1
$\begingroup$

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!

Improve this question
$\endgroup$
1
  • $\begingroup$ 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, 2017 at 15:41

1 Answer 1

Reset to default
2
$\begingroup$

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

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.