Introduction to financial derivatives with Python:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton ; London ; New York
CRC Press
2023
|
| Ausgabe: | First edition |
| Schriftenreihe: | Chapman and Hall/CRC Financial Mathematics Series
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxiii, 228 Seiten Diagramme |
| ISBN: | 9781032211039 9781032211053 |
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Datensatz im Suchindex
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| adam_text | Contents List of Figures xiii Foreword xvii Preface xxi Chapter 1■Introduction 1 1.1 FINANCIAL MARKETS 1 1.2 DERIVATIVES 1 1.3 TIME HAS AVALUE 2 1.4 NO-ARBITRAGE PRINCIPLE 5 1.5 CHAPTER’S DIGEST 7 1.6 EXERCISES 7 Chapter 2 ■ Futures and Forwards 9 2.1 FORWARD CONTRACTS: DEFINITIONS 2.2 FUTURES 11 2.3 WHY TO USE FORWARDS AND FUTURES? 14 2.4 THE FAIR DELIVERY PRICE: THE FORWARD PRICE 9 15 2.4.1 The General Approach 15 2.4.2 Some Special Cases 17 2.4.3 2.4.2.1 Assets that Provide a Known Income 17 2.4.2.2 Assets that Provide an Income Proportional to Its Price 19 The Price of a Forward Contract 21 vii
viii ■ Contents 2.4.4 The general case 21 2.4.4.1 The Case of a Known Income 22 2.4.4.2 Assets that Provide an Income Proportional to Its Price 22 2.5 CHAPTER’S DIGEST 23 2.6 EXERCISES 23 3 · Options 25 Chapter 3.1 CALL AND PUT OPTIONS 25 3.2 THE INTRINSIC VALUE OF AN OPTION 27 3.3 SOME PROPERTIES OF OPTION PRICES 27 28 3.3.2 The Price of an Option vs the Price of an Asset The Role of the strike price 3.3.3 The Role of the Price of the Underlying Asset 29 3.3.4 The Role of Interest Rates 30 3.3.5 The Role of Volatility 31 3.3.6 The Role of Time to Maturity 31 3.3.7 The Put-Call Parity 32 3.3.1 29 3.4 SPECULATION WITH OPTIONS 33 3.5 SOME CLASSICAL STRATEGIES 35 3.5.0.1 Bull Spread 35 3.5.0.2 Bear Spread 36 3.6 3.7 DRAW YOUR STRATEGY WITH PYTHON 37 CHAPTER’S DIGEST 42 3.8 EXERCISES 43 Chapter 4 · Exotic Options 45 4.1 BINARY OPTIONS 45 4.2 FORWARD START OPTIONS 46 4.2.1 4.3 Compound Options PATH-DEPENDENT OPTIONS 47 47
Contents ■ ix 4.3.1 Barrier Options 48 4.3.2 Lookback Options 50 4.3.3 Asian Options 51 4.4 SPREAD AND BASKET OPTIONS 52 4.5 BERMUDA OPTIONS 53 4.6 CHAPTER’S DIGEST 53 4.7 EXERCISES 53 Chapter 5.1 5-іГһе Binomial Model THE SINGLE-PERIOD BINOMIAL MODEL 59 5.1.2 Replication Portfolio for European Options 60 5.1.3 The Risk-neutral Valuation 64 Link the Model to the Market 5.1.4 THE MULTI-PERIOD BINOMIAL MODEL 67 69 5.2.1 Adjusting the Parameters 72 5.2.2 Pricing a European Option 74 5.2.3 5.3 55 Relationship between European Options and Their Underlying in the Binomial Model 5.1.1 5.2 55 5.2.2.1 Extended Framework 74 5.2.2.2 Simplified Framework 84 Early Exercise 84 THE GREEKS IN THE BINOMIAL MODEL 87 5.3.1 Delta 90 5.3.2 Gamma 90 5.3.3 Theta 91 5.3.4 Vega 91 5.3.5 Rho Approximating the Price Function 92 5.3.6 92 93 5.4 CODING THE BINOMIAL MODEL 5.5 CHAPTER’S DIGEST 105 5.6 EXERCISES 106
