Book Image

Mastering R for Quantitative Finance

Book Image

Mastering R for Quantitative Finance

Overview of this book

Table of Contents (20 chapters)
Mastering R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Index

Index

A

  • absolute transaction costs
    • optimal hedging / Optimal hedging in the case of absolute transaction costs
  • Advanced Measurement Approach (AMA) / Minimum capital requirements
  • Alternative Standard Approach (ASTA) / Minimum capital requirements
  • analytical VaR / Analytical VaR
  • application, in R
    • about / Application in R
  • APT
    • about / Arbitrage pricing theory
    • assumptions / Arbitrage pricing theory
    • implementing / Implementation of APT
    • Fama-French three-factor model / Fama-French three-factor model
    • estimating, with principal component analysis / Estimation of APT with principal component analysis
  • AR(1) model
    • estimating / AR(1) estimation and forecasting
    • forecasting / AR(1) estimation and forecasting
  • Asian options
    • about / A glance beyond vanillas
  • ATM (at-the-money) / Dynamic delta hedge

B

  • backtesting
    • about / Backtesting
  • Basel Accords
    • principles / Principles of the Basel Accords
    • Basel I / Basel I
    • Basel II / Basel II
    • Basel III / Basel III
  • Basel I / Basel I
  • Basel II
    • about / Basel II
    • objectives / Basel II
    • minimum capital requirements / Minimum capital requirements
    • supervisory review / Supervisory review
    • transparency / Transparency
  • Basel III / Basel III
  • Basel Regulatory Framework
    • URL / Principles of the Basel Accords
  • Basic Indicator Approach (BIA) / Minimum capital requirements
  • big data
    • loading / Loading big data
  • big data analysis, in R
    • about / Introduction to big data analysis in R
  • big data linear regression analysis
    • about / Big data linear regression analysis
    • big data, loading / Loading big data
    • linear regression model, fitting on large datasets / Fitting a linear regression model on large datasets
  • big matrices
    • loading / Loading big matrices
  • Binary options
    • about / A glance beyond vanillas
  • Bitcoin prices
    • forecasting / Forecasting bitcoin prices
    • strategy, evaluating / Evaluation of the strategy
  • Black-Scholes surface
    • about / How R can help a lot
  • Black model
    • about / The Black model
    • cap, pricing with / Pricing a cap with Black's model

C

  • call quanto
    • pricing formula, used for / Pricing formula for a call quanto
    • pricing, in R / Pricing a call quanto in R
  • candle patterns, key reversal
    • about / Candle patterns: key reversal
  • cap
    • pricing, with Black model / Pricing a cap with Black's model
  • cash-flow
    • preparing / Preparing the cash-flow
  • cash-flow generator functions / Cash-flow generator functions
  • charts, bitcoin
    • plotting / Plotting charts - bitcoin
    • URL / Plotting charts - bitcoin
  • classification rules
    • setting / Setting classification rules
  • cointegration / Cointegration
  • conditional value at risk (CVaR) / Monte-Carlo simulation
  • connections
    • revealing / Revealing connections
  • core-periphery decomposition
    • about / Core-periphery decomposition
    • implementation, in R / Implementation in R
    • results / Results
  • Cox-Ingersoll-Ross model
    • about / The Cox-Ingersoll-Ross model
  • credit default swap (CDS) / Credit risk
  • credit risk / Credit risk
  • currency options
    • about / Currency options

