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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

Summary

In this chapter, we first explained various concepts related to portfolio theory, such as covariance and correlation for a pair of stocks and for a portfolio. After that, we discussed various risk measures for individual stocks or portfolios, such as the Sharpe ratio, Treynor ratio, and Sortino ratio, how to minimize portfolio risks based on those measures (ratios), how to set up an objective function, how to choose an efficient portfolio for a given set of stocks, and how to construct an efficient frontier.

For the next chapter, Chapter 10, Options and Futures, we will explain some basic concepts first. Then, we will discuss the famous Black-Scholes-Merton options model. In addition, various trading strategies involving options will be discussed in detail.

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