Derivative Analytics with Python

May 26, 2019

Reading Time: 5 min

My current project is to brush up my knowledge of derivatives using python. For this, I will be reading two books – Derivatives Analytics with Python by Yves Hilpisch from Wiley Financial Series and the classic Options, Futures and Other Derivatives by John C. Hull.

I will be posting the results from exercises from the book on the blog. The code is available in the book and on github. At the end of it, I will also try to work on a project of my own using the concepts learned in the book. This should be fun!

Broadly, the scope of this book is to:

• characterize a market model
• study a few theoretical market models and the calibrate them to market-determined prices
• understand how to value and hedge exotic products based on market models

Below are a few results from the textbook:

• Intrinsic Value of Call Option: The payoff of a call option at time ‘T’ having Strike price of $8000:

• Time Value of Option

• Brownian Motion Model

• Comparison of theoretical model with market model

• Implied Volatility based on Black Scholes Model //To be updated

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