Python金融風險管理FRM實戰篇
《Python金融風險管理FRM實戰篇》,姜偉生,塗升 編,出版社: 清華大學出版社。
清華大學出版社成立於1980年6月,是教育部主管、清華大學主辦的綜合性大學出版社[1]。清華社先後榮獲 「先進高校出版社」「全國優秀出版社」「全國百佳圖書出版單位」「中國版權最具影響力企業」「首屆全國教材建設獎全國教材建設先進集體」等榮譽[2]。
目錄
內容簡介
《Python金融風險管理FRM(實戰篇)》是本系列圖書的第二冊,共分12章。《Python金融風險管理FRM(實戰篇)》的*1章講解金融數據波動率計算,其中主要包括MA、ARCH、GARCH等模型。第2章介紹隨機過程,比如馬爾可夫過程、馬丁格爾策略、維納過程、伊藤引理和幾何布朗運動等內容。第3章探討蒙特卡羅模擬,特別是股價模擬和期權定價內容。第4章介紹常見的幾種回歸分析,比如線性回歸、邏輯回歸、多項式回歸、嶺回歸和套索回歸。第5、6和7章內容探討期權定價和分析,第5章以二叉樹為主,第6章介紹BSM模型條件下的期權定價,第7章介紹希臘字母。
目錄
Contents
目錄
第1章波動率····························································································1
1.1回報率···············································································································2
1.2歷史波動率·······································································································10
1.3移動平均(MA)計算波動率····················································································13
1.4自回歸條件異方差模型ARCH················································································21
1.5廣義自回歸條件異方差模型GARCH········································································25
1.6波動率估計·...
參考文獻
- ↑ 我國出版社的等級劃分和分類標準,知網出書,2021-03-01
- ↑ 企業簡介,清華大學出版社有限公司