D

  • data
    • about / The data
    • loading / Loading the data
    • obtaining, from open sources / Getting data from open sources
    • collecting / Collecting data
  • data preparation
    • about / Data preparation
    • data source, calling / Data source at first glance
    • cash-flow generator functions / Cash-flow generator functions
    • cash-flow, preparing / Preparing the cash-flow
  • data selection / Data selection
  • dataset
    • using / The dataset used in our examples
  • data source
    • calling / Data source at first glance
  • data warehouse (DWH) / Data preparation
  • delta hedge performance
    • comparing / Comparing the performance of delta hedging
  • derivatives
    • hedging / Hedging of derivatives
    • market risk / Market risk of derivatives
    • static delta hedge / Static delta hedge
    • dynamic delta hedge / Dynamic delta hedge
    • delta hedge performance, comparing / Comparing the performance of delta hedging
  • double-knock-in (DKI)
    • about / A glance beyond vanillas
  • double-knock-out (DKO)
    • about / A glance beyond vanillas
  • Double-no-touch (DNT)
    • about / How R can help a lot
  • Double-no-touch option
    • pricing / Pricing the Double-no-touch option
    • pricing, alternate way / Another way to price the Double-no-touch option
    • defining / The life of a Double-no-touch option – a simulation
  • Double-one-touch (DOT) / The life of a Double-no-touch option – a simulation
  • Dow Jones Industrial Average index (DIJA) / Neural networks
  • dynamic delta hedge / Dynamic delta hedge
  • dynamic hedging
    • about / The role of dynamic hedging

E

  • EGARCH model / The Exponential GARCH model (EGARCH)
  • EMA / SMA and EMA
  • exchange options
    • about / Exchange options
    • two-dimensional Wiener processes / Two-dimensional Wiener processes
    • Margrabe formula / The Margrabe formula
    • application, in R / Application in R
  • exotic options
    • about / A glance beyond vanillas
    • embedded, in structured products / Exotic options embedded in structured products
  • Expected Shortfall (ES) / Monte-Carlo simulation
  • exponential moving average (EMA) / Built-in indicators
  • exposure at default (EAD) / Minimum capital requirements
  • External Credit Assessment Institutions (ECAI) / Minimum capital requirements
  • extract, transform, and load (ETL) / Data preparation

F

  • Fama-French model
    • estimating / Estimation of the Fama-French model
  • Fama-French three-factor model / Fama-French three-factor model
  • Federal Reserve Economic Data (FRED) / Getting data from open sources
  • feed-forward neural networks (FFNN) / Neural networks
  • FRED (Federal Reserve Economic Data)
    • about / VAR implementation example
  • fundamental analysis
    • about / The basics of fundamental analysis
  • fundamental equity strategy
    • building / The basics of fundamental analysis
  • FX
    • about / Markets
  • FX rates
    • about / Terminology and notations

G

  • GARCH model
    • about / Further extensions
  • GARCH modeling, with rugarch package
    • about / GARCH modeling with the rugarch package
    • Standard GARCH model / The standard GARCH model
    • EGARCH model / The Exponential GARCH model (EGARCH)
    • TGARCH model / The Threshold GARCH model (TGARCH)
  • general pricing approach
    • about / A general pricing approach
  • geometric Brownian motion (GBM) / Dynamic delta hedge
  • GLM (general linear model) / Estimation of the Fama-French model
  • Greeks
    • about / Greeks – the link back to the vanilla world
    • delta / Greeks – the link back to the vanilla world
    • gamma / Greeks – the link back to the vanilla world
    • vega / Greeks – the link back to the vanilla world
    • theta / Greeks – the link back to the vanilla world
    • rho / Greeks – the link back to the vanilla world
  • gross incomes (GI) / Minimum capital requirements

H

  • hedge optimization / Optimization of the hedge
  • high frequency trading (HFT) / The TA toolkit
  • historical VaR / Historical VaR

I

  • identification problem
    • about / Vector autoregressive models
  • implementation, in R
    • about / Implementation in R
    • data / The data
    • data, loading / Loading the data
    • seasonal component / The seasonal component
    • AR(1) model, estimating / AR(1) estimation and forecasting
    • AR(1) model, forecasting / AR(1) estimation and forecasting
    • SETAR model, estimating / SETAR estimation and forecasting
    • SETAR model, forecasting / SETAR estimation and forecasting
    • results, interpreting / Interpreting the results
  • industry specific investment
    • about / Industry-specific investment
  • intensity of trading
    • about / The intensity of trading
  • interest rate models
    • parameter, estimating of / Parameter estimation of interest rate models
  • interest rate risk measurement
    • managing / Interest rate risk measurement
  • Internal Ratings-Based (IRB) / Minimum capital requirements
  • Internal Revenue Service (IRS) / Loading big data
  • International Capital Adequacy Assessment Process (ICAAP) / Supervisory review
  • investment strategy
    • about / A universally consistent, non-parametric investment strategy
    • evaluating / Evaluation of the strategy
  • investment targets
    • separating / Separating investment targets

