These are the exercise files used for Python for Quantitative Analysis and Algorithmic Trading course.
The course outline can be found in
https://www.tertiarycourses.com.sg/python-algorithmic-trading-course.html
Module 1. Vanilla Options and Strategies
- What is Vanilla Option?
- Call and Put Options
- European vs American Options
- Black-Scholes Model
- Python Implementation of BS Model
- Greek Options
- Option Strategies
- Binomial Options Pricing Model
Module 2. Exotic Options
- What is Exotic Options?
- Bermudan Option
- Chooser Option
- Shout Call Option
- Binary Option
- Barrier Option
Module 3. Monte Carlo Simulation
- What is Monte Carlo Simulation?
- Random Number Generation
- Stock Price Simulation
- MC Simulation for Black-Scholes Model
Module 4. Time Series Analysis
- Download Finance Data from Web
- Correlation between time series
- Autocorrelation
- ARIMA
Module 5. Volatility and Implied Volatility
- Implied Volatility
Module 6. Volue at Risk (Optional)