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
About the Authors
About the Reviewers

Financial networks

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  • G. Csardi and T. Nepusz (2006), The igraph software package for complex network research, InterJournal, Complex Systems 1695. Available at

  • Z. Komárková, V. Hausenblas, and J. Frait (2012), How to Identify Systematically Important Financial Institutions, Report of the Central Bank of the Czech Republic, 100-111.

  • Á. Lublóy (2006), Topology of the Hungarian large-value transfer system, MNB Occasional Papers, 57.

  • S. Markose, S. Giansante, M. Gatkowski (2010), and A. R. Shaghaghi, Too-Interconnected-To-Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of U.S. Banks, COMISEF Working Paper Series, WPS-033-21-04-2010. Available at (downloaded on June 01, 2013).

  • K. Soramäki, M. L. Bech, J. Arnold, R. J. Glass, and W.E Beyeler (2006), The topology of interbank payment flows, Federal Reserve Bank of New York, Staff Reports, 243.

  • G. von Peter (2007), International Banking Centers: a Network Perspective, BIS Quarterly Review.