R programming and its applications in financial mathematics

Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshhikawa

Introduction to R programming -- Statistics in finance -- Statistical analysis with R -- Time series analysis with R -- Basic theory of finance -- Modern portfolio theory and CAPM -- Interest rate swap and discount factor -- Discrete time model: tree model -- Continuous time model and the black-scholes formula -- Numerical methods in finance -- Monte Carlo simulation -- Derivative pricing with partial differential equations -- Appendix -- A Optimization with R -- B Noise reduction via Kalman filter -- C The other references on R -- References -- Index

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Year of publication:	[2018]
Authors:	Ōsaki, Shūichi ; Ōsaki, Shūichi ; Ruppert-Felsot, Jori ; Yoshikawa, Daisuke
Publisher:	Boca Raton, London, New York : CRC Press
Subject:	Finanzmathematik \| Mathematical finance \| Software \| Programmiersprache \| Programming language \| Portfolio-Management \| Portfolio selection \| Kapitalmarkttheorie \| Financial economics \| Finanzierungstheorie \| Financial management theory \| R <Programm> \| Finanzanalyse \| Finanzierung \| Statistik \| Ökonometrie
Description of contents:	Table of Contents [gbv.de]