Teacher
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D'ARCANGELIS Anna Maria
(syllabus)
Introduction to the Python programming environment: installation, creating an environment, simple tutorials on using Python - User-defined functions, Python modules, summary on structured programming constructs; hands-on tutorials - Lists in Python, NumPy module, NumPy arrays, financial functions in NumPy, special NumPy arrays, manipulating NumPy arrays; practical exercises - Option pricing with Black-Scholes-Merton formula, SciPy module, NumPy math functions, SciPy sub-modules, graphs in Python with Matplotlib module; practical exercises - Pandas module, time series, Series and DataFrame objects, date management with datetime module; practical exercises - Principles of portfolio management, optimization and minimization, construction of an efficient frontier; practical exercises - Estimation of options price, price with Black-Scholes-Merton formula, price with binomial model, price of American options; practical exercises - Price of derivatives with Montacarlo method, generation of random numbers with normal and uniform distribution, simulation of stock movements, price of European, exotic, American options; practical exercises - Multiasset derivatives, Cholesky factorization, risk measures: VaR and ES; practical exercises - Volatility, SABR model; practical exercises. Introduction to VBA - Finite difference algorithms and root finding; practical exercises - Recalls of stochastic calculus: Markov properties, Martingale, Brownian motion, Ito's lemma, types of random walks; practical exercises - Pricing of derivatives with numerical models: theoretical principles, binomial model; practical exercises - Derivatives pricing with Monte Carlo methodology: steps for Monte Carlo simulation, log-normal Euler discretization, barrier options, American options; practical exercises - Multiasset derivatives: Monte Carlo with multiasset derivatives, Cholesky factorization; practical exercises.
(reference books)
D'Arcangelis Patacchini Bruno VBA per la finanza Maggioli editore
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