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Day1 (4 Hours) : Python in A Nutshell

This 4-day training covers Python tools for financial data analysis and modeling, including NumPy, Pandas, Matplotlib, Scipy, and Scikit-Learn. Day 1 focuses on Python fundamentals, arrays, plotting, and data analysis with NumPy and Pandas. Day 2 continues working with Pandas and introduces Scipy. Day 3 covers the Black-Scholes-Merton model, option valuation proofs, and geometric Brownian motion simulations. Day 4 involves Monte Carlo simulations, volatility surface modeling, and numerical integration techniques for valuation, accompanied by Python scripts.

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Soumojit Kumar
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65 views4 pages

Day1 (4 Hours) : Python in A Nutshell

This 4-day training covers Python tools for financial data analysis and modeling, including NumPy, Pandas, Matplotlib, Scipy, and Scikit-Learn. Day 1 focuses on Python fundamentals, arrays, plotting, and data analysis with NumPy and Pandas. Day 2 continues working with Pandas and introduces Scipy. Day 3 covers the Black-Scholes-Merton model, option valuation proofs, and geometric Brownian motion simulations. Day 4 involves Monte Carlo simulations, volatility surface modeling, and numerical integration techniques for valuation, accompanied by Python scripts.

Uploaded by

Soumojit Kumar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Day1 (4 Hours)

Python in a Nutshell
• Python Fundamentals
• Installing Python Packages
• Array Operations
• Random Numbers
• Plotting

Numpy
• Numpy Section Introduction
• Arrays vs Lists
• Dot Product
• Speed Test
• Matrices
• Solving Linear Systems
• Generating Data
• Numpy Exercise

Matplotlib
• Matplotlib Section Introduction
• Line Chart
• Scatterplot
• Histogram
• Plotting Images
• Matplotlib Exercise

Pandas
• Pandas Section Introduction
• Loading in Data
• Selecting Rows and Columns
• The apply() Function
• Plotting with Pandas
• Pandas Exercise
Day 2 (4 Hours)

Pandas(continued)
• Summarization (Group by, pivot)
• V-Lookup / Merge
• Filtering
• Datetime Operations
• Connecting to external data sources (openpyxl, sqlite3)

Scipy
• Scipy Section Introduction
• PDF and CDF
• Convolution
• Scipy Exercise

Scikit-Learn/Machine Learning
• Machine Learning: Section Introduction
• What is Classification?
• Classification in Code
• What is Regression?
• Regression in Code
• What is a Feature Vector?
• Machine Learning is Nothing but Geometry
• All Data is the Same
• Comparing Different Machine Learning Models
• Machine Learning and Deep Learning: Future Topics
Day 3 (4 Hours)

BSM ,The Fundamental PDE


• Introduction
• Black-Scholes-Merton Model
• The Fundamental PDE
• European Options
• Greeks in the BSM Model

¨ Proofs and Python Scripts


• Ito’s Lemma
• Script for BSM Option Valuation
• Script for BSM Call Greeks
• Script for CRR Option Valuation
GBM, Markov - wiener process
• What GBM does
• What input parameters we need for GBM simulation
• The components of GBM: Drift and Diffusion
• Building the discrete-time GBM model
• Making predictions
Day 4 (4 Hours)

Monte Carlo simulation


• Valuation of European Options
• Valuation of American Options
• Numerical Results
¨ Python Scripts
• General Zero-Coupon Bond Valuation
• Automated Valuation of European Options by Monte Carlo Simulation
Vol matrix calibration & visualization ( SABR, HJM), Fx or Equity
• Modeling Volatility Smile and Heston Model Calibration Using QuantLib Python
Python Scripts, Valuation by Numerical Integration
¨ Python Scripts
• Valuation by Numerical Integration

Zero-Coupon Bond Valuation, European Option Valuation


• Valuation of Zero-Coupon Bonds
¨ Python Scripts
• General Zero-Coupon Bond Valuation

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