Mastering Quantitative Finance with Python and QuantLib
Autor Aaron de La Rosaen Limba Engleză Paperback – 15 feb 2027
The book begins with quantitative modelling foundations and exploratory data analysis (EDA) techniques for financial datasets before introducing the Black-Scholes framework and its practical implementation. Readers then explore stochastic volatility models, advanced methods for pricing exotic derivatives, and sophisticated interest-rate lattice models. The coverage extends to fixed-income and interest-rate derivative pricing using QuantLib 1.42, including practical applications of modern term-structure and interest-rate modeling techniques. The final chapters focus on portfolio analysis and advanced stochastic models, enabling readers to evaluate risk, model market dynamics, and build data-driven investment strategies. Throughout the book, readers work with Python and QuantLib-Python examples that demonstrate how quantitative models can be implemented, tested, and applied in production environments.
By the end of the book, readers will have the skills to develop robust quantitative finance applications, price complex financial instruments, analyze market data, and implement advanced models for trading, risk management, and portfolio optimization.
What You Will Learn
- Build quantitative finance applications in Python and QuantLib-Python for pricing and risk analysis.
- Apply Black-Scholes, stochastic volatility, and exotic option pricing models to real market scenarios.
- Develop interest-rate and fixed-income valuation models using advanced lattice frameworks and QuantLib.
- Perform portfolio analysis, risk assessment, and stochastic modelling for investment decision-making.
Financial engineers in banks, quant developers, hedge funds, or proprietary trading firms. MSc and PhD quantitative finance students. FinTech CTOs and leaders of algorithmic trading teams.
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Specificații
ISBN-13: 9798868831829
Ilustrații: Approx. 550 p.
Dimensiuni: 178 x 254 mm
Ediția:First Edition
Editura: APRESS L.P.
Colecția Apress
Ilustrații: Approx. 550 p.
Dimensiuni: 178 x 254 mm
Ediția:First Edition
Editura: APRESS L.P.
Colecția Apress
Notă biografică
Aaron De La Rosa is a distinguished fixed-income quantitative researcher and Python Quant developer, renowned for designing and implementing advanced models for derivative pricing and risk management. Specializing in exotic and path-dependent options, Aaron adeptly bridges theoretical finance with high-performance solutions using modern C++, Python, and MATLAB.
Holding an MSc in Finance from Anahuac University, Mexico North, Aaron's academic foundation underpins his expertise. His master's thesis earned the prestigious National Prize: Mexican Stock Exchange (Category: Master's Thesis) for its innovative application of Dynamic Correlation and Extreme Value Theory (EVT). Titled "Dynamic Correlation and Extreme Value Theory (EVT) to Estimate VaR Extreme Conditional and ES Extreme Conditional Using a Fréchet Distribution and a Bivariate Model for Dynamic Conditional Correlation Generalized Asymmetric (AGDCC-LGARCHMLE) for Mexican Stock Index and American Indexes," this work showcased his ability to tackle complex financial challenges.
Aaron leverages QuantLib-Python 1.43, the industry-standard open source library, to deliver scalable, production-ready solutions for fixed-income, structured products and derivative pricing using modern Python 3.14.7 His expertise spans the full spectrum of financial engineering, from modeling stochastic processes and volatility surfaces to developing efficient numerical solvers, including finite difference methods, Monte Carlo (MC) simulations, and lattice-based trees.
Passionate about translating intricate financial mathematics into robust, maintainable Python code, Aaron adheres to modern software engineering principles, emphasizing clean architecture, modular design, and computational efficiency. His solutions are both mathematically rigorous and optimized for performance, reflecting his dual expertise in financial theory and quantitative research.
Holding an MSc in Finance from Anahuac University, Mexico North, Aaron's academic foundation underpins his expertise. His master's thesis earned the prestigious National Prize: Mexican Stock Exchange (Category: Master's Thesis) for its innovative application of Dynamic Correlation and Extreme Value Theory (EVT). Titled "Dynamic Correlation and Extreme Value Theory (EVT) to Estimate VaR Extreme Conditional and ES Extreme Conditional Using a Fréchet Distribution and a Bivariate Model for Dynamic Conditional Correlation Generalized Asymmetric (AGDCC-LGARCHMLE) for Mexican Stock Index and American Indexes," this work showcased his ability to tackle complex financial challenges.
Aaron leverages QuantLib-Python 1.43, the industry-standard open source library, to deliver scalable, production-ready solutions for fixed-income, structured products and derivative pricing using modern Python 3.14.7 His expertise spans the full spectrum of financial engineering, from modeling stochastic processes and volatility surfaces to developing efficient numerical solvers, including finite difference methods, Monte Carlo (MC) simulations, and lattice-based trees.
Passionate about translating intricate financial mathematics into robust, maintainable Python code, Aaron adheres to modern software engineering principles, emphasizing clean architecture, modular design, and computational efficiency. His solutions are both mathematically rigorous and optimized for performance, reflecting his dual expertise in financial theory and quantitative research.
Cuprins
Chapter 1: Quantitative Modeling in Python.- Chapter 2: EDA for Financial Datasets in Quantitative Finance.- Chapter 3: Black–Scholes Pricing Formula in Quantitative Finance.- Chapter 4: Stochastic Volatility Models.- Chapter 5: Quantitative Methods for Exotic Options Pricing.- Chapter 6: Advanced Equity and Exotic Option Pricing.- Chapter 7: Short-Rate Lattice Models: Black–Derman–Toy, Hull–White, and Black–Karasinski.- Chapter 8: Advanced Term-Structure Models: Hull–White, G2++, HJM, and BGM for Interest Rate Derivatives using QuantLib.