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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679
18
장
금융 모형 시뮬레이션
시뮬레이션 객체에서 상관관계에 관련된 부분은 다음 장에서 설명한다. 이번 장에서는 상관관
계가 없는 단일 확률 과정에 초점을 맞춘다. 마찬가지로 포트폴리오와 관련된
time
_
grid
옵션
도 추후에 설명하도록 한다.
18.3
기하 브라운 운동 모형
기하 브라운 운동 모형은 [수식
18
-
1
]에 나타난 형태의 확률 과정이다(
12
장의 [수식
12
-
2
]에
서 자세히 설명하였으니 참조하기 바란다). 이 확률 과정은 동치인 마틴게일 측도 하에서 움직
인다고 가정하므로 증가율이 무위험 고정 단기 이자율
r
로 고정되어 있다(
17
장 참조 ).
수식
18-1
기하 브라운 운동 모형의 확률 미분방정식
t t tt
dS rS dt S dZ
[수식
18
-
2
]는 시뮬레이션을 위해 확률 미분방정식에 오일러 이산화를 적용한 결과다(자세한
내용은
12
장의 [수식
12
-
3
] 참조).
17
장에서 소개한 일반적 시장 모형
ℳ
과 같은 이산 시간
시장 모형을 사용하면 시뮬레이션 시간은
0
＜
t
1
＜
t
2
＜ … ＜
T
와 같다.
수식
18-2
기하 브라운 운동 모형을 시뮬레이션하기 위한 차분방정식
1
2
11
1
exp
2
0
mm
t t m m m mt
mm
S S r t t t tz
tt T
18.3.1
시뮬레이션
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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.