Listed volatility and variance derivatives: a Python-based guide
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken
Wiley
2017
|
| Series: | Wiley finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xi, 354 Seiten Illustrationen |
| ISBN: | 9781119167914 |
Staff View
MARC
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Record in the Search Index
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| adam_text | LISTED VOLATILITY AND VARIANCE DERIVATIVES
/ / / / / / / HILPISCH, YVES J.YYEAUTHOR
: : : : : : : 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
^^ - AN OVERVIEW 247 12.1 INTRODUCTION 247 12.2 MODELING RISK FACTORS
248 12.3 MODELING DERIVATIVES 250 12.4 DERIVATIVES PORTFOLIOS 253 12.4.1
MODELING PORTFOLIOS 253 12.4.2 SIMULATION AND VALUATION 255 12.4.3 RISK
REPORTS 256 12.5 CONCLUSIONS 257 13 DX ANALYTICS
SQUARE-ROOT DIFFUSION 259 13.1 INTRODUCTION 259 13.2 DATA IMPORT AND
SELECTION 259 13.3 MODELING THE VSTOXX OPTIONS 262 13.4 CALIBRATION OF
THE VSTOXX MODEL 264 13.5 CONCLUSIONS 269 13.6 PYTHON SCRIPTS 269 13.6.1
DX_SRD_CALIBRATION.PY 269 14 DX ANALYTICS
SQUARE-ROOT JUMP DIFFUSION 275 14.1 INTRODUCTION 275 14.2 MODELING THE
VSTOXX OPTIONS 275 14.3 CALIBRATION OF THE VSTOXX MODEL 279 14.4
CALIBRATION RESULTS 283 14.4.1 CALIBRATION TO 1 MATURITY 283 14.4.2
CALIBRATION TO 2 MATURITIES 283 14.4.3 CALIBRATION TO 5 MATURITIES 285
14.4.4 CALIBRATION WITHOUT PENALTIES 285 14.5 CONCLUSIONS 288 14.6
PYTHON SCRIPTS 288 14.6.1 DX_SRJD_CALIBRATION.PY 288 BIBLIOGRAPHY 303
INDEX 305
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
Preface
xi
■ „ Ml 111« ~^»c£c3 i:-v ^ ~v / i f .**** ? - .- -- -.z rn/ ? - r-V.cr „ *v ^‘•rrj-T^
Introduction to Volatility and Variance
CHAPTER 1
Derivatives, Volatility and Variance 3
1.1 Option Pricing and Hedging 3
1.2 Notions of Volatility and Variance 6
1.3 Listed Volatility and Variance Derivatives 7
1.3.1 The US History 7
1.3.2 The European History 8
1.3.3 Volatility of Volatility Indexes 9
1.3.4 Products Covered in this Book 10
1.4 Volatility and Variance Trading 11
1.4.1 Volatility Trading 11
1.4.2 Variance Trading 13
1.5 Python as Our Tool of Choice 14
1.6 Quick Guide Through the Rest of the Book 14
CHAPTER 2
Introduction to Python 17
2.1 Python Basics 17
2.1.1 Data Types 17
2.1.2 Data Structures 20
2.1.3 Control Structures 22
2.1.4 Special Python Idioms 23
2.2 NumPy 28
2.3 matplotlib 34
2.4 pandas 38
2.4.1 pandas DataFrame class 39
2.4.2 Input-Output Operations 45
2.4.3 Financial Analytics Examples 47
2.5 Conclusions 53
V
VI
CONTENTS
CHAPTER 3
Model-Free Replication of Variance 55
3.1 Introduction 55
3.2 Spanning with Options 56
3.3 Log Contracts 57
3.4 Static Replication of Realized Variance and Variance Swaps 57
3.5 Constant Dollar Gamma Derivatives and Portfolios 58
3.6 Practical Replication of Realized Variance 59
3.7 VSTOXX as Volatility Index 65
3.8 Conclusions 67
PART1W0
Listed Volatility Derivatives
CHAPTER 4
Data Analysis and Strategies 71
4.1 Introduction 71
4.2 Retrieving Base Data 71
4.2.1 EURO STOXX 50 Data 71
4.2.2 VSTOXX Data 74
4.2.3 Combining the Data Sets 76
4.2.4 Saving the Data 78
4.3 Basic Data Analysis 78
4.4 Correlation Analysis 83
4.5 Constant Proportion Investment Strategies 87
4.6 Conclusions 93
CHAPTER 5
VSTOXX Index 95
5.1 Introduction 95
5.2 Collecting Option Data 95
5.3 Calculating the Sub-Indexes 105
5.3.1 The Algorithm 106
5.4 Calculating the VSTOXX Index 114
5.5 Conclusions 118
5.6 Python Scripts 118
5.6.1 index_collect_option_data.py 118
