Mastering R for Quantitative Finance

by Edina Berlinger, Ferenc Illés, Milán Badics

Use R to optimize your trading strategy and build up your own risk management system About This BookLearn to manipulate, visualize, and analyze a wide range of financial data with the help of built-in functions and programming in RUnderstand the concepts of financial engineering and create trading strategies for complex financial instrumentsExplore R for asset and liability management and capital adequacy modelingWho This Book Is ForThis book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.What You Will Learn Analyze high frequency financial data Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, Black-Scholes, Margrabe, logoptimal portfolios, core-periphery, and contagion Solve p

Genres: Finance, Programming

339 pages, Paperback

First published February 27, 2015

Reviews

[Keven Bluteau · Rating 5 out of 5]

A book that demonstrates how powerful R can be to quantitative finance by using example from a variety of applications in finance like exotic option pricing, machine learning applied to fundamental analysis and technical analysis, factor models, time-series and risk management. A must read for any quant using R.