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Derivatives Analytics with Python Data Analysis, Models, Simulation, Calibration and Hedging - Yves Hilpisch 2015 PDF John Wiley & Sons Ltd BOOKS BUSINESS AND ECONOMICS
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Derivatives Analytics with Python Data Analysis, Models, Simulation, Calibration and Hedging
Author: Yves Hilpisch
Year: 2015
Pages: 377
Format: PDF
File size: 11,47 MB
Language: ENG



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The book begins by introducing the basic concepts of derivatives analytics and its importance in today's financial world. It then delves into the details of the Black-Scholes model and binomial model, explaining how they can be used to price options accurately. The next chapter explores more advanced topics such as volatility smiles and skews, and how to incorporate them into your pricing and hedging strategies. The following chapters cover risk management and hedging techniques, including delta hedging and gamma hedging. Finally, the book concludes with a discussion on the future of derivatives analytics and how it will continue to evolve in the coming years. Throughout the book, the author emphasizes the importance of understanding the underlying principles of derivatives analytics and how they can be applied in real-world scenarios. He also provides practical examples and exercises to help readers reinforce their understanding of the concepts presented. With this comprehensive guide, readers will gain a deep understanding of derivatives analytics and be able to apply their knowledge in a variety of financial settings. Derivatives Analytics with Python is an essential resource for anyone looking to master the field of derivatives analytics and its applications in finance.
Книга начинается с представления основных концепций аналитики деривативов и ее важности в современном финансовом мире. Затем он углубляется в детали модели Блэка-Шоулза и биномиальной модели, объясняя, как их можно использовать для точной оценки опционов. В следующей главе рассматриваются более продвинутые темы, такие как улыбки и перекосы волатильности, а также способы их включения в ваши стратегии ценообразования и хеджирования. В следующих главах рассматриваются методы управления рисками и хеджирования, включая дельта-хеджирование и гамма-хеджирование. Наконец, книга завершается обсуждением будущего деривативной аналитики и того, как она продолжит развиваться в ближайшие годы. На протяжении всей книги автор подчеркивает важность понимания основополагающих принципов деривативной аналитики и того, как они могут быть применены в реальных сценариях. Он также приводит практические примеры и упражнения, чтобы помочь читателям укрепить свое понимание представленных концепций. Благодаря этому всеобъемлющему руководству читатели получат глубокое понимание аналитики деривативов и смогут применять свои знания в различных финансовых условиях. Derivatives Analytics с Python является важным ресурсом для всех, кто хочет освоить область деривативной аналитики и ее приложений в финансах.
livre commence par une présentation des concepts de base de l'analyse des dérivés et de son importance dans le monde financier d'aujourd'hui. Il se penche ensuite sur les détails du modèle Black-Showles et du modèle binomial, expliquant comment ils peuvent être utilisés pour évaluer avec précision les options. chapitre suivant traite de sujets plus avancés tels que les sourires et les distorsions de volatilité, ainsi que de la façon de les intégrer dans vos stratégies de prix et de couverture. s chapitres suivants examinent les pratiques de gestion des risques et de couverture, y compris la couverture delta et la couverture gamma. Enfin, le livre conclut en discutant de l'avenir de l'analyse dérivée et de la façon dont elle continuera d'évoluer dans les années à venir. Tout au long du livre, l'auteur souligne l'importance de comprendre les principes fondamentaux de l'analyse dérivée et comment ils peuvent être appliqués dans des scénarios réels. Il donne également des exemples pratiques et des exercices pour aider les lecteurs à renforcer leur compréhension des concepts présentés. Grâce à ce guide complet, les lecteurs auront une compréhension approfondie de l'analyse des dérivés et pourront appliquer leurs connaissances dans différents contextes financiers. Derivatives Analytics avec Python est une ressource importante pour tous ceux qui veulent maîtriser le domaine de l'analyse dérivée et ses applications dans la finance.
