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Biblioteca

MARC Lista (tabellare)
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Autore Daróczi Gergely
Edizione [1st edition]
Pubbl/distr/stampa Birmingham : , : Packt Publishing, , 2013
Descrizione fisica 1 online resource (164 p.)
Disciplina 332.015195
Collana Community experience distilled
Soggetto topico Economics - Mathematical models
Finance - Statistical methods
R (Computer program language)
Soggetto genere / forma Electronic books.
ISBN 1-78328-094-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""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 � 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 � identification of SIFIs""; ""Summary""
""Appendix: References""
Record Nr. UNINA-9910453702403321
Daróczi Gergely  
Birmingham : , : Packt Publishing, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Autore Daróczi Gergely
Edizione [1st edition]
Pubbl/distr/stampa Birmingham : , : Packt Publishing, , 2013
Descrizione fisica 1 online resource (164 p.)
Disciplina 332.015195
Collana Community experience distilled
Soggetto topico Economics - Mathematical models
Finance - Statistical methods
R (Computer program language)
ISBN 1-78328-094-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""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 � 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 � identification of SIFIs""; ""Summary""
""Appendix: References""
Record Nr. UNINA-9910790846103321
Daróczi Gergely  
Birmingham : , : Packt Publishing, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
Autore Daróczi Gergely
Edizione [1st edition]
Pubbl/distr/stampa Birmingham : , : Packt Publishing, , 2013
Descrizione fisica 1 online resource (164 p.)
Disciplina 332.015195
Collana Community experience distilled
Soggetto topico Economics - Mathematical models
Finance - Statistical methods
R (Computer program language)
ISBN 9781783280940
1783280948
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""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 � 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 � identification of SIFIs""; ""Summary""
""Appendix: References""
Record Nr. UNINA-9910965470803321
Daróczi Gergely  
Birmingham : , : Packt Publishing, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui