Python Programming in Finance

Zheng-Liang Lu (Arthur)

CSIE @ NTU

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Syllabus

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Computer Science

Finance Math

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Topics

•Python programming

•Data acquisition, visualization, strategy development & backtesting

•Selected math tools

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•Modern portfolio theory

• Financial time series analysis

•Pricing theory

•Risk management

•Machine learning

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P & Q Quant

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Physical World

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Q: Risk-Neutral

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P Q

Goal Forecasting Pricing/Hedging

Universe Real-World Probability Measure

Risk-Neutral Probability Measure

Process Discrete Time Series Continuous-Time Martingales

Math Tools Statistics Ito’s Calculus

Business Buy Side Sell Side

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Financial Risk Manager (FRM)

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