Mastering R for quantitative finance : use R to optimize your trading strategy and build up your own risk management system

Online-Ressource (638 p)

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Table of Contents; Mastering R for Quantitative Finance; Mastering R for Quantitative Finance; Credits; About the Authors; About the Reviewers; www.PacktPub.com; Support files, eBooks, discount offers, and more; Why subscribe?; Free access for Packt account holders; Preface; What this book covers; What you need for this book; Who this book is for; Conventions; Reader feedback; Customer support; Downloading the example code; Errata; Piracy; Questions; 1. Time Series Analysis; Multivariate time series analysis; Cointegration; Vector autoregressive models; VAR implementation example

Cointegrated VAR and VECMVolatility 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 list; 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; References; 3. Forecasting Volume; Motivation; The intensity of trading; The volume forecasting model

Implementation in RThe data; Loading the data; The seasonal component; AR(1) estimation and forecasting; SETAR estimation and forecasting; Interpreting the results; Summary; References; 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; References; 5. FX Derivatives; Terminology and notations; Currency options; Exchange options

Two-dimensional Wiener processesThe Margrabe formula; Application in R; Quanto options; Pricing formula for a call quanto; Pricing a call quanto in R; Summary; References; 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; References; 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 optionAnother way to price the Double-no-touch option; The life of a Double-no-touch option - a simulation; Exotic options embedded in structured products; Summary; References; 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; References

9. Fundamental Analysis

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