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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746
5
부
파생상품 분석
#포트폴리오
from derivatives_position import derivatives_position
from derivatives_portfolio import derivatives_portfolio
20.4
참고 문헌
앞 장에서 말한 바와 같이
Glasserman
의 책(
2004
)은 금융공학 및 응용 분야에서 몬테카를로
시뮬레이션을 사용하기 위한 훌륭한 참고 서적이다. 몬테카를로 알고리즘의 파이썬 구현에 대
해서는
Hilpisch
의 책(
2015
)을 참고한다.
●
Glasserman
,
Paul
(
2004
).
Monte Carlo Methods in Financial Engineering
.
New
York
:
Springer
.
●
Hilpisch
,
Yves
(
2015
).
Derivatives Analytics with Python
.
Chichester
,
England
,
Wiley
Finance
.
http://derivatives-analytics-with-python.com
.
하지만 몬테카를로 시뮬레이션을 사용하여 복잡한 파생상품 포트폴리오 가치 평가를 중복이
없고 일관되게 작업한 자료는 그다지 많지 않다. 예외적으로
Albanese
,
Gimonet
,
White
의
논문(
2010a
)은 개념적인 관점에서 잘 정리되어 있는 짧은 ...
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