Browse Library
Sign In Start Free Trial
Close icon Search icon
Account
Browse Library Sign In Start Free Trial

Add to playlist

Create a Playlist

Modal Close icon
You need to login to use this feature.
  • Book Overview & Buying Introduction to R for Quantitative Finance
  • Table Of Contents Toc
Introduction to R for Quantitative Finance

Introduction to R for Quantitative Finance

By : Gergely Daróczi, Agnes Vidovics Dancs, Michael Phule, Edina Berlinger (EURO), Peter Csoka, Daniel Daniel Havran, Marton Michaletzky, Zsolt Tulassay, Kata Váradi, Agnes Vidovics-Dancs
3.2 (20)
Buy this Book
close
close
Introduction to R for Quantitative Finance

Introduction to R for Quantitative Finance

3.2 (20)
By: Gergely Daróczi, Agnes Vidovics Dancs, Michael Phule, Edina Berlinger (EURO), Peter Csoka, Daniel Daniel Havran, Marton Michaletzky, Zsolt Tulassay, Kata Váradi, Agnes Vidovics-Dancs
Buy this Book

Overview of this book

Introduction to R for Quantitative Finance will show you how to solve real-world quantitative fi nance problems using the statistical computing language R. The book covers diverse topics ranging from time series analysis to fi nancial networks. Each chapter briefl y presents the theory behind specific concepts and deals with solving a diverse range of problems using R with the help of practical examples.This book will be your guide on how to use and master R in order to solve quantitative finance problems. This book covers the essentials of quantitative finance, taking you through a number of clear and practical examples in R that will not only help you to understand the theory, but how to effectively deal with your own real-life problems.Starting with time series analysis, you will also learn how to optimize portfolios and how asset pricing models work. The book then covers fixed income securities and derivatives such as credit risk management.
Table of Contents (17 chapters)
close
close
close
Introduction to R for Quantitative Finance
Icon
Introduction to R for Quantitative Finance
Credits
Icon
Credits
About the Authors
Icon
About the Authors
About the Reviewers
Icon
About the Reviewers
www.PacktPub.com
Icon
www.PacktPub.com
Preface
Icon
Preface
Lock Free Chapter
1
Time Series Analysis
Icon
Time Series Analysis
Icon
Working with time series data
Icon
Linear time series modeling and forecasting
Icon
Cointegration
Icon
Modeling volatility
Icon
Summary
2
Portfolio Optimization
Icon
Portfolio Optimization
Icon
Mean-Variance model
Icon
Solution concepts
Icon
Working with real data
Icon
Tangency portfolio and Capital Market Line
Icon
Noise in the covariance matrix
Icon
When variance is not enough
Icon
Summary
3
Asset Pricing Models
Icon
Asset Pricing Models
Icon
Capital Asset Pricing Model
Icon
Arbitrage Pricing Theory
Icon
Beta estimation
Icon
Model testing
Icon
Summary
4
Fixed Income Securities
Icon
Fixed Income Securities
Icon
Measuring market risk of fixed income securities
Icon
Immunization of fixed income portfolios
Icon
Pricing a convertible bond
Icon
Summary
5
Estimating the Term Structure of Interest Rates
chevron up
Icon
Estimating the Term Structure of Interest Rates
Icon
The term structure of interest rates and related functions
Icon
The estimation problem
Icon
Estimation of the term structure by linear regression
Icon
Cubic spline regression
Icon
Applied R functions
Icon
Summary
6
Derivatives Pricing
Icon
Derivatives Pricing
Icon
The Black-Scholes model
Icon
The Cox-Ross-Rubinstein model
Icon
Connection between the two models
Icon
Greeks
Icon
Implied volatility
Icon
Summary
7
Credit Risk Management
Icon
Credit Risk Management
Icon
Credit default models
Icon
Correlated defaults – the portfolio approach
Icon
Migration matrices
Icon
Getting started with credit scoring in R
Icon
Summary
8
Extreme Value Theory
Icon
Extreme Value Theory
Icon
Theoretical overview
Icon
Application – modeling insurance claims
Icon
Summary
9
Financial Networks
Icon
Financial Networks
Icon
Representation, simulation, and visualization of financial networks
Icon
Analysis of networks’ structure and detection of topology changes
Icon
Contribution to systemic risk – identification of SIFIs
Icon
Summary
1
References
Icon
References
Icon
Time series analysis
Icon
Portfolio optimization
Icon
Asset pricing
Icon
Fixed income securities
Icon
Estimating the term structure of interest rates
Icon
Derivatives Pricing
Icon
Credit risk management
Icon
Extreme value theory
Icon
Financial networks
2
Index
Icon
Index

The estimation problem

We cannot observe the term structure directly, but we can observe the market prices of instruments whose price depends on the term structure and thus estimate the term structure. A good source of information regarding the term structure is the government bond market, where usually a lot of liquid securities are traded whose prices depend solely on the term structure.

Suppose there are n bonds traded whose gross (or dirty) prices are denoted by . There are m dates when at least one bond's owners receive a payment. These payments are due in years time respectively where . The matrix C contains the cash flows of the bonds. We model bond prices as the sum of the present value of the bond's cash flow and a normally distributed error term:

Here d is the vector containing the discount factors and is a vector containing the error terms. The observed market price of a bond can differ from the present value of the cash flow for two reasons: there might be a measurement error...

CONTINUE READING
83
Tech Concepts
36
Programming languages
73
Tech Tools
Icon Unlimited access to the largest independent learning library in tech of over 8,000 expert-authored tech books and videos.
Icon Innovative learning tools, including AI book assistants, code context explainers, and text-to-speech.
Icon 50+ new titles added per month and exclusive early access to books as they are being written.
Introduction to R for Quantitative Finance
End of Section 5
Next Section
notes
bookmark Notes and Bookmarks search Search in title playlist Add to playlist font-size Font size

Change the font size

margin-width Margin width

Change margin width

day-mode Day/Sepia/Night Modes

Change background colour

Close icon Search
Country selected
Close icon Your notes and bookmarks

Confirmation

Modal Close icon
claim successful
Order Page Read Now

Buy this book with your credits?

Modal Close icon
Are you sure you want to buy this book with one of your credits?
Close
YES, BUY

Submit Your Feedback

Modal Close icon
Modal Close icon
Modal Close icon