Python金融風險管理FRM(實戰篇)
薑偉生、塗升 主編 安然、蘆葦、張豐 編著
- 出版商: 清華大學
- 出版日期: 2021-12-01
- 定價: $1,014
- 售價: 8.5 折 $862
- 貴賓價: 8.0 折 $811
- 語言: 簡體中文
- ISBN: 7302588295
- ISBN-13: 9787302588290
-
相關分類:
Python
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相關翻譯:
手術刀般精準的 FRM - 用 Python 科學管控財金風險 (實戰篇) (繁中版)
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目錄大綱
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 ······································································································· 29
1.7 隱含波動率 ······································································································· 31
第2章隨機過程 ························································································38
2.1 隨機變量與隨機過程 ··························································································· 40
2.2 馬爾可夫過程 ···································································································· 43
2.3 馬丁格爾 ·········································································································· 46
2.4 隨機漫步 ·········································································································· 49
2.5 維納過程 ·········································································································· 54
2.6 伊藤引理 ·········································································································· 56
2.7 幾何布朗運動 ···································································································· 60
第3章蒙特卡羅模擬 ··················································································65
3.1 蒙特卡羅模擬的基本思想 ····················································································· 66
3.2 定積分 ············································································································· 66
3.3 估算圓周率 ······································································································· 75
3.4 股價模擬 ·········································································································· 78
3.5 具有相關性的股價模擬 ························································································ 81
3.6 歐式期權的定價 ································································································· 85
3.7 亞式期權的定價 ································································································· 87
3.8 馬爾可夫鏈蒙特卡羅 ··························································································· 90
第4章回歸分析 ························································································97
4.1 回歸分析概述 ···································································································· 99
4.2 回歸模型的建模與評估 ·······················································································102
4.3 線性回歸 ·········································································································105
4.4 邏輯回歸 ·········································································································113
4.5 多項式回歸 ······································································································118
4.6 嶺回歸 ············································································································121
4.7 套索回歸 ·········································································································128
第5章期權二叉樹···················································································133
5.1 期權市場 ·········································································································134
5.2 標的物二叉樹 ···································································································140
5.3 歐式期權二叉樹 ································································································145
5.4 美式期權二叉樹 ································································································151
5.5 二叉樹步數影響 ································································································157
5.6 其他二叉樹 ······································································································160
第6章BSM期權定價 ···············································································171
6.1 BSM模型 ·········································································································172
6.2 時間價值和內在價值 ··························································································176
6.3 外匯期權 ·········································································································181
6.4 期貨期權和債券期權 ··························································································184
6.5 數字期權 ·········································································································185
第7章希臘字母······················································································199
7.1 希臘字母 ·········································································································200
7.2 Delta ···············································································································201
7.3 Gamma ············································································································211
7.4 Theta ··············································································································218
7.5 Vega ···············································································································226
7.6 Rho ················································································································230
第8章市場風險······················································································235
8.1 市場風險及其分類 ·····························································································236
8.2 市場風險度量 ···································································································237
8.3 風險價值 ·········································································································241
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Python金融風險管理FRM | 實戰篇
8.4 參數法計算風險價值 ··························································································247
8.5 歷史法計算風險價值 ··························································································253
8.6 蒙特卡羅法計算風險價值 ····················································································256
第9章信用風險······················································································262
9.1 信用風險的定義和分類 ·······················································································263
9.2 信用風險的度量 ································································································263
9.3 信用風險數據分析與處理 ····················································································265
9.4 信用風險評分卡模型 ··························································································275
9.5 信用評級機構 ···································································································291
9.6 自展法求生存率 ································································································291
9.7 奧特曼Z分模型 ·································································································294
第10章交易對手信用風險 ········································································297
10.1 交易對手信用風險概念 ······················································································298
10.2 交易對手信用風險度量 ······················································································299
10.3 預期正敞口和最大潛在未來風險敞口 ····································································303
10.4 遠期合同的交易對手信用風險 ·············································································306
10.5 利率互換的交易對手信用風險 ·············································································307
10.6 貨幣互換的交易對手信用風險 ·············································································315
10.7 交易對手信用風險緩釋 ······················································································316
10.8 信用估值調整 ··································································································318
10.9 錯向風險 ········································································································323
第11章投資組合理論Ⅰ ···········································································325
11.1 均值方差理論 ··································································································326
11.2 拉格朗日函數優化求解 ······················································································334
11.3 總體最小風險資產組合 ···················································································335
11.4 有效前沿 ·····································································································339
11.5 有效前沿實例 ·······························································································345
11.6 不可賣空有效前沿 ····························································································355
第12章投資組合理論Ⅱ ···········································································366
12.1 包含無風險產品的投資組合 ················································································367
12.2 最佳風險投資組合及實例分析 ·············································································371
12.3 無差別效用曲線 ·······························································································376
12.4 最佳完全投資組合實例分析 ················································································378
12.5 資產定價理論 ··································································································398
備忘·······································································································403
目錄 | Contents
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