Listed volatility and variance derivatives : a Python-based guide

Intro -- Listed Volatility and Variance Derivatives -- Contents -- Preface -- Part One Introduction to Volatility and Variance -- Chapter 1 Derivatives, Volatility and Variance -- 1.1 Option Pricing and Hedging -- 1.2 Notions of Volatility and Variance -- 1.3 Listed Volatility and Variance Derivatives -- 1.3.1 The US History -- 1.3.2 The European History -- 1.3.3 Volatility of Volatility Indexes -- 1.3.4 Products Covered in this Book -- 1.4 Volatility and Variance Trading -- 1.4.1 Volatility Trading -- 1.4.2 Variance Trading -- 1.5 Python as Our Tool of Choice -- 1.6 Quick Guide Through the Rest of the Book -- Chapter 2 Introduction to Python -- 2.1 Python Basics -- 2.1.1 Data Types -- 2.1.2 Data Structures -- 2.1.3 Control Structures -- 2.1.4 Special Python Idioms -- 2.2 NumPy -- 2.3 matplotlib -- 2.4 pandas -- 2.4.1 pandas DataFrame class -- 2.4.2 Input-Output Operations -- 2.4.3 Financial Analytics Examples -- 2.5 Conclusions -- Chapter 3 Model-Free Replication of Variance -- 3.1 Introduction -- 3.2 Spanning with Options -- 3.3 Log Contracts -- 3.4 Static Replication of Realized Variance and Variance Swaps -- 3.5 Constant Dollar Gamma Derivatives and Portfolios -- 3.6 Practical Replication of Realized Variance -- 3.7 VSTOXX as Volatility Index -- 3.8 Conclusions -- Part Two Listed Volatility Derivatives -- Chapter 4 Data Analysis and Strategies -- 4.1 Introduction -- 4.2 Retrieving Base Data -- 4.2.1 EURO STOXX 50 Data -- 4.2.2 VSTOXX Data -- 4.2.3 Combining the Data Sets -- 4.2.4 Saving the Data -- 4.3 Basic Data Analysis -- 4.4 Correlation Analysis -- 4.5 Constant Proportion Investment Strategies -- 4.6 Conclusions -- Chapter 5 VSTOXX Index -- 5.1 Introduction -- 5.2 Collecting Option Data -- 5.3 Calculating the Sub-Indexes -- 5.3.1 The Algorithm -- 5.4 Calculating the VSTOXX Index -- 5.5 Conclusions -- 5.6 Python Scripts.