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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656
5
부
파생상품 분석
시장 환경
단일 상품이나 여러 상품으로 구성된 포트폴리오의 가치 평가를 위한 시장 환경을 관리하는 클
래스를 개발한다.
17.1
자산 가격결정 기본 정리
자산 가격결정 기본 정리
fundamental
theorem
of
asset
pricing
는 현대 금융 이론 및 금융수학의 근간을 이루
는 훌륭한 정리다.
1
자산 가격결정 기본 정리의 핵심은
마틴게일 측도
martingale
measure
라는 개념이
다. 이는 할인된 위험 요인에서 실제 증가율
drift
을 제거한 확률 측도다. 다시 말해 모든 위험 요
인은 위험 프리미엄을 포함한 실제 시장 이자율을 무시하고 무조건 고정된 무위험 단기 이자율
에 따라 증가한다.
17.1.1
간단한 예제
간단하게 위험 자산인 ‘주식’과 무위험 자산인 ‘채권’을 하루 동안 보유한다고 생각해보자. 채권
의 가격은 오늘
10
달러이고 내일도
10
달러이다(이자율
0
). 주식의 가격은 오늘
10
달러이지만
내일은
60
%의 확률로
20
달러가 될 수도 있고,
40
%의 확률로
0
달러가 될 수도 있다. 채권의 무
위험 수익은
0
이고, 주식의 기대 수익률은
0.6 20 0 .4 0
–1 0.2
10
, 즉
20
%이다. 이 값이 주식
이 제공하는 ‘위험에 대한 보상’, 즉 위험 프리미엄
risk
premium
이다.
이제 행사가가 ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
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.