├── .DS_Store ├── .gitignore ├── LICENSE.txt ├── README.md ├── dawp_conda.yml ├── images ├── .DS_Store ├── 02_mbv │ ├── call_inner_values.pdf │ └── call_values.pdf ├── 03_stf │ ├── DAX_histogram.pdf │ ├── DAX_qqplot.pdf │ ├── DAX_quotes_returns.pdf │ ├── DAX_realized_volatility.pdf │ ├── DAX_rolling_stats.pdf │ ├── EBO_histogram.pdf │ ├── EBO_qqplot.pdf │ ├── EBO_quotes_returns.pdf │ ├── EBO_term_structure.pdf │ ├── ES50_implied_volatilities.pdf │ ├── GBM_histogram.pdf │ ├── GBM_qqplot.pdf │ ├── GBM_quotes_returns.pdf │ ├── GBM_realized_volatility.pdf │ └── GBM_rolling_stats.pdf ├── 05_com │ ├── BSM_call_values.pdf │ ├── BSM_delta.pdf │ ├── BSM_gamma.pdf │ ├── BSM_put_values.pdf │ ├── BSM_rho.pdf │ ├── BSM_theta.pdf │ ├── BSM_vega.pdf │ ├── CRR_convergence_1.pdf │ └── CRR_convergence_2.pdf ├── 06_fou │ ├── BSM_val_accuracy_1.pdf │ ├── BSM_val_accuracy_2.pdf │ ├── Fourier_series.pdf │ └── spokes.pdf ├── 07_amo │ ├── LSM_primal_dual_APO.pdf │ └── LSM_primal_dual_SCS.pdf ├── 08_m76 │ ├── M76_calibration_3_0.pdf │ ├── M76_calibration_3_1.pdf │ ├── M76_calibration_3_2.pdf │ ├── M76_calibration_single.pdf │ └── M76_value_comparison.pdf ├── 10_mcs │ ├── CIR_paths.pdf │ ├── CIR_zcb_mcs_euler.pdf │ ├── CIR_zcb_mcs_exact.pdf │ ├── box_mm.pdf │ ├── box_paths.pdf │ └── box_steps.pdf ├── 11_cal │ ├── BCC97_calibration_iv_2014-10-17.pdf │ ├── BCC97_calibration_iv_2014-12-19.pdf │ ├── BCC97_calibration_iv_2015-03-20.pdf │ ├── BCC97_full_calibration_quotes.pdf │ ├── BCC97_iv_calibration_iv_2014-10-17.pdf │ ├── BCC97_iv_calibration_iv_2014-12-19.pdf │ ├── BCC97_iv_calibration_iv_2015-03-20.pdf │ ├── BCC97_iv_calibration_quotes.pdf │ ├── BCC97_jump_calibration_quotes.pdf │ ├── CIR_zcb_values.pdf │ ├── H93_calibration_iv_2014-10-17.pdf │ ├── H93_calibration_iv_2014-12-19.pdf │ ├── H93_calibration_iv_2015-03-20.pdf │ ├── H93_calibration_quotes.pdf │ ├── frc_calibration.pdf │ └── term_structure.pdf ├── 12_val │ ├── ES50_histogram.pdf │ ├── ES50_paths.pdf │ ├── rate_paths.pdf │ └── volatility_paths.pdf ├── 13_dyh │ ├── BCC_hedge_histo.pdf │ ├── BCC_hedge_run_1.pdf │ ├── BCC_hedge_run_2.pdf │ ├── BCC_hedge_run_3.pdf │ ├── BSM_hedge_histo.pdf │ ├── BSM_hedge_histo_more.pdf │ └── BSM_hedge_run_2.pdf └── A_pyt │ ├── DAX_hist_rets.pdf │ ├── DAX_history.pdf │ ├── dots_bars.pdf │ ├── histogram.pdf │ ├── line_plot.pdf │ ├── regression.pdf │ └── splines.pdf ├── python27 ├── 02_mbv │ ├── BSM_value_plot.py │ └── inner_value_plot.py ├── 03_stf │ ├── BSM_imp_vol.py │ ├── DAX_imp_vol.py │ ├── DAX_returns.py │ ├── ES50_imp_vol.py │ ├── EURIBOR_analysis.py │ ├── EURIBOR_current.xlsx │ ├── GBM_returns.py │ ├── SX5E.h5 │ ├── bsm_functions.py │ ├── es50_option_data.h5 │ └── es50_option_data.h5r ├── 05_com │ ├── BSM_call_greeks.py │ ├── BSM_option_valuation.py │ └── CRR_option_valuation.py ├── 06_fou │ ├── BSM_option_valuation_FOU.py │ ├── Fourier_series.py │ ├── call_convolution.py │ ├── call_convolution_general.py │ ├── call_fft_pricing.py │ ├── call_fft_speed.py │ ├── convolution.py │ ├── parameters.py │ └── roots_of_unity.py ├── 07_amo │ ├── CRR_american_options.py │ ├── LSM_primal_dual_table.py │ ├── LSM_primal_dual_valuation.py │ ├── LSM_primal_valuation.py │ ├── results_2014-10-13_full.h5 │ ├── results_2014-10-15_table.h5 │ ├── results_2014-10-15_table_old.h5 │ ├── table_1.tex │ └── table_2.tex ├── 08_m76 │ ├── M76_calibration_FFT.py │ ├── M76_calibration_single.py │ ├── M76_valuation_FFT.py │ ├── M76_valuation_INT.py │ ├── M76_valuation_MCS.py │ └── option_data.h5 ├── 09_gmm │ ├── BCC_option_valuation.py │ ├── BSM_option_valuation.py │ └── CIR_zcb_valuation.py ├── 10_mcs │ ├── CIR_zcb_simulation.py │ ├── CIR_zcb_valuation_gen.py │ ├── H93_european_mcs.py │ ├── RNG.py │ ├── SGEN.py │ ├── SVSI_american_mcs.py │ ├── SVSI_american_mcs_10_3.py │ ├── SVSI_american_mcs_10_4.py │ ├── SVSI_american_mcs_10_5.py │ ├── SVSI_american_speed.py │ ├── mcs_american_10_3.h5 │ ├── mcs_american_10_3_lam_1.h5 │ ├── mcs_american_10_4.h5 │ ├── mcs_american_10_4_lam_1.h5 │ ├── mcs_american_10_5.h5 │ ├── mcs_american_10_5_lam_1.h5 │ ├── mcs_european.h5 │ ├── table_10_1.tex │ ├── table_10_2.tex │ ├── table_10_3.tex │ ├── table_10_4.tex │ └── table_10_5.tex ├── 11_cal │ ├── BCC97_calibration_full.py │ ├── BCC97_calibration_iv.py │ ├── BCC97_calibration_short.py │ ├── BCC97_full_results.tex │ ├── BCC97_iv_results.tex │ ├── BCC97_jump_results.tex │ ├── CIR_calibration.py │ ├── H93_calibration.py │ ├── H93_results.tex │ ├── cal_results_full.h5 │ ├── cal_results_full_iv.h5 │ ├── cal_results_sv.h5 │ ├── opt_full.npy │ ├── opt_iv.npy │ ├── opt_jump.npy │ ├── opt_sv.npy │ └── plot_implied_volatilities.py ├── 12_val │ ├── BCC97_american_valuation.py │ ├── BCC97_simulation.py │ └── BCC97_valuation_comparison.py ├── 13_dyh │ ├── BCC97_lsm_hedging_algorithm.py │ ├── BCC97_lsm_hedging_histogram.py │ ├── BSM_lsm_hedging_algorithm.py │ └── BSM_lsm_hedging_histogram.py ├── A_DAWP_Chs_2_3.ipynb ├── A_pyt │ ├── DAX_data.h5 │ ├── DAX_data.xlsx │ ├── Option_Container │ ├── Option_Container_2 │ ├── a_first_program.py │ ├── b_BSM_valuation.py │ ├── c_parameters.py │ ├── d_CRR1979_loop.py │ ├── e_CRR1979_vectorized.py │ ├── f_CRR1979_fft.py │ ├── g_MCS.py │ ├── h_REG.py │ ├── i_SPLINE.py │ ├── j_OPT.py │ ├── k_INT.py │ ├── l_CLASS.py │ ├── m_Excel_read.py │ ├── n_pandas.py │ └── numpy_comp.py ├── B_DAWP_Chs_5_6_7.ipynb ├── C_DAWP_Ch_8.ipynb ├── DAX_data.h5 ├── D_DAWP_Ch_9_10.ipynb ├── E_DAWP_Ch_11.ipynb ├── F_DAWP_Chs_12_13.html ├── F_DAWP_Chs_12_13.ipynb ├── G_Python_Nutshell.ipynb ├── option_container └── option_container_2 └── python36 ├── .DS_Store ├── 02_mbv ├── BSM_value_plot.py └── inner_value_plot.py ├── 03_stf ├── BSM_imp_vol.py ├── DAX_imp_vol.py ├── DAX_returns.py ├── ES50_imp_vol.py ├── EURIBOR_analysis.py ├── EURIBOR_current.xlsx ├── GBM_returns.py ├── SX5E.h5 ├── bsm_functions.py ├── es50_option_data.h5 └── es50_option_data.h5r ├── 05_com ├── BSM_call_greeks.py ├── BSM_option_valuation.py └── CRR_option_valuation.py ├── 06_fou ├── BSM_option_valuation_FOU.py ├── Fourier_series.py ├── call_convolution.py ├── call_convolution_general.py ├── call_fft_pricing.py ├── call_fft_speed.py ├── convolution.py ├── parameters.py └── roots_of_unity.py ├── 07_amo ├── CRR_american_options.py ├── LSM_primal_dual_table.py ├── LSM_primal_dual_valuation.py ├── LSM_primal_valuation.py ├── results_2014-10-13_full.h5 ├── results_2014-10-15_table.h5 ├── table_1.tex └── table_2.tex ├── 08_m76 ├── M76_calibration_FFT.py ├── M76_calibration_single.py ├── M76_valuation_FFT.py ├── M76_valuation_INT.py ├── M76_valuation_MCS.py └── option_data.h5 ├── 09_gmm ├── BCC_option_valuation.py ├── BSM_option_valuation.py └── CIR_zcb_valuation.py ├── 10_mcs ├── CIR_zcb_simulation.py ├── CIR_zcb_valuation_gen.py ├── H93_european_mcs.py ├── RNG.py ├── SGEN.py ├── SVSI_american_mcs.py ├── SVSI_american_mcs_10_3.py ├── SVSI_american_mcs_10_4.py ├── SVSI_american_mcs_10_5.py ├── SVSI_american_speed.py ├── mcs_american_10_3.h5 ├── mcs_american_10_3_lam_1.h5 ├── mcs_american_10_4.h5 ├── mcs_american_10_4_lam_1.h5 ├── mcs_american_10_5.h5 ├── mcs_american_10_5_lam_1.h5 ├── mcs_european.h5 ├── table_10_1.tex ├── table_10_2.tex ├── table_10_3.tex ├── table_10_4.tex └── table_10_5.tex ├── 11_cal ├── BCC97_calibration_full.py ├── BCC97_calibration_iv.py ├── BCC97_calibration_short.py ├── BCC97_full_results.tex ├── BCC97_iv_results.tex ├── BCC97_jump_results.tex ├── CIR_calibration.py ├── H93_calibration.py ├── H93_results.tex ├── cal_results_full.h5 ├── cal_results_full_iv.h5 ├── cal_results_sv.h5 ├── opt_full.npy ├── opt_iv.npy ├── opt_jump.npy ├── opt_sv.npy └── plot_implied_volatilities.py ├── 12_val ├── BCC97_american_valuation.py ├── BCC97_simulation.py └── BCC97_valuation_comparison.py ├── 13_dyh ├── BCC97_lsm_hedging_algorithm.py ├── BCC97_lsm_hedging_histogram.py ├── BSM_lsm_hedging_algorithm.py └── BSM_lsm_hedging_histogram.py ├── A_DAWP_Chs_2_3.ipynb ├── A_pyt ├── DAX_data.h5 ├── DAX_data.xlsx ├── Option_Container ├── Option_Container_2 ├── a_first_program.py ├── b_BSM_valuation.py ├── c_parameters.py ├── d_CRR1979_loop.py ├── e_CRR1979_vectorized.py ├── f_CRR1979_fft.py ├── g_MCS.py ├── h_REG.py ├── i_SPLINE.py ├── j_OPT.py ├── k_INT.py ├── l_CLASS.py ├── m_Excel_read.py ├── n_pandas.py └── numpy_comp.py ├── B_DAWP_Chs_5_6_7.ipynb ├── C_DAWP_Ch_8.ipynb ├── D_DAWP_Ch_9_10.ipynb ├── E_DAWP_Ch_11.ipynb ├── F_DAWP_Chs_12_13.ipynb └── G_Python_Nutshell.ipynb /.DS_Store: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/yhilpisch/dawp/HEAD/.DS_Store -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/yhilpisch/dawp/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE.txt: 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