5.6.2 index_subindex_calculation.py 123
5.6.3 index_vstoxx_calculation.py 127
CHAPTER 6
Valuing Volatility Derivatives 129
6.1 Introduction 129
6.2 The Valuation Framework 129
6.3 The Futures Pricing Formula 130
Contents
vii
6.4 The Option Pricing Formula 132
6.5 Monte Carlo Simulation 135
6.6 Automated Monte Carlo Tests 141
6.6.1 The Automated Testing 141
6.6.2 The Storage Functions 145
6.6.3 The Results 146
6.7 Model Calibration 153
6.7.1 The Option Quotes 154
6.7.2 The Calibration Procedure 155
6.7.3 The Calibration Results 160
6.8 Conclusions 163
6.9 Python Scripts 163
6.9.1 srd_functions.py 163
6.9.2 srd_simulation_analysis.py 167
6.9.3 srd_simulation_results.py 171
6.9.4 srd^modeLcalibration.py 174
CHAPTER 7
Advanced Modeling of the VSTOXX Index 179
7.1 Introduction 179
7.2 Market Quotes for Call Options 179
7.3 The SRJD Model 182
7.4 Term Structure Calibration 183
7.4.1 Futures Term Structure 184
7.4.2 vShifted Volatility Process 190
7.5 Option Valuation by Monte Carlo Simulation 191
7.5.1 Monte Carlo Valuation 191
7.5.2 Technical Implementation 192
7.6 Model Calibration 195
7.6.1 The Python Code 196
7.6.2 Short Maturity 199
7.6.3 Two Maturities 201
7.6.4 Four Maturities 203
7.6.5 All Maturities 205
7.7 Conclusions 209
7.8 Python Scripts 210
7.8.1 srjdJwd_calibration.py 210
7.8.2 srjd_simulation.py 212
7.8.3 srjd_model_calibration.py 215
CHAPTER 8
Terms of the VSTOXX and its Derivatives 221
8.1 The EURO STOXX 50 Index 221
8.2 The VSTOXX Index 221
8.3 VSTOXX Futures Contracts 223
8.4 VSTOXX Options Contracts 224
8.5 Conclusions 225
viii
CONTENTS
PART THREE
Listed Variance Derivatives
1 „-i ■ ! .
wmmmmmMmmmmmm
CHAPTER 9
Realized Variance and Variance Swaps 229
9.1 Introduction 229
9.2 Realized Variance 229
9.3 Variance Swaps 235
9.3.1 Definition of a Variance Swap 235
9.3.2 Numerical Example 235
9.3.3 Mark-to-Market 239
9.3.4 Vega Sensitivity 241
9.3.5 Variance Swap on the EURO STOXX 50 242
9.4 Variance vs. Volatility 247
9.4.1 Squared Variations 247
9.4.2 Additivity in Time 247
9.4.3 Static Hedges 250
9.4.4 Broad Measure of Risk 250
9.5 Conclusions 250
CHAPTER 10
Variance Futures at Eurex 251
10.1 Introduction 251
10.2 Variance Futures Concepts 252
10.2.1 Realized Variance 252
10.2.2 Net Present Value Concepts 252
10.2.3 Traded Variance Strike 257
10.2.4 Traded Futures Price 257
10.2.5 Number of Futures 258
10.2.6 Par Variance Strike 258
10.2.7 Futures Settlement Price 258
10.3 Example Calculation for a Variance Future 258
10.4 Comparison of Variance Swap and Future 265
10.5 Conclusions 268
CHAPTER 11
Trading and Settlement 269
11.1 Introduction 269
11.2 Overview of Variance Futures Terms 269
11.3 Intraday Trading 270
11.4 Trade Matching 274
11.5 Different Traded Volatilities 275
11.6 After the Trade Matching 277
11.7 Further Details 279
11.7.1 Interest Rate Calculation 279
11.7.2 Market Disruption Events 280
11.8 Conclusions 280
Contents ¡X
PART FOUR
DX Analytics
CHAPTER 12
DX Analytics - An Overview 283
12.1 Introduction 283
12.2 Modeling Risk Factors 284
12.3 Modeling Derivatives 287
12.4 Derivatives Portfolios 290
12.4.1 Modeling Portfolios 292
12.4.2 Simulation and Valuation 293
12.4.3 Risk Reports 294
12.5 Conclusions 296
CHAPTER 13
DX Analytics - Square-Root Diffusion 297
13.1 Introduction 297
13.2 Data Import and Selection 297
13.3 Modeling the VSTOXX Options 301
13.4 Calibration of the VSTOXX Model 303
13.5 Conclusions 308
13.6 Python Scripts 308
13.6.1 dx_srd_calibration.py 308
CHAPTER 14
