Here we will present simple python code of delta hedging example of a call option . it’s a minimal example with zero interest rates , no dividends. On day 1 we sell 10 near ATM call options and start delta…

quantitative finance with python and c++

Here we will present simple python code of delta hedging example of a call option . it’s a minimal example with zero interest rates , no dividends. On day 1 we sell 10 near ATM call options and start delta…

In pricing models (black-scholes, local vol, libor market model) the source of uncertainty is Brownian motion. how to simulate it in python? python download first, lets simulate dWt , we know it’s a gaussian variable with mean 0 and deviation…

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Tutorial objective: write and understand simple minimal programs in python for pricing financial derivatives topics: Brownian motion objective: draw and calculate properties of brownian motion using python Black scholes pricing objective: calculate call option price Heston model objective: draw forward…

Posted in OTC derivatives valuation, quant finance coding course Tagged with: otc derivatives, python, quantitative risk analysis

Part 5 c++ finance course Monte-Carlo c++ – basket options Objective – price basket options based on this you’ll be able to price Autocallable, Himalaya, Spread and similar basket options Basket option Here let’s see how to price an option…

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Part 4 c++ finance course Monte-Carlo c++ – Path-dependent payoffs Objective – price asian option with c++ – price lookback option here we’ll show how to extend previous programs to price path dependent payoffs Asian Option lets start with asian…

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Part 3 c++ finance course Monte-Carlo c++ Objective – generate random numbers – Calculate Call option with Monte – Carlo – intro to std::vector here we’ll see how to use containers in C++ in many books on c++ you’ll see…

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part 2 black scholes via numerical integration finance c++ course objective – calculate Call option in Black Scholes model using c++ C++ and QuantLib have many types of variables in quant finance most useful types are: double – to store…

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C++ finance course for beginners – part 1 – hello world REQUIREMENTS: – microsoft visual studio express 2012 (it’s free,older versions are similar. there are slight differences between microsoft and linux c++) – some programming experience in another language Course…

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