Book Image

Introduction to R for Quantitative Finance

Book Image

Introduction to R for Quantitative Finance

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)
Introduction to R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Index

Time series analysis


  • G. E. P. Box and G. M. Jenkins (1976), Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.

  • R. F. Engle (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation, Econometrica 50, 987-1007.

  • C. W. J. Granger (1981), Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics 16, 121-130.

  • R. F. Engle and C. W. J. Granger (1987), Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55, No. 2, 251-276.

  • R. F. Engle and B. S. Yoo (1987), Forecasting and Testing in Co-Integrated Systems, Journal of Econometrics 35, 143-159.