Financial engineering with Python boilerplate
- prereqs: latex, charting..
- pricing call with bsm monte carlo sim
- monte carlo to get terminal values under bsm gaussian
- payoffs
- average payoff pv
- historical volatility + data import&plot
- daily rets
- daily st dev
- annualized via sq root of time
- perfomance considerations
- looping with numpy, numexpr, multi-thread
- imports HDFS mkt data of VSTOXX futures and calls on 'em
- implements python functions under bsm
- call price
- call vega
- newton estimate of implied volatility
- calculates implied volatity smiles for set of maturities
- some useful pandas stuff
- valuing eu call under bsm
- sde of the process + euler discretization
- 3 implementations: pure py + numpy vectorized x2