libro comienza presentando los conceptos básicos de la analítica de derivados y su importancia en el mundo financiero actual. A continuación, se profundiza en los detalles del modelo Black-Showles y el modelo binomial, explicando cómo se pueden utilizar para evaluar las opciones con precisión. siguiente capítulo aborda temas más avanzados, como las sonrisas y los sesgos de volatilidad, así como cómo incluirlos en sus estrategias de precios y cobertura. En los siguientes capítulos se examinan las técnicas de gestión de riesgos y cobertura, incluidas la cobertura en delta y la cobertura en gamma. Por último, el libro concluye con una discusión sobre el futuro de la analítica de derivados y cómo seguirá evolucionando en los próximos . A lo largo del libro, el autor destaca la importancia de entender los principios fundamentales de la analítica de derivados y cómo se pueden aplicar en escenarios reales. También proporciona ejemplos prácticos y ejercicios para ayudar a los lectores a fortalecer su comprensión de los conceptos presentados. A través de esta guía integral, los lectores obtendrán una comprensión profunda de los análisis de derivados y podrán aplicar sus conocimientos en diferentes entornos financieros. Derivatives Analytics con Python es un recurso importante para cualquiera que quiera dominar el área de análisis de derivados y sus aplicaciones en finanzas.
O livro começa apresentando os principais conceitos dos analistas de derivativos e sua importância no mundo financeiro atual. Depois, aprofundou-se nos detalhes do modelo Black-Showles e do modelo binômio, explicando como eles podem ser usados para avaliar as opções com precisão. O próximo capítulo aborda temas mais avançados, como sorrisos e distorções de volatilidade, e formas de incluí-los em suas estratégias de preços e hedge. Os capítulos seguintes abordam técnicas de gerenciamento de risco e hedge, incluindo a hedge delta e gama. Finalmente, o livro termina com uma discussão sobre o futuro dos analistas de derivativos e como ele continuará a evoluir nos próximos anos. Ao longo do livro, o autor ressalta a importância de entender os princípios fundamentais dos analistas de derivativos e como eles podem ser aplicados em cenários reais. Ele também cita exemplos práticos e exercícios para ajudar os leitores a reforçar sua compreensão dos conceitos apresentados. Com este manual abrangente, os leitores terão uma compreensão profunda dos analistas de derivativos e poderão aplicar seus conhecimentos em diferentes condições financeiras. Derivates Analytics com Python é um recurso importante para todos os que querem aprender a área de analistas de derivativos e seus aplicativos em finanças.
Il libro inizia presentando i concetti fondamentali degli analisti di derivati e la sua importanza nel mondo finanziario moderno. Poi si approfondisce nei dettagli del modello Black-Showles e del modello binomiale, spiegando come possono essere utilizzati per valutare con precisione le opzioni. Il capitolo seguente affronta argomenti più avanzati, come sorrisi e distorsioni di volatilità, così come i modi per inserirli nelle vostre strategie di prezzo e cura. I seguenti capitoli descrivono le modalità di gestione dei rischi e di gestione dei rischi, incluse la progettazione delta e la protezione gamma. Infine, il libro si conclude con una discussione sul futuro degli analisti derivativi e su come continuerà a svilupparsi nei prossimi anni. Durante tutto il libro, l'autore sottolinea l'importanza di comprendere i principi fondamentali degli analisti derivativi e come essi possono essere applicati in scenari reali. Fornisce anche esempi pratici e esercizi per aiutare i lettori a rafforzare la loro comprensione dei concetti presentati. Grazie a questa guida completa, i lettori avranno una profonda comprensione degli analisti dei derivati e potranno applicare le loro conoscenze in diverse condizioni finanziarie. Derivates Analytics con Python è una risorsa importante per tutti coloro che desiderano imparare il campo degli analisti derivativi e delle sue applicazioni nella finanza.
Das Buch beginnt mit einer Darstellung der Kernkonzepte der Derivatanalytik und ihrer Bedeutung in der heutigen Finanzwelt. Er geht dann auf die Details des Black-Scholes-Modells und des Binomialmodells ein und erklärt, wie sie zur genauen Bewertung von Optionen verwendet werden können. Das nächste Kapitel befasst sich mit fortgeschritteneren Themen wie Lächeln und Volatilitätsverzerrungen und wie sie in Ihre Preis- und Absicherungsstrategien integriert werden können. Die folgenden Kapitel behandeln Risikomanagement- und Hedging-Methoden, einschließlich Delta-Hedging und Gamma-Hedging. Schließlich schließt das Buch mit einer Diskussion über die Zukunft der derivativen Analytik und wie sie sich in den kommenden Jahren weiterentwickeln wird. Im Laufe des Buches betont der Autor, wie wichtig es ist, die grundlegenden Prinzipien der derivativen Analyse zu verstehen und wie sie in realen Szenarien angewendet werden können. Er gibt auch praktische Beispiele und Übungen, um den sern zu helfen, ihr Verständnis der vorgestellten Konzepte zu stärken. Mit diesem umfassenden itfaden erhalten die ser ein tiefes Verständnis für die Analyse von Derivaten und können ihr Wissen unter verschiedenen finanziellen Bedingungen anwenden. Derivatives Analytics mit Python ist eine wichtige Ressource für alle, die den Bereich der derivativen Analytik und ihre Anwendungen im Finanzwesen beherrschen wollen.
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Kitap, türev analitiğinin temel kavramlarını ve modern finans dünyasındaki önemini tanıtarak başlıyor. Daha sonra Black-Scholes modelinin ve binom modelinin ayrıntılarını inceleyerek, seçenekleri doğru bir şekilde fiyatlandırmak için nasıl kullanılabileceğini açıklıyor. Bir sonraki bölüm, gülümsemeler ve volatilite eğrilikleri gibi daha gelişmiş konulara ve bunları fiyatlandırma ve riskten korunma stratejilerinize nasıl dahil edeceğinize bakar. Aşağıdaki bölümlerde, delta riskten korunma ve gama riskten korunma dahil olmak üzere risk yönetimi ve riskten korunma uygulamaları tartışılmaktadır. Son olarak, kitap türev analitiğinin geleceği ve önümüzdeki yıllarda nasıl gelişmeye devam edeceği üzerine bir tartışma ile sona eriyor. Kitap boyunca yazar, türev analitiğinin temel ilkelerini ve bunların gerçek dünya senaryolarında nasıl uygulanabileceğini anlamanın önemini vurgulamaktadır. Ayrıca, okuyucuların sunulan kavramları anlamalarını güçlendirmelerine yardımcı olacak pratik örnekler ve alıştırmalar sunar. Bu kapsamlı rehberle, okuyucular türev analizleri hakkında derin bir anlayış kazanacak ve bilgilerini çeşitli finansal ortamlarda uygulayabileceklerdir. Türevler Python ile Analitik, türev analitiği alanında ve finans alanındaki uygulamalarında uzmanlaşmak isteyen herkes için önemli bir kaynaktır.
يبدأ الكتاب بتقديم المفاهيم الأساسية لتحليلات المشتقات وأهميتها في العالم المالي الحديث. ثم يتعمق في تفاصيل نموذج Black-Scholes ونموذج ثنائي الحدود، موضحًا كيف يمكن استخدامها لتسعير الخيارات بدقة. يبحث الفصل التالي في موضوعات أكثر تقدمًا مثل الابتسامات وانحرافات التقلب، وكيفية دمجها في استراتيجيات التسعير والتحوط الخاصة بك. تناقش الفصول التالية إدارة المخاطر وممارسات التحوط، بما في ذلك التحوط من دلتا والتحوط من غاما. أخيرًا، يختتم الكتاب بمناقشة مستقبل تحليلات المشتقات وكيف سيستمر في التطور خلال السنوات القادمة. في جميع أنحاء الكتاب، يؤكد المؤلف على أهمية فهم المبادئ الأساسية لتحليلات المشتقات وكيف يمكن تطبيقها في سيناريوهات العالم الحقيقي. كما يقدم أمثلة عملية وتمارين لمساعدة القراء على تعزيز فهمهم للمفاهيم المقدمة. من خلال هذا الدليل الشامل، سيكتسب القراء فهمًا عميقًا لتحليلات المشتقات وسيكونون قادرين على تطبيق معرفتهم في مجموعة متنوعة من الإعدادات المالية. تعد Derivatives Analytics with Python موردًا مهمًا لأي شخص يتطلع إلى إتقان مجال التحليلات المشتقة وتطبيقاتها في التمويل.

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