Python for Finance: Analyze Big Financial Data
elle
(Elle)
#1
Further Reading
Eurex’s “VSTOXX Advanced Services” tutorial pages provide a wealth of information
about the VSTOXX index and related volatility derivatives. These pages also provide lots
of readily usable Python scripts to replicate the results and analyses presented in the
tutorials:
The VSTOXX Advanced Services tutorial pages from Eurex are available at
The following book is a good general reference for the topics covered in this chapter,
especially when it comes to the calibration of option pricing models:
Hilpisch, Yves (2015): Derivatives Analytics with Python. Wiley Finance, Chichester,
With regard to the consistent valuation and management of derivatives portfolios, see also
the hints at the end of Chapter 18.
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For details on how the VSTOXX is calculated and how you can calculate it by yourself — using Python to collect
the necessary data and to do the calculations — see the Python-based tutorial.
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One of the earlier volatility option pricing models by Gruenbichler and Longstaff (1996) is also based on the
square-root diffusion. However, they only consider European options, for which they come up with a closed-form
solution. For a review of the model and a Python implementation of it, refer to http://www.eurexchange.com/advanced-
services/vstoxx/. See also the web service example in Chapter 14, which is based on their model and analytical valuation
formula.
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VSTOXX volatility derivatives have their last trading day two days before expiry.
