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Mastering Python for Finance by James Ma Weiming

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Chapter 6. Interactive Financial Analytics with Python and VSTOXX

Investors use volatility derivatives to diversify and hedge their risk in equity and credit portfolios. Since long-term investors in equity funds are exposed to downside risk, volatility can be used as a hedge for the tail risk and replacement for the put options. In the United States, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) measures the short-term volatility implied by S&P 500 stock index option prices. Many people around the world use the VIX to measure the stock market volatility over the next 30-day period. In Europe, the EURO STOXX 50 Volatility (VSTOXX) market index is based on the market prices of a basket of Euro STOXX 50 Index Options (OESX) and ...

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