x ■ Contents Chapter 6 ■ A Continuous-time Pricing Model 109 6.1 CREATING SOME INTUITION 109 6.2 THE BLACK-SCHOLES-MERTON FRAMEWORK 113 6.3 THE BLACK-SCHOLES-MERTON EQUATION 114 6.4 THE BLACK-SCHOLES-MERTON FORMULA 116 6.5 THE BLACK-SCHOLES-MERTON MODEL FROM A PROBABILISTIC PERSPECTIVE 120 THE BLACK-SCHOLES-MERTON PRICE AND THE BINOMIAL PRICE 126 THE GREEKS IN THE BLACK-SCHOLES-MERTON MODEL 127 6.6 6.7 6.8 6.7.1 Delta 128 6.7.2 Theta 132 6.7.3 Gamma 134 6.7.4 Vega 137 OTHER ASSETS 139 6.8.1 Black-Scholes-Merton with Dividends 140 6.8.2 Black-Scholes-Merton for Foreign-Exchange 140 6.8.3 Black-scholes-Merton for Futures 141 DRAWBACKS OF THE BLACK-SCHOLES-MERTON MODEL 141 6.10 CHAPTER’S DIGEST 143 6.11 EXERCISES 143 6.9 Chapter 7 ■ Monte Carlo Methods 147 7.1 THE NEED OF GENERAL OPTION PRICING TOOLS 147 7.2 MATHEMATICAL FOUNDATIONS OF MONTE CARLO METHODS 148 Sample Means as Estimators of Theoretical Expectations 150 7.2.2 The Laws of Large Numbers 151 7.2.3 The Central Limit Theorem 154 7.2.1
Contents ■ xi 7.3 OPTION PRICING WITH MONTE CARLO METHODS 7.3.1 7.3.2 European Options that Depend Only on the Final Value of the Asset 155 156 European Options that Depend on the Path of Asset Prices 158 7.4 EUROPEAN OPTIONS THAT DEPEND ON THE FINAL PRICE OF TWO ASSETS 162 7.5 CHAPTER’S DIGEST 165 7.6 EXERCISES 165 Chapter 8 ■ The Volatility 169 8.1 HISTORICAL VOLATILITIES 169 8.2 THE SPOT VOLATILITY 171 8.3 THE IMPLIED VOLATILITY 172 8.4 CHAPTER’S DIGEST 174 8.5 EXERCISES 175 Chapter 9 ■ Replicating Portfolios 177 REPLICATING PORTFOLIOS FOR THE BINOMIAL MODEL 177 REPLICATING PORTFOLIOS FOR THE BLACK-SCHOLES-MERTON MODE 181 9.3 CHAPTER’S DIGEST 187 9.4 EXERCISES 188 9.1 9.2 Appendix A ■ Introduction to Python 191 A.1 BASIC OPERATIONS 191 A.2 DATATYPES 192 A.3 VARIABLES 193 A.4 PRINT 194 A.5 PACKAGES 195
xii ■ Contents A.6 ROCKING LIKE A DATA SCIENTIST 195 A.6.1 Import Data 196 A.6.2 Using Dataframes 197 A.6.3 Make Plot 201 A.7 CHAPTER’S DIGEST 206 A.8 EXERCISES 207 Appendix В ■ Introduction to Coding in Python 209 B.1 DEFINE YOUR OWN FUNCTIONS 209 B.2 IF 211 B.3 FOR 215 B.4 CREATING MATRICES 217 B.5 CHAPTER’S DIGEST 222 B.6 EXERCISES 223 Bibliography 225 Index 227
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| adam_txt |
Contents List of Figures xiii Foreword xvii Preface xxi Chapter 1■Introduction 1 1.1 FINANCIAL MARKETS 1 1.2 DERIVATIVES 1 1.3 TIME HAS AVALUE 2 1.4 NO-ARBITRAGE PRINCIPLE 5 1.5 CHAPTER’S DIGEST 7 1.6 EXERCISES 7 Chapter 2 ■ Futures and Forwards 9 2.1 FORWARD CONTRACTS: DEFINITIONS 2.2 FUTURES 11 2.3 WHY TO USE FORWARDS AND FUTURES? 14 2.4 THE FAIR DELIVERY PRICE: THE FORWARD PRICE 9 15 2.4.1 The General Approach 15 2.4.2 Some Special Cases 17 2.4.3 2.4.2.1 Assets that Provide a Known Income 17 2.4.2.2 Assets that Provide an Income Proportional to Its Price 19 The Price of a Forward Contract 21 vii
