R is a statistical computing language that’s ideal for answering quantitative finance questions. This book gives you both theory and practice, all in clear language with stacks of real-world examples. Ideal for R beginners or expert alike.
- Use time series analysis to model and forecast house prices
- Estimate the term structure of interest rates using prices of government bonds
- Detect systemically important financial institutions by employing financial network analysis
Quantitative finance is an increasingly important area for businesses, and skilled professionals are highly sought after. The statistical computing language R is becoming established in universities and in industry as the lingua franca of data analysis and statistical computing.
Introduction to R for Quantitative Finance will show you how to solve real-world quantitative finance problems using the statistical computing language R. The book covers diverse topics ranging from time series analysis to financial networks. Each chapter briefly 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 real-world 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 like credit risk management. The last chapters of this book will also provide you with an overview of exciting topics like extreme values and network analysis in quantitative finance.
Table of contents
Introduction to R for Quantitative Finance
- Table of Contents
- Introduction to R for Quantitative Finance
- About the Authors
- About the Reviewers
1. Time Series Analysis
- Working with time series data
- Linear time series modeling and forecasting
- Modeling volatility
- 2. Portfolio Optimization
- 3. Asset Pricing Models
- 4. Fixed Income Securities
- 5. Estimating the Term Structure of Interest Rates
- 6. Derivatives Pricing
- 7. Credit Risk Management
- 8. Extreme Value Theory
- 9. Financial Networks
- A. References
- Title: Introduction to R for Quantitative Finance
- Release date: November 2013
- Publisher(s): Packt Publishing
- ISBN: 9781783280933
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