Аннотация

This book is an outgrowth of diverse activities of myself and colleagues of mine in the f i elds of f i nancial engineering, computational f i nance and Python programming at our company The Python Quants GmbH on the one hand and of teaching mathematical f i nance at Saarland University on the other hand.
The book is targeted at practitioners, researchers and students interested in the market-based valuation of options from a practical perspective, i.e. the single numerical and technical implementation steps that make up such an effort. It is also for those who want to learn how Python can be used for derivatives analytics and f i nancial engineering. However, apart from being primarily practical and implementation-oriented, the book also provides the necessary theoretical foundations and numerical tools.
My hope is that the book will contribute to the increasing acceptance of Python in the f i nancial community, and in particular in the analytics space. If you are interested in getting the Python scripts and IPython Notebooks accompanying the book, you should visit http://wiley.quant-platform.com where you can register for the Quant Platform which allows browser-based,interactiveandcollaborativef i nancialanalytics.Furtherresourcesarefoundon the website http://derivatives-analytics-with-python.com. You should also check out the open source library DX Analytics under http://dx-analytics.com which implements the concepts and methods presented in the book in standardized, reusable fashion.
Ithankmyfamily—andinparticularmywifeSandra—fortheirsupportandunderstanding that such a project requires many hours of solitude. I also want to thank my colleague Michael Schwed forhiscontinuous helpand support.Inaddition, Ithank AlainLedon and RiazAhmad for their comments and feedback. Discussions with participants of seminars and my lectures at Saarland University also helped the project signif i cantly. Parts of this book have benef i ted from talks I have given at diverse Python and f i nance conferences over the years.
I dedicate this book to my lovely son Henry Nikolaus whose direct approach to living and clear view of the world I admire.