了解建模波動率與變異數的基本技術以及無模型的變異數重現
- 熟悉上市波動率與變異數衍生品市場的微觀結構要素
- 使用本書附帶的 IPython/Jupyter Notebooks 和 Python 代碼重現所有結果和圖形
上市波動率與變異數衍生品 是針對這些 Eurex 衍生產品的基於 Python 的量化分析的完整指南。