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001 9910813891703321
005 20200520144314.0
010   $a1-78328-094-8
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035   $a(EBL)1561443
035   $a(OCoLC)864382936
035   $a(SSID)ssj0001161066
035   $a(PQKBManifestationID)11986266
035   $a(PQKBTitleCode)TC0001161066
035   $a(PQKBWorkID)11125875
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035   $a(Au-PeEL)EBL1561443
035   $a(CaPaEBR)ebr10810889
035   $a(CaONFJC)MIL546798
035   $a(PPN)228002788
035   $a(OCoLC)869302154
035   $a(OCoLC)ocn869302154
035   $a(FR-PaCSA)88849908
035   $a(CaSebORM)9781783280933
035   $a(MiAaPQ)EBC1561443
035   $a(EXLCZ)992550000001165530
100   $a20131220d2013      uy         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aIntroduction to R for quantitative finance /$fGergely Daro?czi [and eight others]
205   $a1st edition
210  1$aBirmingham :$cPackt Publishing,$d2013.
215   $a1 online resource (164 p.)
225 1 $aCommunity experience distilled
300   $aDescription based upon print version of record.
311   $a1-78328-093-X 
311   $a1-306-15547-9 
320   $aIncludes bibliographical references and index.
327   $a""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""
327   $a""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""
327   $a""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 a??? 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""
327   $a""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""
327   $a""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 a??? identification of SIFIs""; ""Summary""
327   $a""Appendix: References""
330   $aThis 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.
606   $aEconomics$xMathematical models
606   $aFinance$xStatistical methods
606   $aR (Computer program language)
615  0$aEconomics$xMathematical models.
615  0$aFinance$xStatistical methods.
615  0$aR (Computer program language)
676   $a332.015195
700   $aDaro?czi$b Gergely$0748769
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910813891703321
996   $aIntroduction to R for quantitative finance$94055136
997   $aUNINA