#### 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.
Introduction to R for Quantitative Finance
Credits
www.PacktPub.com
Preface
Free Chapter
Time Series Analysis
Portfolio Optimization
Asset Pricing Models
Fixed Income Securities
Estimating the Term Structure of Interest Rates
Derivatives Pricing
Credit Risk Management
Extreme Value Theory
References
Index

# Index

## B

• Beta estimation
• data selection /
• from linear regression /
• Black-Scholes model
• blackscholes() function /
• break argument /

## D

• data collection, model testing /
• data selection, Beta estimation /
• day variable /
• dedication /
• Derivatives
• references /
• durcoupon function /
• durmaturity function /
• duryield function /

## F

• factorportfolio /
• financial network
• Financial networks
• references /
• FinTS package /
• fitted GPD model
• fixed argument /
• fixed income portfolio
• immunizing /
• net worth immunization /
• target date immunization /
• dedication /
• Fixed income securities
• references /
• fixed income security
• market risk, measuring /
• fOptions
• URL /
• fOptions package /
• forecast
• plotting /
• forecast package /
• FUN argument /

## L

• Lagrange Multiplier (LM) /
• Lagrange theorem
• lambda parameter /
• linear regression
• Beta estimation, using from /
• term structure, estimating by /
• linear time series
• modeling /
• forecasting /
• loss given default (lgd) / Migration matrices

## U

• ugarchforecast function /
• ugarchroll function /
• ugarchroll object /
• ugarchspec function /
• UK house prices
• modeling /
• forecasting /
• urca library /

## V

• variance
• drawbacks /
• volatilities variable /
• volatility
• modeling /
• forecasting, for risk management /
• volatility parameter /

## Z

• zoo package /