Python for Finance: Analyze Big Financial Data

Conclusions This chapter addresses the valuation and risk management of a portfolio of multiple derivatives p ...

from plot_option_stats import plot_option_stats simulation from sn_random_numbers import sn_random_numbers from simulation_class ...

Further Reading As for the preceding chapters on the DX derivatives analytics library, Glasserman (2004) is a com ...

Chapter 19. Volatility Options We are facing extreme volatility. — Carlos Ghosn Volatility derivatives have become ...

index, the final task then is to model and value the nontraded options. ...

The VSTOXX Data This section collects step by step the necessary data to value the American put options ...

In [ 7 ]: vstoxx_futures.info() Out[7]: <class ‘pandas.core.frame.DataFrame’> Int64Inde ...

the respective EXP_MONTH column of the DataFrame object. For convenience, we store the maturity dates alongs ...

warnings.simplefilter(‘ignore’) h5 = pd.HDFStore(‘./source/vstoxx_march_2014.h5’, complevel= 9 , complib=‘blosc’) h5[‘vstoxx ...

Model Calibration The next important step is the calibration of the financial model used to value the V ...

to be modeled. This is the first time that the DX analytics library comes into play; everything else ...

relevant European call options. They only differentiate themselves by the relevant strike price; everyth ...

nth option, respectively. p is the parameter set provided as input to the option pricing model. Equation 19- ...

((0.5, 3.01, 0.5), ...

np.array(calculate_model_values(opt_local).values()) option_selection[‘ERRORS’] = \ option_selection[‘MODEL’] - option_se ...

Figure 19-1. Calibrated model values for VSTOXX call options vs. market quotes ...

American Options on the VSTOXX A major prerequisite for valuing and managing options not traded at exchanges is ...

quantity=100., underlying=‘vstoxx_model’, mar_env=option_environments[option], otype=‘American’, payoff_func=payoff_func) Note ...

Conclusions This chapter presents a larger, realistic use case for the application of the DX analytics library ...

Further Reading Eurex’s “VSTOXX Advanced Services” tutorial pages provide a wealth of information about the VS ...