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Introduction to R for Quantitative Finance.

This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance. If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is as...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Daróczi, Gergely
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Packt Publishing, 2013.
Colección:Community experience distilled
Temas:
Acceso en línea:Texto completo

MARC

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100 1 |a Daróczi, Gergely. 
245 1 0 |a Introduction to R for Quantitative Finance. 
260 |b Packt Publishing,  |c 2013. 
300 |a 1 online resource 
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490 0 |a Community experience distilled 
505 0 |a Cover; Copyright; Credits; About the Authors; About the Reviewers; www.PacktPub.com; Table of Contents; Preface; Chapter 1: Time Series Analysis; Working with time series data; Linear time series modeling and forecasting; Modeling and forecasting UK house prices; Model identification and estimation; Model diagnostic checking; Forecasting; Cointegration; Cross hedging jet fuel; Modeling volatility; Volatility forecasting for risk management; Testing for ARCH effects; GARCH model specification; GARCH model estimation; Backtesting the risk model; Forecasting; Summary. 
505 8 |a Chapter 2: Portfolio OptimizationMean-Variance model; Solution concepts; Theorem (Lagrange); Working with real data; Tangency portfolio and Capital Market Line; Noise in the covariance matrix; When variance is not enough; Summary; Chapter 3: Asset Pricing Models; Capital Asset Pricing Model; Arbitrage Pricing Theory; Beta estimation; Data selection; Simple beta estimation; Beta estimation from linear regression; Model testing; Data collection; Modeling the SCL; Testing the explanatory power of the individual variance; Summary; Chapter 4: Fixed Income Securities. 
505 8 |a Measuring market risk of fixed income securitiesExample -- implementation in R; Immunization of fixed income portfolios; Net worth immunization; Target date immunization; Dedication; Pricing a convertible bond; Summary; Chapter 5: Estimating the Term Structure of Interest Rates; The term structure of interest rates and related functions; The estimation problem; Estimation of the term structure by linear regression; Cubic spline regression; Applied R functions; Summary; Chapter 6: Derivatives Pricing; The Black-Scholes model; The Cox-Ross-Rubinstein model; Connection between the two models. 
505 8 |a GreeksImplied volatility; Summary; Chapter 7: Credit Risk Management; Credit default models; Structural models; Intensity models; Correlated defaults -- the portfolio approach; Migration matrices; Getting started with credit scoring in R; Summary; Chapter 8: Extreme Value Theory; Theoretical overview; Application -- modeling insurance claims; Exploratory data analysis; Tail behavior of claims; Determining the threshold; Fitting a GPD distribution to the tails; Quantile estimation using the fitted GPD model; Calculation of expected loss using the fitted GPD model; Summary. 
505 8 |a Chapter 9: Financial NetworksRepresentation, simulation, and visualization of financial networks; Analysis of networks' structure and detection of topology changes; Contribution to systemic risk -- identification of SIFIs; Summary; Appendix: References; Time series analysis; Portfolio optimization; Asset pricing; Fixed income securities; Estimating the term structure of interest rates; Derivatives Pricing; Credit risk management; Extreme value theory; Financial networks; Index. 
520 |a This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance. If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is assumed, but familiarity with R is not required. With a focus on using R to solve a wide range of issues, this book provides useful content for both the R beginner and more experience users. 
588 0 |a Print version record. 
504 |a Includes bibliographical references and index. 
546 |a English. 
590 |a ProQuest Ebook Central  |b Ebook Central Academic Complete 
650 0 |a Economics  |x Mathematical models. 
650 0 |a Finance  |x Statistical methods. 
650 0 |a R (Computer program language) 
650 6 |a Économie politique  |x Modèles mathématiques. 
650 6 |a Finances  |x Méthodes statistiques. 
650 6 |a R (Langage de programmation) 
650 7 |a Economics  |x Mathematical models  |2 fast 
650 7 |a Finance  |x Statistical methods  |2 fast 
650 7 |a R (Computer program language)  |2 fast 
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