05683nam 22007931 450 991096547080332120200520144314.097817832809401783280948(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(FRCYB88849908)88849908(DE-B1597)722671(DE-B1597)9781783280940(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.9781783280933 178328093X 9781306155472 1306155479 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 Gergely748769MiAaPQMiAaPQMiAaPQBOOK9910965470803321Introduction to R for quantitative finance4339629UNINA03327nam 2200817 a 450 991095483590332120251116184601.0978311030078931103007889783110300772311030077X10.1515/9783110300772(CKB)3390000000032654(EBL)955845(OCoLC)851970199(SSID)ssj0000917106(PQKBManifestationID)11562484(PQKBTitleCode)TC0000917106(PQKBWorkID)10891673(PQKB)10765982(MiAaPQ)EBC955845(DE-B1597)179310(OCoLC)852158348(OCoLC)853267066(DE-B1597)9783110300772(Au-PeEL)EBL955845(CaPaEBR)ebr10729008(Perlego)654720(MiAaPQ)EBC4002047(Au-PeEL)EBL4002047(EXLCZ)99339000000003265420120822d2013 uy 0engur|n|---|||||txtccrSensuous cognition explorations into human sentience : imagination, (e)motion and perception /edited by Rosario Caballero and Javier E. Díaz Vera1st ed.Berlin ;Boston De Gruyter Mouton20131 online resource (312 p.)Applications of Cognitive Linguistics [ACL] ;22Applications of cognitive linguistics,1861-4078 ;22Description based upon print version of record.9783110300765 3110300761 Includes bibliographical references and index.pt. 1. The mind and the body -- pt. 2. Cognition and perception -- pt. 3. Imagination and (e)motion.This book provides an interdisciplinary, unified view of sensual cognition and its cultural manifestations. The contributors favour an ecological perspective and revisit and problematize some of the core assumptions in Cognitive Linguistics. One of the original tenets of CL states that human thinking is grounded in experiential gestalts as well as in interaction between peoples' embodied minds and their various environments or cultures. In addition to looking in detail at this tenet, the volume provides major insights into the methodological and theoretical dimensions of Cognitive Linguistics research and describes applications of the paradigm in diverse contexts and cultures. Applications of Cognitive Linguistics [ACL]SemioticsPsychological aspectsBody languagePsychological aspectsCognitionCommunication and culturePsycholinguisticsSemioticsPsychological aspects.Body languagePsychological aspects.Cognition.Communication and culture.Psycholinguistics.153ER 940SEPArvkCaballero Rosario1963-608368Díaz Vera Javier E451778MiAaPQMiAaPQMiAaPQBOOK9910954835903321Sensuous cognition4464346UNINA