Python金融風險管理FRM實戰篇

來自 孔夫子網 的圖片

《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。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。

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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。

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Contents

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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·...