K

  • k-means clustering, on big data
    • about / K-means clustering on big data
    • big matrices, loading / Loading big matrices
    • analysis / Big data K-means clustering analysis
  • KMV model
    • about / Credit risk
  • knock-in (KI)
    • about / A glance beyond vanillas
  • knock-in-knock-out (KIKO)
    • about / A glance beyond vanillas
  • knock-out (KO)
    • about / A glance beyond vanillas

L

  • large datasets
    • linear regression model, fitting on / Fitting a linear regression model on large datasets
  • linear regression model
    • fitting, on large datasets / Fitting a linear regression model on large datasets
  • lines of business (LoB) / Minimum capital requirements
  • liquidity coverage ratio (LCR) / Basel III
  • liquidity risk measurement
    • managing / Liquidity risk measurement
  • logoptimal portfolios
    • about / Logoptimal portfolios
  • lookback options
    • about / A glance beyond vanillas
  • loss given default (LGD) / Minimum capital requirements

M

  • MACD / MACD
  • Margin of static replication
    • about / Static replication of non-maturity deposits
  • Margrabe formula / The Margrabe formula
  • market efficiency / Market efficiency
  • market risk / Market risk
  • market risk, of derivatives
    • about / Market risk of derivatives
  • maturity (M) / Minimum capital requirements
  • minimum capital requirements / Minimum capital requirements
  • model, of deposit interest rate development / A Model of deposit interest rate development
  • modeling, in R
    • about / Modeling in R
    • data selection / Data selection
    • APT, estimating with principal component analysis / Estimation of APT with principal component analysis
    • Fama-French model, estimating / Estimation of the Fama-French model
  • money management
    • about / A word on money management
  • Monte-Carlo simulation / Monte-Carlo simulation
  • multi-layer precepton (MLP) / Neural networks
  • multiple variables
    • including / Including multiple variables
  • multivariate time series analysis
    • about / Multivariate time series analysis
    • cointegration / Cointegration
    • VAR / Vector autoregressive models
    • VAR and VECM, cointegrated / Cointegrated VAR and VECM

N

  • Net stable funding ratio (NSFR) / Basel III
  • neural networks (NN)
    • about / Neural networks
  • non-maturity deposits (NMD)
    • modeling / Modeling non-maturity deposits
    • model, of deposit interest rate development / A Model of deposit interest rate development
    • static replication, of non-maturity deposits / Static replication of non-maturity deposits

O

  • open sources
    • data, obtaining from / Getting data from open sources
  • operational risk
    • about / Operational risk
    • low impact with low probability / Operational risk
    • low impact with high probability / Operational risk
    • high impact with low probability / Operational risk
    • high impact with high probability / Operational risk

P

  • pair trading
    • about / Cointegration
  • parameter
    • estimating, of interest rate models / Parameter estimation of interest rate models
  • position
    • managing / Evaluating the signals and managing the position
  • Price/Cash flow (P/CF) / Separating investment targets
  • pricing formula
    • for call quanto / Pricing formula for a call quanto
  • principal component analysis
    • APT, estimating with / Estimation of APT with principal component analysis
  • probability of default (PD) / Minimum capital requirements

Q

  • quanto options
    • about / Quanto options
    • pricing formula, for call quanto / Pricing formula for a call quanto
    • call quanto, pricing in R / Pricing a call quanto in R

