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I am looking for a good reference for Monte Carlo simulation applied to derivatives with Python. Most books I found until now deal with C++... I have found "Derivatives Analytics with Python" by Yves Hilpisch, has anyone already read it or has a good reference to suggest?


Thanks a lot!

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  • $\begingroup$ Maybe there's not any books on it because Python is not really recommended for Monte Carlo? MC is time consuming and Python is slow $\endgroup$ – Yian Pap Dec 14 '17 at 15:41
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I really liked another book from Yves Hilpisch

Python for Finance by Yves Hilpisch

There are several chapters where he goes through the development of a pricing library.

http://shop.oreilly.com/product/0636920032441.do

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