viii ■ Contents 2.4.4 The general case 21 2.4.4.1 The Case of a Known Income 22 2.4.4.2 Assets that Provide an Income Proportional to Its Price 22 2.5 CHAPTER’S DIGEST 23 2.6 EXERCISES 23 3 · Options 25 Chapter 3.1 CALL AND PUT OPTIONS 25 3.2 THE INTRINSIC VALUE OF AN OPTION 27 3.3 SOME PROPERTIES OF OPTION PRICES 27 28 3.3.2 The Price of an Option vs the Price of an Asset The Role of the strike price 3.3.3 The Role of the Price of the Underlying Asset 29 3.3.4 The Role of Interest Rates 30 3.3.5 The Role of Volatility 31 3.3.6 The Role of Time to Maturity 31 3.3.7 The Put-Call Parity 32 3.3.1 29 3.4 SPECULATION WITH OPTIONS 33 3.5 SOME CLASSICAL STRATEGIES 35 3.5.0.1 Bull Spread 35 3.5.0.2 Bear Spread 36 3.6 3.7 DRAW YOUR STRATEGY WITH PYTHON 37 CHAPTER’S DIGEST 42 3.8 EXERCISES 43 Chapter 4 · Exotic Options 45 4.1 BINARY OPTIONS 45 4.2 FORWARD START OPTIONS 46 4.2.1 4.3 Compound Options PATH-DEPENDENT OPTIONS 47 47
Contents ■ ix 4.3.1 Barrier Options 48 4.3.2 Lookback Options 50 4.3.3 Asian Options 51 4.4 SPREAD AND BASKET OPTIONS 52 4.5 BERMUDA OPTIONS 53 4.6 CHAPTER’S DIGEST 53 4.7 EXERCISES 53 Chapter 5.1 5-іГһе Binomial Model THE SINGLE-PERIOD BINOMIAL MODEL 59 5.1.2 Replication Portfolio for European Options 60 5.1.3 The Risk-neutral Valuation 64 Link the Model to the Market 5.1.4 THE MULTI-PERIOD BINOMIAL MODEL 67 69 5.2.1 Adjusting the Parameters 72 5.2.2 Pricing a European Option 74 5.2.3 5.3 55 Relationship between European Options and Their Underlying in the Binomial Model 5.1.1 5.2 55 5.2.2.1 Extended Framework 74 5.2.2.2 Simplified Framework 84 Early Exercise 84 THE GREEKS IN THE BINOMIAL MODEL 87 5.3.1 Delta 90 5.3.2 Gamma 90 5.3.3 Theta 91 5.3.4 Vega 91 5.3.5 Rho Approximating the Price Function 92 5.3.6 92 93 5.4 CODING THE BINOMIAL MODEL 5.5 CHAPTER’S DIGEST 105 5.6 EXERCISES 106
x ■ Contents Chapter 6 ■ A Continuous-time Pricing Model 109 6.1 CREATING SOME INTUITION 109 6.2 THE BLACK-SCHOLES-MERTON FRAMEWORK 113 6.3 THE BLACK-SCHOLES-MERTON EQUATION 114 6.4 THE BLACK-SCHOLES-MERTON FORMULA 116 6.5 THE BLACK-SCHOLES-MERTON MODEL FROM A PROBABILISTIC PERSPECTIVE 120 THE BLACK-SCHOLES-MERTON PRICE AND THE BINOMIAL PRICE 126 THE GREEKS IN THE BLACK-SCHOLES-MERTON MODEL 127 6.6 6.7 6.8 6.7.1 Delta 128 6.7.2 Theta 132 6.7.3 Gamma 134 6.7.4 Vega 137 OTHER ASSETS 139 6.8.1 Black-Scholes-Merton with Dividends 140 6.8.2 Black-Scholes-Merton for Foreign-Exchange 140 6.8.3 Black-scholes-Merton for Futures 141 DRAWBACKS OF THE BLACK-SCHOLES-MERTON MODEL 141 6.10 CHAPTER’S DIGEST 143 6.11 EXERCISES 143 6.9 Chapter 7 ■ Monte Carlo Methods 147 7.1 THE NEED OF GENERAL OPTION PRICING TOOLS 147 7.2 MATHEMATICAL FOUNDATIONS OF MONTE CARLO METHODS 148 Sample Means as Estimators of Theoretical Expectations 150 7.2.2 The Laws of Large Numbers 151 7.2.3 The Central Limit Theorem 154 7.2.1
Contents ■ xi 7.3 OPTION PRICING WITH MONTE CARLO METHODS 7.3.1 7.3.2 European Options that Depend Only on the Final Value of the Asset 155 156 European Options that Depend on the Path of Asset Prices 158 7.4 EUROPEAN OPTIONS THAT DEPEND ON THE FINAL PRICE OF TWO ASSETS 162 7.5 CHAPTER’S DIGEST 165 7.6 EXERCISES 165 Chapter 8 ■ The Volatility 169 8.1 HISTORICAL VOLATILITIES 169 8.2 THE SPOT VOLATILITY 171 8.3 THE IMPLIED VOLATILITY 172 8.4 CHAPTER’S DIGEST 174 8.5 EXERCISES 175 Chapter 9 ■ Replicating Portfolios 177 REPLICATING PORTFOLIOS FOR THE BINOMIAL MODEL 177 REPLICATING PORTFOLIOS FOR THE BLACK-SCHOLES-MERTON MODE 181 9.3 CHAPTER’S DIGEST 187 9.4 EXERCISES 188 9.1 9.2 Appendix A ■ Introduction to Python 191 A.1 BASIC OPERATIONS 191 A.2 DATATYPES 192 A.3 VARIABLES 193 A.4 PRINT 194 A.5 PACKAGES 195
