December 2016
Intermediate to advanced
368 pages
7h 31m
English
Content preview from Listed Volatility and Variance Derivatives
Become 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,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.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.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.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.
Index
- accumulated return on modified variation margin
- additivity in time
- ARMVM
- Arrow-Debreu security
- asset pricing theory
- bar grams
- base data retrieval
- data set combining
- data set saving
- EURO STOXX 50 data
- VSTOXX data
- Bjork, T.
- Black-Scholes-Merton model
- Bossu, S.
- Breeden, D.
- Brenner, M.
- Brigo, D.
- calculation
- interest rates
- intraday trading
- longest drawdown
- maximum drawdown
- options data
- processes
- python scripts
- realized variance
- sub-indexes
- variance futures
- VSTOXX sub-indexes
- calibration…See model calibration; term structure calibration
call_estimatorfunction- call options
- dollar gamma formula
- estimation
- implied volatility
- market quotes
- Monte Carlo estimation
- pricing formula
- quote calibration
call_pricefunction- Carr, P.
collect_option_seriesfunctioncompute_subindexfunction- constant proportion investment strategies
- active investment strategies
- passive investment strategies
- control structures
- correlation analysis
- correlation over time
- negative correlation
- rolling correlation
- correlation trading
- Cox, J.
cxfunction
- daily margins
- accumulated return on modified variation margin
- after trade matching
- discount factors
- futures trading
- data analysis
- base data retrieval
- base data set combining
- basic analysis procedures
- constant proportion investment strategies
- correlation analysis
data_collectionfunction- delta hedging
- derivatives modeling
- derivatives portfolios
- modeling
- simulation and valuation
- derivatives positions
- deterministic shift approach ...
Become 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,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
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.