DX Analytics - Square-Root Jump Diffusion 315
14.1 Introduction 315
14.2 Modeling the VSTOXX Options 315
14.3 Calibration of the VSTOXX Model 320
14.4 Calibration Results 325
14.4.1 Calibration to One Maturity 325
14.4.2 Calibration to Two Maturities 325
14.4.3 Calibration to Five Maturities 325
14.4.4 Calibration without Penalties 331
14.5 Conclusions 332
14.6 Python Scripts 334
14.6.1 dx_srjd_calibration.py 334
Bibliography 345
Index 347
|
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| spelling | Hilpisch, Yves Verfasser (DE-588)122757831 aut Listed volatility and variance derivatives a Python-based guide Yves J. Hilpisch Hoboken Wiley 2017 xi, 354 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Wiley finance Includes bibliographical references and index BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities Python (Computer program language) BUSINESS & ECONOMICS / Finance Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Python Programmiersprache (DE-588)4434275-5 gnd rswk-swf Datenanalyse (DE-588)4123037-1 gnd rswk-swf Volatilität (DE-588)4268390-7 s Derivat Wertpapier (DE-588)4381572-8 s Datenanalyse (DE-588)4123037-1 s Python Programmiersprache (DE-588)4434275-5 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-119-16792-1 Erscheint auch als Online-Ausgabe 978-1-119-16793-8 Erscheint auch als Online-Ausgabe 978-1-119-16794-5 LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029427764&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029427764&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hilpisch, Yves Listed volatility and variance derivatives a Python-based guide BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities Python (Computer program language) BUSINESS & ECONOMICS / Finance Derivat Wertpapier (DE-588)4381572-8 gnd Volatilität (DE-588)4268390-7 gnd Python Programmiersprache (DE-588)4434275-5 gnd Datenanalyse (DE-588)4123037-1 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4268390-7 (DE-588)4434275-5 (DE-588)4123037-1 |
| title | Listed volatility and variance derivatives a Python-based guide |
| title_auth | Listed volatility and variance derivatives a Python-based guide |
| title_exact_search | Listed volatility and variance derivatives a Python-based guide |
| title_full | Listed volatility and variance derivatives a Python-based guide Yves J. Hilpisch |
| title_fullStr | Listed volatility and variance derivatives a Python-based guide Yves J. Hilpisch |
| title_full_unstemmed | Listed volatility and variance derivatives a Python-based guide Yves J. Hilpisch |
| title_short | Listed volatility and variance derivatives |
| title_sort | listed volatility and variance derivatives a python based guide |
| title_sub | a Python-based guide |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities Python (Computer program language) BUSINESS & ECONOMICS / Finance Derivat Wertpapier (DE-588)4381572-8 gnd Volatilität (DE-588)4268390-7 gnd Python Programmiersprache (DE-588)4434275-5 gnd Datenanalyse (DE-588)4123037-1 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Wirtschaft Derivative securities Python (Computer program language) Derivat Wertpapier Volatilität Python Programmiersprache Datenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029427764&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029427764&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hilpischyves listedvolatilityandvariancederivativesapythonbasedguide |
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