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Python for Finance

Python for Finance

By : Yuxing Yan
3.9 (22)
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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)
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13
Index

Exercises

1. What is the difference between an American call and a European call?

2. What is the unit of rf in the Black-Scholes-Merton option model?

3. If we are given the annual rate of 3.4 percent, compounded semi-annually, what will the value of rf be that we should use for the Black-Scholes-Merton option model ?

4. How do we use options to hedge?

5. How do we treat predetermined cash dividends to price a European call?

6. Why is an American call worth more than a European call?

7. Assume you are a mutual fund manager and your portfolio's β is strongly correlated with the market. You are worried about the short-term fall in the market. What you could do to protect your portfolio?

8. The current price of stock A is $38.5 and the strike prices for a call and a put options are both $37. If the continuously compounded risk-free rate is 3.2 percent, maturity is six months, and the volatility of stock A is 0.25, what are the prices for a European call and put?

9. Use the put-call parity...

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