Teacher
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BRUNO Felice
(syllabus)
Introduction to the Python programming environment: installation, creation of an environment, simple exercises on using Python - User-defined functions, Python modules, summary of structured programming constructs; practical exercises - Lists in Python, NumPy module, NumPy arrays, financial functions in NumPy, special NumPy arrays, manipulation of NumPy arrays; practical exercises - Calculation of options price with Black-Scholes-Merton formula, SciPy module, NumPy mathematical functions, SciPy sub-modules, Python graphs with the Matplotlib module; practical exercises - pandas module, time series, Series and DataFrame objects, date management with the datetime module; practical exercises - Estimate of the price of options, 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 the movements of a share, price of European, exotic, American options; practical exercises - Multiassets derivatives, Cholesky factorization, risk measures: VaR and ES; practical exercises - Volatolity, SABR model; practical exercises.
(reference books)
Dispense e slide fornite dal docente.
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