Professional Documents
Culture Documents
VX Python For Finance EuroScipy 2012 Y Hilpisch PDF
VX Python For Finance EuroScipy 2012 Y Hilpisch PDF
© Visixion GmbH
page 1
“Simplicity is the ultimate sophistication.”
Steve Jobs
page 2
WHY PYTHON FOR FINANCE (1)?
easy-to-
easy-to-learn
comprehend
highly good
productive performance
page 3
EASY-TO-LEARN
page 5
EASY-TO-LEARN
Easy-to-understand since
highly compact and quite
close to mathematics
page 6
EASY-TO-COMPREHEND
Finance Book
page 8
HIGHLY PRODUCTIVE
DEXISION
by Visixion GmbH
http://www.dexision.com
page 9
HIGHLY PRODUCTIVE
page 10
HIGHLY PRODUCTIVE
https://analytics.dexision.com/DEXISIONeval.py?
user=online&company=visixion&pwd=qwertzui
&paths=10000&steps=50
&portfolio=MS2009/Heston_CIR
&format=xml
page 11
GOOD PERFORMANCE
Research Paper
In the paper "Fast Monte Carlo Valuation of American Options under Stochastic
Volatility and Interest Rates" by Y. Hilpisch, the author demonstrates with Python
script that the Least-Squares Monte Carlo (LSM) algorithm with control variates takes
only less than one second to achieve satisfying accurateness. The overall statistics
taken from the paper are as follows, AMAZING!”
from http://www.mathfinance.cn
page 13
GOOD PERFORMANCE
2 Seconds
page 14
WHY PYTHON FOR FINANCE (2)?
unified powerful
platform libraries
page 15
UNIFIED PLATFORM
Client Project
for
Eurex Frankfurt AG
by Visixion GmbH
http://www.visixion.com
from http://www.visixion.com
page 17
POWERFUL LIBRARIES
Python libraries
used at
Visixion GmbH
page 18
POWERFUL LIBRARIES
Everyday tasks
at
Visixion GmbH
page 20
MULTI-PURPOSE
Regulatory requirements
by
Securities Exchange Commission (SEC)
page 22
OPEN SOURCE
“We are proposing to require that most ABS issuers file a computer
program that gives effect to the flow of funds, or “waterfall,” provisions of
the transaction. We are proposing that the computer program be filed on
EDGAR in the form of downloadable source code in Python. Python, as we
will discuss further below, is an open source interpreted programming
language. Under our proposal, an investor would be able to download the
source code for the waterfall computer program and run the program on
the investor’s own computer (properly configured with a Python
interpreter). The waterfall computer program would be required to allow
use of the asset data files that we are also proposing today. This proposed
requirement is designed to make it easier for an investor to conduct a
thorough investment analysis of the ABS offering at the time of its initial
investment decision.”
from http://www.sec.gov/rules/proposed/2010/33-9117.pdf
page 23
Finance — Financial Advisory Services
page 24
… is Visixion’s secret sauce
page 25
Visit www.visixion.com to learn Dr. Yves J. Hilpisch
more about our company and Visixion GmbH
services. Rathausstrasse 75-79
66333 Voelklingen
Germany
Visit www.dexision.com and
www.dxevo.com to learn more
T 49 6898 932 350
about our derivatives analytics
F 49 6898 932 352
suites.
E contact@visixion.com
I www.visixion.com
page 26