Listed Volatility and Variance Derivatives

Yves Hilpisch 지음

Wiley 2016년 11월 10일 출간

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Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives. Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.

목차

Preface 1 I Introduction to Volatility and Variance 3 1 Derivatives, Volatility and Variance 5 1.1 Option Pricing and Hedging 5 1.2 Notions of Volatility and Variance 7 1.3 Listed Volatility and Variance Derivatives 8 1.3.1 The US History 8 1.3.2 The European History 10 1.3.3 Volatility of Volatility Indexes 11 1.3.4 Products Covered in this Book 12 1.4 Volatility and Variance Trading 12 1.4.1 Volatility Trading 13 1.4.2 Variance Trading 14 1.5 Python as Our Tool of Choice 15 1.6 Quick Guide Through Rest of the Book 15 2 Introduction to Python 19 2.1 Python Basics 19 2.1.1 Data Types 19 2.1.2 Data Structures 21 2.1.3 Control Structures 23 2.1.4 Special Python Idioms 24 2.2 NumPy 27 2.3 matplotlib 32 2.4 pandas 36 2.4.1 pandas Data Frame class 36 2.4.2 Input-Output Operations 40 2.4.3 Financial Analytics Examples 43 2.5 Conclusions 48 3 Model-Free Replication of Variance 49 3.1 Introduction 49 3.2 Spanning with Options 49 3.3 Log Contracts 50 3.4 Static Replication of Realized Variance and Variance Swaps 51 3.5 Constant Dollar Gamma Derivatives and Portfolios 51 3.6 Practical Replication of Realized Variance 52 3.7 VSTOXX as Volatility Index 57 3.8 Conclusions 59 II Listed Volatility Derivatives 61 4 Data Analysis and Strategies 63 4.1 Introduction 63 4.2 Retrieving Base Data 63 4.2.1 EURO STOXX 50 Data 63 4.2.2 VSTOXX Data 65 4.2.3 Combining the Data Sets 67 4.2.4 Saving the Data 68 4.3 Basic Data Analysis 69 4.4 Correlation Analysis 72 4.5 Constant Proportion Investment Strategies 77 4.6 Conclusions 82 5 VSTOXX Index 83 5.1 Introduction 83 5.2 Collecting Option Da

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저자(글) Yves Hilpisch