Mastering R for Quantitative Finance > PACKT 원서리스트

1: Time Series Analysis
Multivariate time series analysis
Volatility modeling
Summary
References and reading list

2: Factor Models
Arbitrage pricing theory
Modeling in R
Summary
References

3: Forecasting Volume
Motivation
The intensity of trading
The volume forecasting model
Implementation in R
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
Big data linear regression analysis
Summary
References

5: FX Derivatives
Terminology and notations
Currency options
Exchange options
Quanto options
Summary
References

6: Interest Rate Derivatives and Models
The Black 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 option
Another 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
Hedging in the presence of transaction costs
Further extensions
Summary
References

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
References

10: Technical Analysis, Neural Networks, and Logoptimal Portfolios
Market efficiency
Technical analysis
Neural networks
Logoptimal portfolios
Summary
References

11: Asset and Liability Management
Data preparation
Interest rate risk measurement
Liquidity risk measurement
Modeling non-maturity deposits
Summary
References

12: Capital Adequacy
Principles of the Basel Accords
Risk measures
Risk categories
Summary
References

13: Systemic Risks
Systemic risk in a nutshell
The dataset used in our examples
Core-periphery decomposition
The simulation method
Possible interpretations and suggestions
Summary
References

backindex: Appendix A: Index