Quantitative Finance & Algorithmic Trading in Python

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                                    Medium of instructions
                                    English

                                    Mode of learning
                                    Self study

                                    Mode of Delivery
                                    Video and Text Based

Introduction

Introduction
Why to use Python
Financial models

Environment Steup

Installing PyCharm and Python on Windows
Installing PyCharm and Python on Mac

Stock Market basics

Present value and future value of money
Times value of money implementation
Stocks and shares
Commodities
Currencies and the FOREX
Short and long positions
Stock Markets Basics

Bonds Theory

What are bonds?
Yields and yield to maturity
Interest rates and bonds
Macaulay duration
Risks with bonds
Stocks and bonds
Bonds Quiz

Bonds Implemetation

Bonds pricing implementation I
Bonds pricing implementation II
Exercise - continuous model for discounting
Solution - continuous model for discounting

Modern Portfolio Theory (Markowitz-Model)

What are mean, variance and correlation?
The main idea - diverzification
Mathematical formulation
The expected return of the portfolio
Expected variance (risk) of the portfolio
Efficient frontier
Sharpe ratio
Capital allocation line
Markowitz Model Quiz

Markowitz-Model Implementation

Markowitz model implementation I
Markowitz model implementation II
Markowitz model implementation III
Markowitz model implementation IV
Markowitz model implementation V

Capital Asset pricing model (CAPM) Theory

Systematic and unsystematic risk
Capital asset pricing model formula
The beta value
What is linear regression?
Capital asset pricing model and linear regression
Capital Asset Pricing Model Quiz

Capital Assest Pricing Model (CAPM) Implemntation

Capital asset pricing model implementation I
Capital asset pricing model implementation II
Capital asset pricing model implementation III
Exercise - normal distribution of returns
Solution - normal distribution of returns

Derivatives Basics

Introduction to derivatives
Forward and future contracts
Swaps and interest rate swaps
Credit default swap (CDS)
Options basics
Call option
Put option
American and European options
Derivatives Basics Quiz

Random Behavior in Finance

Types of analysis
Random behavior of returns
Wiener-processes and random walks
Wiener-process implementation
Stochastic calculus introduction
Ito's lemma in higher dimensions
Solving the geometric random walk equation
Geometric Brownian motion implementation
Random Behaviour Quiz

Black-Scholes Model

Black-Scholes model introduction - the portfolio
Black-Scholes model introduction - dynamic delta hedge
Black-Scholes model introduction - no-arbitrage principle
Solution to Black-Scholes equation
The greeks
How to make money with Black-Scholes model?
Long Term Capital Management (LTCM)
Black-Scholes Model Quiz

Black-Scholes Model Implementation

Black-Scholes model implementation
What is Monte-Carlo simulation?
Predicting stock prices with Monte-Carlo simulation
Black-Scholes model implementation with Monte-Carlo simulation I
Black-Scholes model implementation with Monte-Carlo simulation II
Black-Scholes model implementation with Monte-Carlo simulation III

Value at Risk (VaR)

What is Value-at-Risk?
Value-at-Risk introduction
Value at risk implementation
Value at risk implementation with Monte-Carlo simulation I
Value at risk implementation with Monte-Carlo simulation II
Value at Risk Quiz

Collateralized Debt Obligations (CDOs) and the Financial Crisis

What are CDOs?
CDOs and diverzification
CDO tranches
The financial crisis of 2007-2008
CDOs Quiz

Interest Rate Modeling (Vasicek model)

Why to use interest rate models?
The Ornstein-Uhlenbeck process introduction
The Ornstein-Uhlenbeck process implementation
Vasicek model introduction
Vasicek model implementation
Interest Rate Modeling Quiz

Pricing Bonds with Vasicek Model

Bond pricing with the Vasicek model I
Bond pricing with the Vasicek model II
Bond pricing with the Vasicek model III

Long-Term investing

Value investing
Efficient market hypothesis

Next steps

Next steps

Appendix - Python Programming Crash Course

Python crash course introduction

Appendix #1 - Python Basic

First steps in Python
What are the basic data types?
Booleans
Strings
String slicing
Typecasting
Operators
Conditional statements
How to use multiple conditions?
Exercise: conditional statements
Solution: conditional statements
Logical operators
Loops - for loop
Loops - while loop
Exercise: calculating the average
Solution: calculating the average
What are nested loops?
Enumerate
Break and continue
Calculating Fibonacci-numbers
Exercise: Fibonacci-numbers
Solution: Fibonacci-numbers
Python Basics Quiz

Appendix #2 - Functions

What are functions?
Defining functions
Positional arguments and keyword arguments
Returning values
Returning multiple values
Exercise: functions
Solution: functions
Yield operator
Local and global variables
What are the most relevant built-in functions?
What is recursion?
Exercise: recursion
Solution: recursion
Local vs global variables
The __main__ function
Functions Quiz

Appendix #3 - Data Structures in Python

How to measure the running time of algorithms?
Data structures introduction
What are array data structures I
What are array data structures II
Lists in Python
Lists in Python - advanced operations
Lists in Python - list comprehension
(!!!) Python lists and arrays
Exercise: list comprehension
Solution: list comprehension
Measuring running time of lists
What are tuples?
Mutability and immutability
What is linked list data structures?
Doubly linked list implementation in Python
Hashing and O(1) running time complexity
Dictionaries in Python
Sets in Python
Exercise: constructing dictionaries
Solution: constructing dictionaries
Sorting
Data Structures Quiz

Appendix #4 - Object-Oriented Programming (OOP)

What is object-oriented programming (OOP)?
Class and objects basics
Using the constructor
Class variables and instance variables
Exercise: constructing classes
Solution: constructing classes
Private variables and name mangling
What is inheritance in OOP?
The super keyword
Function (method) override
What is polymorphism?
Polymorphism and abstraction example
Exercise: abstraction
Solution: abstraction
Modules
The __str__ function
Comparing objects - overriding functions
Object-Oriented Programming (OOP) Quiz

Appendix #5 - NumPy

What is the key advantage of NumPy?
Creating and updating arrays
Dimension of arrays
Indexes and slicing
Types
Reshape
Exercise: reshape problem
Solution: reshape problem
Stacking and merging arrays
Filter
Running time comparison: arrays and lists
NumPy Quiz

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