量化金融分析
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【金融量化分析】#Risk Management (Final Examination Note)
【金融量化分析】#Risk Management (Final Examination Note)【金融量化分析】#Risk Management (Final Examination Note)原创 2022-01-09 16:21:52 · 492 阅读 · 1 评论 -
【金融量化分析】#BSM formula 的推导(解随机微分方程)
【金融量化分析】#BSM formula 的推导(解随机微分方程)原创 2022-01-09 11:59:28 · 3110 阅读 · 0 评论 -
【金融量化分析】#Financial Computation(利率、债券、期权相关数理知识与代码实现)
【金融量化分析】#Financial Computation(利率、债券、期权相关数理知识与代码实现)原创 2022-01-03 19:41:02 · 1610 阅读 · 0 评论 -
【金融量化分析】#project (Brownian Motion; Itô processes; B-S-M Model)
Quiz:(1). Brownian motions: Simulate graphs of one dimensional Brownian motions, and trajectories/paths of two or three dimensional ones.(2). Itô processes or solutions of stochastic differential equations: Simulate geometric Brownian motions, Vasicek mo原创 2022-01-01 14:56:39 · 918 阅读 · 0 评论 -
【金融量化分析】#stochastic calculus (shreve I & II 知识点与对应题型概述)
have a look : https://zhuanlan.zhihu.com/p/64805973二叉树计算 binomial calculatestock price process;instrinsic value processsample:Martingale proofsample:Calculate covariance and quadratic variation基础数理知识: (全微分).基础数理知识: (定积分求导).textbook p.90...原创 2021-12-28 17:45:38 · 706 阅读 · 0 评论 -
【金融量化分析】#HW1 (bootstrap;implicit finite difference method;CRR binomial tree;Bisection method)
%HW1%基于MATLAB的金融量化分析Time to maturityCoupon rate(paid semi-annually)Bond price0.50$49.0510$48.091.51%$47.8121%$47.032.51.2%$46.5131.2%$45.753.51.5%$45.454原创 2021-12-14 16:29:14 · 911 阅读 · 0 评论 -
【金融量化分析】#HW2 (Effective return;Duration and convexity;bootstrap method; minimum variance portfolios)
case study1Q1(Effective return)infoQ2(Duration and convexity)infoQ3(bootstrap and related rates)Q4( The minimum variance portfolios for target returns)Infohttps://zhuanlan.zhihu.com/p/139262608#利率衍生品定价的基础内容回顾Q1(Effective return)infotwo ways to calcu原创 2021-12-13 17:37:29 · 685 阅读 · 0 评论 -
【金融量化分析】#期权相关定价方法与代码表达
Code:function Call = blsprice(S,K,r,T,sigma)% BS formula for European call pricingd1 = (1./(sigma.*sqrt(T))).*( log(S/K) + (r+sigma.^2/2).*T);d2 = d1 - sigma.*sqrt(T);Z1 = normcdf(d1,0,1);Z2 = normcdf(d2,0,1);Call = Z1*S - Z2*K*exp(-r*T);en.原创 2021-12-07 16:42:15 · 3444 阅读 · 0 评论