December 2013
Beginner to intermediate
286 pages
5h 46m
English
Content preview from F# for Quantitative FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Chapter 6. Exploring Volatility
In this chapter, you will learn about volatility and using numerical methods in F# to explore the properties of options. We'll solve for the intrinsic volatility, called implied volatility, in the Black-Scholes model using the code from the previous chapter and extending it with numerical methods covered in Chapter 3, Financial Mathematics and Numerical Analysis.
In this chapter you will learn:
- Actual volatility and implied volatility
- Using F# to calculate actual volatility
- Solving for implied volatility in Black-Scholes
- Using numerical methods for options
- Delta hedging
- Briefly about volatility arbitrage
Introduction to volatility
In the previous chapter we looked at the basics behind Black-Scholes for European options. ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.