Python for Finance Second Edition

Yuxing Yan

  • 出版商: Packt Publishing
  • 出版日期: 2017-06-30
  • 售價: $2,010
  • 貴賓價: 9.5$1,910
  • 語言: 英文
  • 頁數: 586
  • 裝訂: Paperback
  • ISBN: 1787125696
  • ISBN-13: 9781787125698
  • 相關分類: Python程式語言
  • 下單後立即進貨 (約3~4週)

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商品描述

Learn and implement various Quantitative Finance concepts using the popular Python libraries

About This Book

  • Understand the fundamentals of Python data structures and work with time-series data
  • Implement key concepts in quantitative finance using popular Python libraries such as NumPy, SciPy, and matplotlib
  • A step-by-step tutorial packed with many Python programs that will help you learn how to apply Python to finance

Who This Book Is For

This book assumes that the readers have some basic knowledge related to Python. However, he/she has no knowledge of quantitative finance. In addition, he/she has no knowledge about financial data.

What You Will Learn

  • Become acquainted with Python in the first two chapters
  • Run CAPM, Fama-French 3-factor, and Fama-French-Carhart 4-factor models
  • Learn how to price a call, put, and several exotic options
  • Understand Monte Carlo simulation, how to write a Python program to replicate the Black-Scholes-Merton options model, and how to price a few exotic options
  • Understand the concept of volatility and how to test the hypothesis that volatility changes over the years
  • Understand the ARCH and GARCH processes and how to write related Python programs

In Detail

This book uses Python as its computational tool. Since Python is free, any school or organization can download and use it.

This book is organized according to various finance subjects. In other words, the first edition focuses more on Python, while the second edition is truly trying to apply Python to finance.

The book starts by explaining topics exclusively related to Python. Then we deal with critical parts of Python, explaining concepts such as time value of money stock and bond evaluations, capital asset pricing model, multi-factor models, time series analysis, portfolio theory, options and futures.

This book will help us to learn or review the basics of quantitative finance and apply Python to solve various problems, such as estimating IBM's market risk, running a Fama-French 3-factor, 5-factor, or Fama-French-Carhart 4 factor model, estimating the VaR of a 5-stock portfolio, estimating the optimal portfolio, and constructing the efficient frontier for a 20-stock portfolio with real-world stock, and with Monte Carlo Simulation. Later, we will also learn how to replicate the famous Black-Scholes-Merton option model and how to price exotic options such as the average price call option.

Style and approach

This book takes a step-by-step approach in explaining the libraries and modules in Python, and how they can be used to implement various aspects of quantitative finance. Each concept is explained in depth and supplemented with code examples for better understanding.

商品描述(中文翻譯)

學習並應用流行的Python函式庫,實現各種量化金融概念

關於本書

- 瞭解Python資料結構的基礎,並處理時間序列資料
- 使用流行的Python函式庫(如NumPy、SciPy和matplotlib)實現量化金融的關鍵概念
- 透過許多Python程式的逐步教學,幫助您學習如何應用Python於金融領域

適合閱讀對象

本書假設讀者具備一些與Python相關的基礎知識,但對於量化金融一無所知。此外,讀者對於金融資料也一無所知。

您將學到什麼

- 在前兩章中熟悉Python
- 執行CAPM、Fama-French 3因子和Fama-French-Carhart 4因子模型
- 學習如何定價買權、賣權和一些異國選擇權
- 瞭解蒙地卡羅模擬,如何撰寫Python程式來複製Black-Scholes-Merton選擇權模型,以及如何定價一些異國選擇權
- 瞭解波動性的概念,以及如何檢驗波動性隨年份變化的假設
- 瞭解ARCH和GARCH過程,以及如何撰寫相關的Python程式

詳細內容

本書以Python作為計算工具。由於Python是免費的,任何學校或組織都可以下載和使用它。

本書按照不同的金融主題進行組織。換句話說,第一版更注重Python,而第二版則真正嘗試將Python應用於金融領域。

本書首先解釋與Python專屬主題相關的內容。然後,我們處理Python的關鍵部分,解釋概念,如時間價值、股票和債券評估、資本資產定價模型、多因子模型、時間序列分析、投資組合理論、期權和期貨。

本書將幫助我們學習或複習量化金融的基礎知識,並應用Python解決各種問題,例如估計IBM的市場風險,運行Fama-French 3因子、5因子或Fama-French-Carhart 4因子模型,估計5股票投資組合的VaR,估計最佳投資組合,以及構建具有現實股票的20股票投資組合的有效前沿,並使用蒙地卡羅模擬。此外,我們還將學習如何複製著名的Black-Scholes-Merton選擇權模型,以及如何定價平均價買權等異國選擇權。

風格和方法

本書以逐步解釋Python中的函式庫和模組,以及如何使用它們實現量化金融的各個方面。每個概念都有詳細的解釋,並附有代碼示例以便更好地理解。