March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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372
3
부
금융 데이터 과학
➎
시뮬레이션에 기반한 만기 값의 평균
➏
만기 값의 이론적 기댓값
➐
유러피안 풋 옵션의 행사가
➑
옵션에 대한 몬테카를로 추정치
[그림
10
-
2
]는 (유러피안 풋 옵션) 만기 시점의 시뮬레이션 결괏값 히스토그램이다.
그림
10-2
시뮬레이션된 만기 값 분포의 빈도
10.4.2
NumPy
NumPy
버전인
mcs
_
simulation
_
np
( )
함수도 크게 다르지 않다. 여전히 시간 구간을 돌아가는
하나의 파이썬 루프를 사용한다. 경로에 대한 차원은 벡터화된 코드를 사용한다. 이렇게 하면
이전 버전보다 약
20
배 빠르다.
In [127]: def mcs_simulation_np(p):
M, I = p
dt = T / M
S = np.zeros((M + 1, I))
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.