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Applied Probabilistic Calculus for Assets Allocation and Portfolio Optimization in Financial Engineering Using R.
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Newark :
John Wiley & Sons, Incorporated,
2017.
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| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- Title Page; Copyright; Dedication; Preface; About the Companion Website; Chapter 1: Introduction to Financial Engineering; 1.1 What Is Financial Engineering?; 1.2 The Meaning of the Title of This Book; 1.3 The Continuing Challenge in Financial Engineering; 1.4 "Financial Engineering 101": Modern Portfolio Theory; 1.5 Asset Class Assumptions Modeling; 1.6 Some Typical Examples of Proprietary Investment Funds; 1.7 The Dow Jones Industrial Average (DJIA) and Inflation; 1.8 Some Less Commendable Stock Investment Approaches; 1.9 Developing Tools for Financial Engineering Analysis; Review Questions.
- Chapter 2: Probabilistic Calculus for Modeling Financial Engineering2.1 Introduction to Financial Engineering; 2.2 Mathematical Modeling in Financial Engineering; 2.3 Building an Effective Financial Model from GBM via Probabilistic Calculus; 2.4 A Continuous Financial Model Using Probabilistic Calculus: Stochastic Calculus, Ito Calculus; 2.5 A Numerical Study of the Geometric Brownian Motion (GBM) Model and the Random Walk Model Using R; Review Questions and Exercises; Chapter 3: Classical Mathematical Models in Financial Engineering and Modern Portfolio Theory.
- 3.1 An Introduction to the Cost of Money in the Financial Market3.2 Modern Theories of Portfolio Optimization; 3.3 The Black-Litterman Model; 3.4 The Black-Scholes Option Pricing Model; 3.5 The Black-Litterman Model; 3.6 The Black-Litterman Model; 3.7 The Black-Scholes Option Pricing Model; 3.8 Some Worked Examples; Review Questions and Exercises; Solutions to Exercise 3: The Black-Scholes Equation; Chapter 4: Data Analysis Using R Programming; 4.1 Data and Data Processing; Review Questions for Section 4.1; 4.2 Beginning R; Review Questions for Section 4.2; 4.3 R as a Calculator.
- Review Questions for Section 4.3Exercises for Section 4.3; 4.4 Using R in Data Analysis in Financial Engineering; Review Questions for Section 4.4; 4.5 Univariate, Bivariate, and Multivariate Data Analysis; Review Questions for Section 4.5; Exercise for Section 4.5; Chapter 5: Assets Allocation Using R; 5.1 Risk Aversion and the Assets Allocation Process; 5.2 Classical Assets Allocation Approaches; 5.3 Allocation with Time Varying Risk Aversion; 5.4 Variable Risk Preference Bias; 5.5 A Unified Approach for Time Varying Risk Aversion; 5.6 Assets Allocation Worked Examples.
- Review Questions and ExercisesChapter 6: Financial Risk Modeling and Portfolio Optimization Using R; 6.1 Introduction to the Optimization Process; 6.2 Optimization Methodologies in Probabilistic Calculus for Financial Engineering; 6.3 Financial Risk Modeling and Portfolio Optimization; 6.4 Portfolio Optimization Using R1; Review Questions and Exercises; References; Index; End User License Agreement.