python for derivative analytics
TRANSCRIPT
PYTHON FOR DERIVATIVE ANALYTICS
Alicia Guerra
WHAT IS A DERIVATIVE?• In finance, a derivative is a contract that derives its value
from the performance of an underlying entity (i.e. an option, future, etc.)
DX ANALYTICS• Python library which allows for the modeling of rather
complex derivatives instruments and portfolios.
SIMULATION
Simulation classes in DX where relevant risk factors are modeled:• geometric_brownian_motion• jump_diffusion• square_root_diffusion
GEOMETRIC BROWNIAN MOTION• Used to model option prices in
the Black-Scholes model
JUMP DIFFUSION• Model for price behavior that
incorporates small, day-to-day “diffusive” movements together with larger, randomly occurring jumps.• Inclusion of jumps allows for
more realistic “crash” scenarios.
SQUARE ROOT DIFFUSION
• Models mean-reverting quantities like interest rates and volatility.
• Mean-reverting means it is assumed that a price will move to the average price over time.
CALIBRATION
HEDGING• Dynamic delta hedging is
a derivative trading strategy that attempts to reduce – or eliminate – the risk caused by price changes in the underlying asset.• A derivative’s delta is the
relation between the changes in the derivative’s price and the changes in the price of the underlying asset.
CONTACT ME
Email: [email protected]: linkedin.com/in/aliciaisabelguerraTwitter: @skepchick92Phone: (619) 519-3805