Python for Computational Finance

Learn about options markets, risk-neutral valuation, Fourier-based option pricing, Monte Carlo simulation, model calibration and hedging.

This training is a part-time online training taking place over the course of about three weeks. The training is comprised of 6 live sessions of about 3 hours each. This represents the equivalent of 3 full training days.

The price for this training is
899 EUR 999 EUR (net of VAT).
Book our special combination deal.

Receive a discount of 10% (15%) when booking two (three) major trainings.

This training is available in the form of
self-paced video classes.

Option Markets & Process

Introduction to financial markets and option pricing:
Module 1 — market stylized facts and empirical analysis of market data
Module 2 — overview of market-based valuation based on Merton's (1976) jump-diffusion

Option Pricing

Risk-neutral pricing and benchmark models:
Module 3 — basics of risk-neutral, arbitrage-based valuation of contingent claims
Module 4 — Black-Scholes-Merton (1973) model, Cox-Ross-Rubinstein (1979) binomial model

Fourier and American options

Fourier-based pricing and American options:
Module 5 — Fourier transforms, Fourier-based option pricing, numerical evaluation
Module 6 — simulation of the Black-Scholes-Merton (1973) model, Longstaff-Schwartz (2001) algorithm for American options

General Market Model & Simulation

Stochastic volatility, calibration & hedging:
Module 7 — Bakshi-Cao-Chen (1997) stochastic volatility, jump-diffusion, stochastic short rate model, Fourier pricing
Module 8 — Monte Carlo valuation for European and American options, variance reduction techniques

Calibration & Hedging

Calibration of financial models and delta hedging:
Module 9 — general considerations, numerical issues and techniques for financial model calibration
Module 10 — delta hedging of American options based on numerical methods like the LSM algorithm

DX Analytics

Derivatives analytics with DX Analytics:
Module 11 — introduction to the API, basic classes, simulation classes
Module 12 — valuation and portfolio classes, case study