R

  • recovery rate (RR) / Credit risk
  • relative strength indicator (RSI) / Built-in indicators
  • relative transaction costs
    • optimal hedging / Optimal hedging in the case of relative transaction costs
  • results
    • interpreting / Interpreting the results, Possible interpretations and suggestions
  • risk-weighted assets (RWA) / Basel I
  • risk categories
    • about / Risk categories
    • market risk / Market risk
    • credit risk / Credit risk
    • operational risk / Operational risk
  • risk measures
    • about / Risk measures
    • monotonicity / Risk measures
    • sub-additivity / Risk measures
    • positive homogeneity / Risk measures
    • translation invariance / Risk measures
    • analytical VaR / Analytical VaR
    • historical VaR / Historical VaR
    • Monte-Carlo simulation / Monte-Carlo simulation
  • RSI / RSI

S

  • seasonal component / The seasonal component
  • SETAR model
    • estimating / SETAR estimation and forecasting
    • forecasting / SETAR estimation and forecasting
  • signals
    • evaluating / Evaluating the signals and managing the position
  • simple moving average (SMA) / Built-in indicators
  • simulation method
    • about / The simulation method
    • simulation / The simulation
    • implementation, in R / Implementation in R
    • results / Results
  • simulations, in R
    • about / How R can help a lot
  • SMA / SMA and EMA
  • SMFI5 package
    • using / Using the SMFI5 package
  • Standard GARCH model / The standard GARCH model
  • Standardized Approach (STA) / Minimum capital requirements
  • static delta hedge / Static delta hedge
  • static replication, of non-maturity deposits / Static replication of non-maturity deposits
  • statistical arbitrage
    • about / Cointegration
  • stochastic volatility (SV) models / Volatility modeling
  • stocks
    • about / Markets
  • structured products
    • exotic options, embedded in / Exotic options embedded in structured products
  • supervisory review / Supervisory review
  • Supervisory Review Evaluation Process (SREP) / Supervisory review
  • systemic risk, in nutshell
    • about / Systemic risk in a nutshell

T

  • TA
    • about / Technical analysis
    • rules / Technical analysis
    • toolkit / The TA toolkit
  • TA, tools
    • about / The TA toolkit
    • support-resistance / The TA toolkit
    • price channels / The TA toolkit
    • chart patterns / The TA toolkit
    • candle patterns / The TA toolkit, Candle patterns: key reversal
    • indicators / The TA toolkit
    • markets / Markets
    • charts, plotting / Plotting charts - bitcoin
    • built-in indicators / Built-in indicators
    • SMA / SMA and EMA
    • EMA / SMA and EMA
    • RSI / RSI
    • MACD / MACD
    • signals, evaluating / Evaluating the signals and managing the position
    • position, managing / Evaluating the signals and managing the position
  • TGARCH model / The Threshold GARCH model (TGARCH)
  • transaction costs
    • hedging / Hedging in the presence of transaction costs
    • hedge optimization / Optimization of the hedge
    • optimal hedging, of absolute transaction costs / Optimal hedging in the case of absolute transaction costs
    • optimal hedging, of relative transaction costs / Optimal hedging in the case of relative transaction costs
  • two-dimensional Wiener processes / Two-dimensional Wiener processes

U

  • universally consistent / Logoptimal portfolios

V

  • Value at Risk (VaR) / Minimum capital requirements
  • VAR
    • about / Vector autoregressive models
    • implementing / VAR implementation example
    • and VECM, cointegrated / Cointegrated VAR and VECM
  • Vasicek model
    • about / The Vasicek model
  • VECM
    • and VAR, cointegrated / Cointegrated VAR and VECM
  • volatility modeling
    • about / Volatility modeling
    • GARCH modeling, with rugarch package / GARCH modeling with the rugarch package
    • simulation / Simulation and forecasting
    • forecasting / Simulation and forecasting
  • volatility modeling, empirical observations
    • volatility clustering / Volatility modeling
    • non-normality of asset returns / Volatility modeling
    • leverage effect / Volatility modeling
  • volume
    • about / Motivation
  • volume forecasting model
    • about / The volume forecasting model
  • volume weighted average price (VWAP) / Motivation

W

  • within cluster sum of squares (WCSS) / Big data K-means clustering analysis