The idea was that this module would help the student put their new skills to the test with a challenging data analysis problem - precisely the kind of project they would be required to execute on the job.ĭue to a scheduling conflict, this initial vision had to be modified. It would be geared towards advanced students who had already completed year-long sequences in both options theory and computer programming.
My initial vision for the course was a short but intensive module on backtesting options trading strategies. This book emanated from a course I was asked to teach for Master of Financial Mathematics (MFM) Program at the University of Minnesota. Feel free to reach out me, or to the team at Delta Neutral, if you have further questions about their data offerings: Why This Book It contains daily prices for all options traded on thousands of equity underlyings, and goes back to 2002. This is a phenomenal data set of the highest quality. Nearly all the data analysis examples in this book come from Delta Neutral’s Level 3 product. When I approached Rick about showcasing his data in my courses, he was excited to help spread the knowledge of options and data analysis through this innovative channel. Rick and his team have hit an unequivocal home run with their product. At the time he was looking for high quality daily option data, and there simply were no reasonable sources. I was immeasurably impressed with the data, especially when compared to that of their competitors, both in terms of price and quality.ĭelta Neutral was founded in 2002 by Rick Fortier. A few years prior, I had purchased data from Delta Neutral in order to complete a backtest that I was working on. When I was asked to teach a data science course at the University of Minnesota School of Mathematics, I knew I wanted a real-world data set to be the bedrock of the curriculum. This book would not have been possible without the support of my data partners at Delta Neutral.
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