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Python for Finance

You're reading from   Python for Finance Apply powerful finance models and quantitative analysis with Python

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Product type Paperback
Published in Jun 2017
Publisher
ISBN-13 9781787125698
Length 586 pages
Edition 2nd Edition
Languages
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Author (1):
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Yuxing Yan Yuxing Yan
Author Profile Icon Yuxing Yan
Yuxing Yan
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Table of Contents (17) Chapters Close

Preface 1. Python Basics FREE CHAPTER 2. Introduction to Python Modules 3. Time Value of Money 4. Sources of Data 5. Bond and Stock Valuation 6. Capital Asset Pricing Model 7. Multifactor Models and Performance Measures 8. Time-Series Analysis 9. Portfolio Theory 10. Options and Futures 11. Value at Risk 12. Monte Carlo Simulation 13. Credit Risk Analysis 14. Exotic Options 15. Volatility, Implied Volatility, ARCH, and GARCH Index

References

One of the important properties of a normal distribution is that we could use mean and standard deviation.

Engle, Robert, 2002, DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS OF MULTIVARIATE GARCH MODELS, Forthcoming Journal of Business and Economic Statistics, http://pages.stern.nyu.edu/~rengle/dccfinal.pdf.

Appendix A – data case 8 - portfolio hedging using VIX calls

The CBOE Volatility Index (VIX) is based on the S&P500 Index (SPX), the core index for U.S. equities, and estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices.

By supplying a script for replicating volatility exposure with a portfolio of SPX options, this new methodology transformed VIX from an abstract concept into a practical standard for trading and hedging volatility.

In 2014, CBOE enhanced the VIX Index to include series of SPX Weekly options. The inclusion of SPX Weeklies allows the VIX Index to be calculated with S&P500...

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