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    6. 時間序列分析下的選擇權定價: 使用R語言

    時間序列分析下的選擇權定價: 使用R語言

    5.0分,3 ratings
    Author 林進益
    Publisher c12yih /林進益
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    Released
    2020/11/16
    Language
    Traditional Chinese
    File format
    PDF (26MB), fit in large screen and Pubook
    Pages
    316
    ID
    210399
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    • Intro

    • Chapters

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    本書將使用傅立葉轉換與數值方法說明歐式選擇權定價,內容包括BSM模型、MJD模型、CM模型以及HN模型。全書只要有牽涉到計算、估計、模擬、編表以及繪圖過程,本書皆有提供對應的R語言程式碼 (可向作者索取)。本書除了適合給對選擇權定價有興趣的讀者使用,同時亦可當作 「衍生性金融商品」、「創新金融商品」 或 「選擇權定價」 等課程使用。
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    目錄
    第1章 BSM模型 1
    1.1 幾何布朗運動 1
    1.1.1 GBM的意義與模擬 2
    1.1.2 GBM內參數的估計 8
    1.2 BSM模型的應用 14
    1.3 波動率微笑曲線與波動率曲面 21
    第2章 MJD模型 35
    2.1 跳動的GBM 37
    2.1.1卜瓦松過程與複合卜瓦松過程 37
    2.1.2 跳動-擴散過程 42
    2.2 估計的MJD模型 49
    2.2.1 最大概似估計法 49
    2.2.2 動差法 54
    2.3 MJD模型下的選擇權定價 58
    第3章 利率的模型化 67
    3.1 Black模型 67
    3.1.1 期貨選擇權價格的計算 67
    3.1.2 利率上限、利率下限與利率上下限選擇權 71
    3.2 利率的模型化 77
    3.2.1 Vasicek模型 77
    3.2.2 CIR模型 85
    3.3 GMM的應用 90
    3.3.1 GMM 90
    3.3.1.1 動差法 91
    3.3.1.2 GMM的估計步驟 100
    3.3.2 CKLS模型 105
    第4章 傅立葉轉換 111
    4.1 傅立葉轉換的意義 111
    4.1.1 一些準備 112
    4.1.2 傅立葉轉換的定義 117
    4.2 特性函數 125
    4.2.1 特性函數的意義 125
    4.2.2 累積與動差母函數 131
    4.3 選擇權的定價 137
    第5章 Lévy過程 143
    5.1 一些準備 143
    5.2 Lévy過程 150
    5.2.1 Lévy過程的內涵 151
    5.2.2有限活動與無限活動的Lévy過程 161
    5.2.2.1 Kou模型 161
    5.2.2.2 NIG模型 168
    5.2.2.3 VG過程 172
    5.3 NIG與VG分配 178
    第6章 快速傅立葉轉換 185
    6.1何謂FFT? 185
    6.2 選擇權定價:使用FFT 193
    6.2.1 CM方法 194
    6.2.2 FRFT 203
    6.3 校準 208
    附錄:TXO201101買權價格資料 215
    第7章 GARCH模型 218
    7.1 財金時間序列資料的獨特性 218
    7.2 ARCH/GARCH模型 229
    7.2.1 ARCH/GARCH模型的簡介 229
    7.2.2 GARCH模型的估計與檢定 237
    7.3 非對稱的GARCH模型 247
    第8章 Heston模型 257
    8.1 H模型 257
    8.1.1 蒙地卡羅方法 257
    8.1.2 德爾塔-機率分解方法 264
    8.2 HN模型 270
    8.2.1 HN模型的模擬 270
    8.2.2 HN模型的選擇權定價 275
    8.3 ML估計 281
    附錄:TXO202009C買權價格資料 288
    參考文獻 293
    中文索引 298
    英文索引 301
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    學歷
    國立中山大學財務管理博士
    國立政治大學經濟學系碩士
    東海大學經濟學系學士


    經歷
    國立屏東大學財務金融學系副教授 (退休)
    國立屏東商業技術學院財務金融系副教授
    國立屏東商專財務金融科講師
    私立致理商專國際貿易科講師


    著作
    財金統計學:使用R語言 (財統) (五南)
    經濟與財務數學:使用R語言 (財數) (五南)
    衍生性金融商品:使用R語言 (衍商) (五南)
    財金時間序列分析:使用R語言 (財時) (五南)
    統計學:使用Python語言 (統計) (五南)


    聯絡
    Email: c12yih@gmail.com


    個人網站
    https://c12yih.webnode.tw
    More

    Details

    Released
    2020/11/16
    Language
    Traditional Chinese
    File format
    PDF: Fit in large screen
    Provide Adobe DRM
    Provide PDF
    Offer DRM free license
    Yes
    ID
    210399

    Heston模型

    CM

    數值積分

    MJD

    BSM

    FFT

    特性函數

    傅立葉轉換

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    時間序列分析下的選擇權定價: 使用R語言

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