Listed Volatility and Variance Derivatives

A Python-based Guide

What others say.

REVIEWS & Academia

“I’ve had many discussions with Yves and followed his trajectory over the past few years. He is basically a full time professor with a side job as a leading expert in Python for quantitative finance who travels around the world consulting WS and educationally paving the way for any kid who dreams of not just being a Quant, but a new, cutting-edge type of one. For myself having spent most of my career in volatility, he is an invaluable resource. Be warned though this is the third book in his Python quant collection and for most people they’ll be better off starting with his first two works.”

“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.


About the author

Dr. Yves J. Hilpisch is founder and CEO of The Python Quants ( and The AI Machine ( The group focuses on Open Source technologies for Financial Data Science, Artificial Intelligence, Algorithmic Trading, Computational Finance, and Asset Management. It also provides data, financial and derivatives analytics software (see Quant Platform and DX Analytics) as well as consulting services and Python for Finance online and corporate training programs.

Yves is author of the books Financial Theory with Python (O’Reilly, 2021), Artificial Intelligence in Finance (O’Reilly, 2020), Python for Algorithmic Trading (O’Reilly, 2020), Python for Finance (2nd ed., O’Reilly, 2018),  Derivatives Analytics with Python (Wiley, 2015) and Listed Volatility and Variance Derivatives (Wiley, 2017). As a graduate in Business Administration with a Dr.rer.pol. in Mathematical Finance, he lectures on Computational Finance at the CQF Program and is Adjunct Professor of Computational Finance. Yves is also the director of the Certificate Program in Python for Finance.

Furthermore, Yves organizes Python for Finance, AI, and Algorithmic Trading Meetup group events in Berlin, Frankfurt, Paris, London (see Python for Quant Finance) and New York (see AI & Algo Trading).

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 under

Github Repository

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

DX Analytics

DX Analytics 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) on the basis of a unified API.


We are offering comprehensive Python for Finance online training programs — leading to University Certificates — about Financial Data Science, Algorithmic Trading, Computational Finance, and Asset Management. In addition, we also offer customized corporate training classes. See or just get in touch below.

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