Python金融风险管理FRM实战篇查看源代码讨论查看历史

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《Python金融风险管理FRM实战篇》，姜伟生，涂升 编，出版社： 清华大学出版社。

清华大学出版社成立于1980年6月，是教育部主管、清华大学主办的综合性大学出版社。清华社先后荣获 “先进高校出版社”“全国优秀出版社”“全国百佳图书出版单位”“中国版权最具影响力企业”“首届全国教材建设奖全国教材建设先进集体”等荣誉。

内容简介

《Python金融风险管理FRM（实战篇）》是本系列图书的第二册，共分12章。《Python金融风险管理FRM（实战篇）》的*1章讲解金融数据波动率计算，其中主要包括MA、ARCH、GARCH等模型。第2章介绍随机过程，比如马尔可夫过程、马丁格尔策略、维纳过程、伊藤引理和几何布朗运动等内容。第3章探讨蒙特卡罗模拟，特别是股价模拟和期权定价内容。第4章介绍常见的几种回归分析，比如线性回归、逻辑回归、多项式回归、岭回归和套索回归。第5、6和7章内容探讨期权定价和分析，第5章以二叉树为主，第6章介绍BSM模型条件下的期权定价，第7章介绍希腊字母。

目录

Contents

目录

第1章波动率····························································································1

1.1回报率···············································································································2

1.2历史波动率·······································································································10

1.3移动平均(MA)计算波动率····················································································13

1.4自回归条件异方差模型ARCH················································································21

1.5广义自回归条件异方差模型GARCH········································································25

1.6波动率估计·...