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.
