Python for Finance: Analyze Big Financial Data

A Use Case

Conclusions

Further Reading

19. Volatility Options

The VSTOXX Data

VSTOXX Index Data

VSTOXX Futures Data

VSTOXX Options Data

Model Calibration

Relevant Market Data

Option Modeling

Calibration Procedure

American Options on the VSTOXX

Modeling Option Positions

The Options Portfolio

Conclusions

Further Reading

A. Selected Best Practices

Python Syntax

Documentation

Unit Testing

B. Call Option Class

C. Dates and Times

Python

NumPy

pandas

Index

About the Author

Colophon

Copyright