Python for Finance: Analyze Big Financial Data

the expected payoff of not exercising (continuation value). Equation 17-5. Value of American option at an ...

estimated continuation value. [ 77 ] Example 17-4. Valuation class for American exercise DX Library Valuation ...

C = np.polyval(rg, instrument_values[t]) optimal decision step: if condition is satisfied (inner value > r ...

expect the numerical estimate to lie under the true value in any numerically realistic case. Alternative dual ...

Conclusions This chapter is about the numerical valuation of both European and American options based on Mo ...

import pandas as pd import datetime as dt frame from get_year_deltas import get_year_deltas from constant_short_rate import cons ...

Further Reading References for the topics of this chapter in book form are: Glasserman, Paul (2004): Monte C ...

Chapter 18. Portfolio Valuation Price is what you pay. Value is what you get. — Warren Buffet By now, the ...

However, although we have in principle allowed (and even required) providing a currency for both s ...

Derivatives Positions In principle, a derivatives position is nothing more than a combination of a valuation o ...

print self.otype, ‘\n’ print “PAYOFF FUNCTION” print self.payoff_func To define a derivatives position we need to ...

quantity= 3 , underlying=‘gbm’, mar_env=me_am_put, otype=‘American’, payoff_func=payoff_func) Information about such an ...

Derivatives Portfolios From a portfolio perspective, a “relevant market” is mainly composed of the relevant ...

self.assets = assets self.underlyings = set() self.correlations = correlations self.time_grid = None self.underlyi ...

self.val_env.add_list(‘random_numbers’, random_numbers) self.val_env.add_list(‘rn_set’, rn_set) for asset in self.underlyings: s ...

‘jd’ : jump_diffusion ‘srd’: square_root_diffusion} otypes = {‘European’ : valuation_mcs_european, ‘American’ : va ...

for the derivatives_portfolio object just defined: In [ 23 ]: portfolio.get_statistics() Out[23]: ...

Figure 18-1. Noncorrelated risk factors Now consider the case where the two risk factors are highly pos ...

Figure 18-2. Highly correlated risk factors As a last numerical and conceptual example, consider the fre ...

The following figure finally shows the full frequency distribution of the portfolio present values. You ca ...