Listed Volatility and Variance Derivatives

A Python-based Guide


What others say.

In Academia

"Volatility derivatives are a class of derivative securities where the payoff explicitly depends on some measure of the volatility of an underlying asset. Prominent examples of these derivatives include variance swaps and VIX futures and options" Peter Carr and Roger Lee (2009)Volatility Derivatives, Annual Review of Financial Economics.

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About the author

Yves Hilpisch is founder and managing partner of The Python Quants Group (cf. The group focuses on open source technologies for computational finance and financial data science. It provides data, financial and derivatives analytics software (cf. datapark & Quant Platform & DX Analytics) as well as consulting services and trainings related to Python and open source in the financial industry.

Yves is also author of the books Python for Finance — Analyze Big Financial Data (O'Reilly, 2014) and Derivatives Analytics with Python — Data Analysis, Models, Calibration, Simulation and Hedging (Wiley, 2015). As a graduate in Business Administration with a Dr.rer.pol. in Mathematical Finance, he lectures on Computational Finance at the CQF Program.

Furthermore, Yves organizes open source for quant finance meetups and conferences in Frankfurt (cf. Open Source in Quant Finance), London (cf. Python for Quant Finance) and New York (cf. For Python Quants).

Quant Platform

All Python codes (scripts, modules, etc.) as well as complementary Jupyter Notebooks for immediate execution will be made available on the Quant Platform. No installation necessary, just an easy and quick registration necessary.

Github Repository

All Jupyter Notebooks and all Python code files for easy cloning and local usage will be made available on Github. Make sure to have a comprehensive scientific Python installation (2.7.x) ready.

DX Analytics

This is a purely Python-based derivatives and risk analytics library which implements all models and approaches presented in the book (e.g. stochastic volatility & jump-diffusion models, Fourier-based option pricing, least-squares Monte Carlo simulation, numerical Greeks).


I am offering trainings about Python for Finance and Derivatives Analytics with Python — for example based on this and my O'Reilly book. I also offer customized trainings about Python, Data Analytics, Computational Finance, Derivatives & Risk Analytics. Just get in touch below.

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