05487nam 22007211 450 991081389170332120200520144314.01-78328-094-8(CKB)2550000001165530(EBL)1561443(OCoLC)864382936(SSID)ssj0001161066(PQKBManifestationID)11986266(PQKBTitleCode)TC0001161066(PQKBWorkID)11125875(PQKB)10546443(Au-PeEL)EBL1561443(CaPaEBR)ebr10810889(CaONFJC)MIL546798(PPN)228002788(OCoLC)869302154(OCoLC)ocn869302154(FR-PaCSA)88849908(CaSebORM)9781783280933(MiAaPQ)EBC1561443(EXLCZ)99255000000116553020131220d2013 uy 0engur|n|---|||||txtccrIntroduction to R for quantitative finance /Gergely Daróczi [and eight others]1st editionBirmingham :Packt Publishing,2013.1 online resource (164 p.)Community experience distilledDescription based upon print version of record.1-78328-093-X 1-306-15547-9 Includes bibliographical references and index.""Cover""; ""Copyright""; ""Credits""; ""About the Authors""; ""About the Reviewers""; ""www.PacktPub.com""; ""Table of Contents""; ""Preface""; ""Chapter 1: Time Series Analysis""; ""Working with time series data""; ""Linear time series modeling and forecasting""; ""Modeling and forecasting UK house prices""; ""Model identification and estimation""; ""Model diagnostic checking""; ""Forecasting""; ""Cointegration""; ""Cross hedging jet fuel""; ""Modeling volatility""; ""Volatility forecasting for risk management""; ""Testing for ARCH effects""; ""GARCH model specification""""GARCH model estimation""""Backtesting the risk model""; ""Forecasting""; ""Summary""; ""Chapter 2: Portfolio Optimization""; ""Mean-Variance model""; ""Solution concepts""; ""Theorem (Lagrange)""; ""Working with real data""; ""Tangency portfolio and Capital Market Line""; ""Noise in the covariance matrix""; ""When variance is not enough""; ""Summary""; ""Chapter 3: Asset Pricing Models""; ""Capital Asset Pricing Model""; ""Arbitrage Pricing Theory""; ""Beta estimation""; ""Data selection""; ""Simple beta estimation""; ""Beta estimation from linear regression""; ""Model testing""""Data collection""""Modeling the SCL""; ""Testing the explanatory power of the individual variance""; ""Summary""; ""Chapter 4: Fixed Income Securities""; ""Measuring market risk of fixed income securities""; ""Example â€? implementation in R""; ""Immunization of fixed income portfolios""; ""Net worth immunization""; ""Target date immunization""; ""Dedication""; ""Pricing a convertible bond""; ""Summary""; ""Chapter 5: Estimating the Term Structure of Interest Rates""; ""The term structure of interest rates and related functions""; ""The estimation problem""""Estimation of the term structure by linear regression""""Cubic spline regression""; ""Applied R functions""; ""Summary""; ""Chapter 6: Derivatives Pricing""; ""The Black-Scholes model""; ""The Cox-Ross-Rubinstein model""; ""Connection between the two models""; ""Greeks""; ""Implied volatility""; ""Summary""; ""Chapter 7: Credit Risk Management""; ""Credit default models""; ""Structural models""; ""Intensity models""; ""Correlated defaults the portfolio approach""; ""Migration matrices""; ""Getting started with credit scoring in R""; ""Summary""; ""Chapter 8: Extreme Value Theory""""Theoretical overview""""Application modeling insurance claims""; ""Exploratory data analysis""; ""Tail behavior of claims""; ""Determining the threshold""; ""Fitting a GPD distribution to the tails""; ""Quantile estimation using the fitted GPD model""; ""Calculation of expected loss using the fitted GPD model""; ""Summary""; ""Chapter 9: Financial Networks""; ""Representation, simulation, and visualization of financial networks""; ""Analysis of networks structure and detection of topology changes""; ""Contribution to systemic risk â€? identification of SIFIs""; ""Summary""""Appendix: References""This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance.If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is assumed, but familiarity with R is not required. With a focus on using R to solve a wide range of issues, this book provides useful content for both the R beginner and more experience users.EconomicsMathematical modelsFinanceStatistical methodsR (Computer program language)EconomicsMathematical models.FinanceStatistical methods.R (Computer program language)332.015195Daróczi Gergely748769MiAaPQMiAaPQMiAaPQBOOK9910813891703321Introduction to R for quantitative finance4055136UNINA