Financial Modelling in Python (PDF)
(Sprache: Englisch)
"Fletcher and Gardner have created a comprehensive resource that
will be of interest not only to those working in the field of
finance, but also to those using numerical methods in other fields
such as engineering, physics, and actuarial mathematics. By...
will be of interest not only to those working in the field of
finance, but also to those using numerical methods in other fields
such as engineering, physics, and actuarial mathematics. By...
Leider schon ausverkauft
eBook (pdf)
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Financial Modelling in Python (PDF)“
"Fletcher and Gardner have created a comprehensive resource that
will be of interest not only to those working in the field of
finance, but also to those using numerical methods in other fields
such as engineering, physics, and actuarial mathematics. By showing
how to combine the high-level elegance, accessibility, and
flexibility of Python, with the low-level computational efficiency
of C++, in the context of interesting financial modeling problems,
they have provided an implementation template which will be useful
to others seeking to jointly optimize the use of computational and
human resources. They document all the necessary technical details
required in order to make external numerical libraries available
from within Python, and they contribute a useful library of their
own, which will significantly reduce the start-up costs involved in
building financial models. This book is a must read for all those
with a need to apply numerical methods in the valuation of
financial claims."
-David Louton, Professor of Finance, Bryant University
This book is directed at both industry practitioners and
students interested in designing a pricing and risk management
framework for financial derivatives using the Python programming
language.
It is a practical book complete with working, tested code that
guides the reader through the process of building a flexible,
extensible pricing framework in Python. The pricing frameworks'
loosely coupled fundamental components have been designed to
facilitate the quick development of new models. Concrete
applications to real-world pricing problems are also provided.
Topics are introduced gradually, each building on the last. They
include basic mathematical algorithms, common algorithms from
numerical analysis, trade, market and event data model
representations, lattice and simulation based pricing, and model
development. The mathematics presented is kept simple and to the
point.
The book also provides a host of information on practical
technical topics such as C++/Python hybrid development (embedding
and extending) and techniques for integrating Python based programs
with Microsoft Excel.
will be of interest not only to those working in the field of
finance, but also to those using numerical methods in other fields
such as engineering, physics, and actuarial mathematics. By showing
how to combine the high-level elegance, accessibility, and
flexibility of Python, with the low-level computational efficiency
of C++, in the context of interesting financial modeling problems,
they have provided an implementation template which will be useful
to others seeking to jointly optimize the use of computational and
human resources. They document all the necessary technical details
required in order to make external numerical libraries available
from within Python, and they contribute a useful library of their
own, which will significantly reduce the start-up costs involved in
building financial models. This book is a must read for all those
with a need to apply numerical methods in the valuation of
financial claims."
-David Louton, Professor of Finance, Bryant University
This book is directed at both industry practitioners and
students interested in designing a pricing and risk management
framework for financial derivatives using the Python programming
language.
It is a practical book complete with working, tested code that
guides the reader through the process of building a flexible,
extensible pricing framework in Python. The pricing frameworks'
loosely coupled fundamental components have been designed to
facilitate the quick development of new models. Concrete
applications to real-world pricing problems are also provided.
Topics are introduced gradually, each building on the last. They
include basic mathematical algorithms, common algorithms from
numerical analysis, trade, market and event data model
representations, lattice and simulation based pricing, and model
development. The mathematics presented is kept simple and to the
point.
The book also provides a host of information on practical
technical topics such as C++/Python hybrid development (embedding
and extending) and techniques for integrating Python based programs
with Microsoft Excel.
Inhaltsverzeichnis zu „Financial Modelling in Python (PDF)“
1 Welcome to Python. 1.1 Why Python? 1.2 Common misconceptions about Python. 1.3 Roadmap for this book. 2 The PPF Package. 2.1 PPF topology. 2.2 Unit testing. 2.3 Building and installing PPF. 3 Extending Python from C++. 3.1 Boost.Date Time types. 3.2 Boost.MultiArray and special functions. 3.3 NumPy arrays. 4 Basic Mathematical Tools. 4.1 Random number generation. 4.2 N(.) 4.3 Interpolation. 4.4 Root finding. 4.5 Linear algebra. 4.6 Generalised linear least squares. 4.7 Quadratic and cubic roots. 4.8 Integration. 5 Market: Curves and Surfaces. 5.1 Curves. 5.2 Surfaces. 5.3 Environment. 6 Data Model. 6.1 Observables. 6.2 Flows. 6.3 Adjuvants. 6.4 Legs. 6.5 Exercises. 6.6 Trades. 6.7 Trade utilities. 7 Timeline: Events and Controller. 7.1 Events. 7.2 Timeline. 7.3 Controller. 8 The Hull-White Model. 8.1 A component-based design. 8.2 The model and model factories. 8.3 Concluding remarks. 9 Pricing using Numerical Methods. 9.1 A lattice pricing framework. 9.2 A Monte-Carlo pricing framework. 9.3 Concluding remarks. 10 Pricing Financial Structures in Hull-White. 10.1 Pricing a Bermudan. 10.2 Pricing a TARN. 10.3 Concluding remarks. 11 Hybrid Python/C++ Pricing Systems. 11.1 nth imm of year revisited. 11.2 Exercising nth imm of year from C++. 12 Python Excel Integration. 12.1 Black-scholes COM server. 12.2 Numerical pricing with PPF in Excel. Appendices. A Python. A.1 Python interpreter modes. A.2 Basic Python. A.3 Conclusion. B Boost.Python. B.1 Hello world. B.2 Classes, constructors and methods. B.3 Inheritance. B.4 Python operators. B.5 Functions. B.6 Enums. B.7 Embedding. B.8 Conclusion. C Hull-White Model Mathematics. D Pickup Value Regression. Bibliography. Index.
Autoren-Porträt von Shayne Fletcher, Christopher Gardner
SHAYNE FLETCHER has a BSc. from the University of Sydney,Australia. He has had more than 10 years experience working for
major investment banks in London, The Netherlands and Japan. In
2009 he founded QuantSoft (href="http://www.quantsoft.co.jp/">http://www.quantsoft.co.jp)
providing technical consulting services to meet the financial
engineering programming needs of its clients.
CHRISTOPHER GARDNER has a PhD in Applied Mathematics from
King's College, London. He began his career working for UKAEA
Fusion at Culham Laboratory before moving to the City of London. He
has 10 years experience working as a Quantitative analyst. He is
currently working on the pricing of Life derivatives for the Asset
Management Pricing Desk at Swiss Re.
Bibliographische Angaben
- Autoren: Shayne Fletcher , Christopher Gardner
- 2010, 1. Auflage, 244 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470747897
- ISBN-13: 9780470747896
- Erscheinungsdatum: 13.10.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 2.08 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Financial Modelling in Python"
Schreiben Sie einen Kommentar zu "Financial Modelling in Python".
Kommentar verfassen