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Black-Scholes with Python: From Closed-Form Pricing to Real-Market Greeks: Fast Pricing, Implied Volatility, and Risk Reports with Vectorized NumPy, N
Paperback
Publisher: Independently Published
Published: Sep 18 2025
Pages: 642
Weight: 2.42
Height: 1.29 Width: 7.00 Depth: 10.00
Language: English
Most Black-Scholes books stop at the formula. This one ships production-ready code. Learn to price and hedge vanilla options, back out implied vols at scale, and generate real-time risk with vectorized Python. Then push beyond BSM smile/smirk corrections, dividends, discrete carry, and stress testing.
Closed-form pricers (calls/puts, forwards, dividends) with analytic Greeks.
Implied volatility solvers (Newton, Brent, Halley) + robust batching.
Surface building (slices, smoothing, arbitrage checks) and diagnostics.
T+1 risk packs: Delta/Gamma/Vega/Theta/Rho reports for portfolios.
Speedups with Numba/JAX and memory-safe patterns for large books.
Reality checks: bid-ask, discrete hedging error, fat-tail stress.
Perfect for quants, traders, and devs who want clean code that runs fast-and connects directly to portfolio risk.
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