Python for Finance: Analyze Big Financial Data

Jump Diffusion Equipped with the background knowledge from the geometric_brownian_motion class, it is now strai ...

returns Monte Carlo paths given the market environment ”’ def init(self, name, ...

self.instrument_values = paths Of course, since we are dealing now with a different model, we need a differe ...

In [ 21 ]: jd.update(lamb=0.9) In [ 22 ]: %time paths_4 = jd.get_instrument_values() Out[22]: CPU times: user 26.3 ...

Square-Root Diffusion The third stochastic process to be simulated is the square-root diffusion as used by Cox ...

updates parameters generate_paths : returns Monte Carlo ...

A rather brief use case illustrates the use of the simulation class. As usual, we need a market environment, ...

Conclusions This chapter develops all the tools and classes needed for the simulation of the three stochastic processe ...

Further Reading Useful references in book form for the topics covered in this chapter are: Glasserman, Paul ( ...

Chapter 17. Derivatives Valuation Derivatives are a huge, complex issue. — Judd Gregg Options and derivatives valuat ...

Generic Valuation Class As with the generic simulation class, we instantiate an object of the valuation class by ...

Methods ======= update: updates selected valuation paramete ...

value_left = self.present_value(fixed_seed=True) numerical volatility value for right value vola_del = self.under ...

European Exercise The first case to which we want to specialize the generic valuation class is European ...

maturity_value = paths[time_index] average value over whole path mean_value = np.mean(paths[:time_index], axis= 1 ) ...

In [ 4 ]: csr = constant_short_rate(‘csr’, 0.06) In [ 5 ]: me_gbm.add_curve(‘discount_curve’, csr) In [ 6 ]: gbm = g ...

eur_call.update(initial_value=s) p_list.append(eur_call.present_value(fixed_seed=True)) d_list.append(eur_call.delta()) v_list.a ...

Figure 17-1. Present value, Delta, and Vega estimates for European call option This illustrates that work ...

Figure 17-2. Present value, Delta, and Vega estimates for European–Asian call option ...

American Exercise The valuation of options with American exercise — or Bermudan exercise, to this ...