Sign In Start Free Trial
Account

Add to playlist

Create a Playlist

Modal Close icon
You need to login to use this feature.
  • Book Overview & Buying Python for Finance
  • Table Of Contents Toc
  • Feedback & Rating feedback
Python for Finance

Python for Finance

By : Yuxing Yan
3.9 (22)
close
close
Python for Finance

Python for Finance

3.9 (22)
By: Yuxing Yan

Overview of this book

A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python. Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic knowledge of Python will be helpful but knowledge of programming is necessary.
Table of Contents (14 chapters)
close
close
13
Index

Using the Sobol sequence to improve the efficiency

When applying the Monte Carlo simulation to solve various finance related problems, we need to generate a certain number of random numbers. When the accuracy is very high, we have to draw a huge amount of such random numbers. For example, when pricing options, we use very small interval or a large number of steps to increase the number of decimal places of our final option prices. Thus, the efficiency of our Monte Carlo simulation would be a vital issue in terms of computational time and costs. This is especially true if we have a thousand options to price. One way to increase the efficiency is to apply a correct or better algorithm, that is, optimize our code. Another way is to use some special types of random number generators, such as the Sobol sequence.

Sobol sequences belong to the so-called low-discrepancy sequences, which satisfy the properties of random numbers but are distributed more evenly. Thus, they are usually called quasi...

Unlock full access

Continue reading for free

A Packt free trial gives you instant online access to our library of over 7000 practical eBooks and videos, constantly updated with the latest in tech
bookmark search playlist font-size

Change the font size

margin-width

Change margin width

day-mode

Change background colour

Close icon Search
Country selected

Close icon Your notes and bookmarks

Delete Bookmark

Modal Close icon
Are you sure you want to delete it?
Cancel
Yes, Delete

Confirmation

Modal Close icon
claim successful

Buy this book with your credits?

Modal Close icon
Are you sure you want to buy this book with one of your credits?
Close
YES, BUY