精通R语言-用于量化金融-(影印版)
本书特色
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edina berlinger、ferenc lllés、milán badics等*的《精通r语言–用于量化金融(影印版)( 英文版)》是关于如何运用r语言的实践指南，按循序渐进的步骤编写而成。从时间序列分析开始逐步介绍，你还将从中学到如何预测vwap交易规模。本书涵盖了fx衍生品、利率衍生品及*优对冲等其他相关主题。*后几章将讲述流动性风险管理、风险评估等*多内容。
本书立足实际，介绍了量化金融概念和r语言建模方法，让你可以自行建立定制化的交易系统。读完本书后，你将可以熟练运用r语言实现各种金融技术并且能够做出正确的金融决策。
该书旨在为那些需要学习使用r语言进行高级建模的量化金融领域人士而准备。如果你希望完美地跟上每个章节的节奏，需要在量化金融方面具备中级水平，并且需要准备r语言相关基础知识。
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目录
prefacechapter 1: time series analysis multivariate time series analysis cointegration vector autoregressive models var implementation example cointegrated var and vecm volatility modeling garch modeling with the rugarch package the standard garch model the exponential garch model (egarch) the threshold garch model (tgarch) simulation and forecasting summary references and reading listchapter 2: factor models arbitrage pricing theory implementation of apt fama-french three-factor model modeling in r data selection estimation of apt with principal component analysis estimation of the fama-french model summary referenceschapter 3: forecasting volume motivation the intensity of trading the volume forecasting model implementation in r the data loading the data the seasonal component ar(1) estimation and forecasting setar estimation and forecasting interpreting the results summary referenceschapter 4: big data – advanced analytics getting data from open sources introduction to big data analysis in r k-means clustering on big data loading big matrices big data k-means clustering analysis big data linear regression analysis loading big data fitting a linear regression model on large datasets summary referenceschapter 5: fx derivatives terminology and notations currency options exchange options two-dimensional wiener processes the margrabe formula application in r quanto options pricing formula for a call quanto pricing a call quanto in r summary referenceschapter 6: interest rate derivatives and models the black model pricing a cap with black’s model the vasicek model the cox-ingersoll-ross model parameter estimation of interest rate models using the smfi5 package summary referenceschapter 7: exotic options a general pricing approach the role of dynamic hedging how r can help a lot a glance beyond vanillas greeks – the link back to the vanilla world pricing the double-no-touch option another way to price the double-no-touch option the life of a double-no-touch option – a simulation exotic options embedded in structurecl products summary referenceschapter 8: optimal hedging hedging of derivatives market risk of derivatives static delta hedge dynamic delta hedge comparing the performance of delta hedging hedging in the presence of transaction costs optimization of the hedge optimal hedging in the case of absolute transaction costs optimal hedging in the case of relative transaction costs further extensions summary referenceschapter 9: fundamental analysis the basics of fundamental analysis collecting data revealing connections including multiple variables separating investment targets setting classification rules backtesting industry-specific investment summary referenceschapter 10: technical analysis, neural networks, and logoptimal portfolios market efficiency technical analysis the ta toolkit markets plotting charts – bitcoin built-in indicators sma and ema rsi macd candle patterns: key reversal evaluating the signals and managing the position a word on money management wraping up neural networks, forecasting bitcoin prices evaluation of the strategy logoptimal portfolios a universally consistent, non-parametric investment strategy evaluation of the strategy summary referenceschapter 11: asset and liability management data preparation data source at first glance cash-flow generator functions preparing the cash-flow interest rate risk measurement liquidity risk measurement modeling non-maturity deposits a model of deposit interest rate development static replication of non-maturity deposits summary referenceschapter 12: capital adequacy principles of the basel accords basel i basel ii minimum capital requirements supervisory review transparency basel iii risk measures analytical var historical var monte-carlo simulation risk categories market risk credit risk operational risk summary referenceschapter 13: systemic risks systemic risk in a nutshell the dataset used in our examples core-periphery decomposition implementation in r results the simulation method the simulation implementation in r results possible interpretations and suggestions summary referencesindex
封面
书名:精通R语言-用于量化金融-(影印版)
作者:伯灵格
页数:339
定价:¥68.0
出版社:东南大学出版社
出版日期:2016-01-01
ISBN:9787564160654
PDF电子书大小:52MB 高清扫描完整版