xii ■ Contents A.6 ROCKING LIKE A DATA SCIENTIST 195 A.6.1 Import Data 196 A.6.2 Using Dataframes 197 A.6.3 Make Plot 201 A.7 CHAPTER’S DIGEST 206 A.8 EXERCISES 207 Appendix В ■ Introduction to Coding in Python 209 B.1 DEFINE YOUR OWN FUNCTIONS 209 B.2 IF 211 B.3 FOR 215 B.4 CREATING MATRICES 217 B.5 CHAPTER’S DIGEST 222 B.6 EXERCISES 223 Bibliography 225 Index 227 |
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| spelling | Alòs, Elisa Verfasser (DE-588)1242215816 aut Introduction to financial derivatives with Python Elisa Alòs (Pompeu Fabra University, Spain), Raúl Merino (Pompeu Fabra University, Spain) ; foreword by Frido Rolloos First edition Boca Raton ; London ; New York CRC Press 2023 xxiii, 228 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Chapman and Hall/CRC Financial Mathematics Series Python Programmiersprache (DE-588)4434275-5 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Derivat Wertpapier (DE-588)4381572-8 s Finanzmathematik (DE-588)4017195-4 s Python Programmiersprache (DE-588)4434275-5 s b DE-604 Merino, Raúl Verfasser (DE-588)1282570323 aut Rolloos, Frido wpr Erscheint auch als Online-Ausgabe 978-1-003-26673-0 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=034068526&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Alòs, Elisa Merino, Raúl Introduction to financial derivatives with Python Python Programmiersprache (DE-588)4434275-5 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
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| title | Introduction to financial derivatives with Python |
| title_auth | Introduction to financial derivatives with Python |
| title_exact_search | Introduction to financial derivatives with Python |
| title_exact_search_txtP | Introduction to financial derivatives with Python |
| title_full | Introduction to financial derivatives with Python Elisa Alòs (Pompeu Fabra University, Spain), Raúl Merino (Pompeu Fabra University, Spain) ; foreword by Frido Rolloos |
| title_fullStr | Introduction to financial derivatives with Python Elisa Alòs (Pompeu Fabra University, Spain), Raúl Merino (Pompeu Fabra University, Spain) ; foreword by Frido Rolloos |
| title_full_unstemmed | Introduction to financial derivatives with Python Elisa Alòs (Pompeu Fabra University, Spain), Raúl Merino (Pompeu Fabra University, Spain) ; foreword by Frido Rolloos |
| title_short | Introduction to financial derivatives with Python |
| title_sort | introduction to financial derivatives with python |
| topic | Python Programmiersprache (DE-588)4434275-5 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Python Programmiersprache Derivat Wertpapier Finanzmathematik Lehrbuch |
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