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[null,"1.","Record Nr.",null,"UNINA9910965470803321"]
[null,null,"Autore",null,"Daróczi Gergely"]
[null,null,"Titolo",null,"Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]"]
[null,null,"Pubbl/distr/stampa",null,"Birmingham : , : Packt Publishing, , 2013"]
[null,null,"ISBN",null,"9781783280940"]
[{"$nulls":4},"1783280948"]
[null,null,"Edizione",null,"[1st edition]"]
[null,null,"Descrizione fisica",null,"1 online resource (164 p.)"]
[null,null,"Collana",null,"Community experience distilled"]
[null,null,"Disciplina",null,"332.015195"]
[null,null,"Soggetti",null,"Economics - Mathematical models"]
[{"$nulls":4},"Finance - Statistical methods"]
[{"$nulls":4},"R (Computer program language)"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references and index."]
[null,null,"Nota di contenuto",null,"\"\"Cover\"\"; \"\"Copyright\"\"; \"\"Credits\"\"; \"\"About the Authors\"\"; \"\"About the Reviewers\"\"; \"\"www.PacktPub.com\"\"; \"\"Table of Contents\"\"; \"\"Preface\"\"; \"\"Chapter 1: Time Series Analysis\"\"; \"\"Working with time series data\"\"; \"\"Linear time series modeling and forecasting\"\"; \"\"Modeling and forecasting UK house prices\"\"; \"\"Model identification and estimation\"\"; \"\"Model diagnostic checking\"\"; \"\"Forecasting\"\"; \"\"Cointegration\"\"; \"\"Cross hedging jet fuel\"\"; \"\"Modeling volatility\"\"; \"\"Volatility forecasting for risk management\"\"; \"\"Testing for ARCH effects\"\"; \"\"GARCH model specification\"\""]
[{"$nulls":4},"\"\"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\"\""]
[{"$nulls":4},"\"\"Data collection\"\"\"\"Modeling the SCL\"\"; \"\"Testing the explanatory power of the individual variance\"\"; \"\"Summary\"\"; \"\"Chapter 4: Fixed Income Securities\"\"; \"\"Measuring market risk of fixed income securities\"\"; \"\"Example â€? implementation in R\"\"; \"\"Immunization of fixed income portfolios\"\"; \"\"Net worth immunization\"\"; \"\"Target date immunization\"\"; "]
[{"$nulls":4},"\"\"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\"\""]
[{"$nulls":4},"\"\"Estimation of the term structure by linear regression\"\"\"\"Cubic spline regression\"\"; \"\"Applied R functions\"\"; \"\"Summary\"\"; \"\"Chapter 6: Derivatives Pricing\"\"; \"\"The Black-Scholes model\"\"; \"\"The Cox-Ross-Rubinstein model\"\"; \"\"Connection between the two models\"\"; \"\"Greeks\"\"; \"\"Implied volatility\"\"; \"\"Summary\"\"; \"\"Chapter 7: Credit Risk Management\"\"; \"\"Credit default models\"\"; \"\"Structural models\"\"; \"\"Intensity models\"\"; \"\"Correlated defaults  the portfolio approach\"\"; \"\"Migration matrices\"\"; \"\"Getting started with credit scoring in R\"\"; \"\"Summary\"\"; \"\"Chapter 8: Extreme Value Theory\"\""]
[{"$nulls":4},"\"\"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\"\""]
[{"$nulls":4},"\"\"Appendix: References\"\""]
[null,null,null,"Sommario/riassunto","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."]