Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshikawa

R Programming and Its Applications in Financial Mathematics

• Gebundenes Buch

Produktbeschreibung

This book provides various calculation methods for financial mathematics utilizing R programming, and includes basic finance theories and statistical analysis. In addition to the ample applications of R programming provided, the book delivers simple descriptions to assist readers in the immediate application of the methods to financial data.

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Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• Seitenzahl: 258
• Erscheinungstermin: 12. Februar 2018
• Englisch
• Abmessung: 234mm x 160mm x 20mm
• Gewicht: 567g
• ISBN-13: 9781498766098
• ISBN-10: 1498766099
• Artikelnr.: 52375845

Autorenporträt

After finishing a Ph.D course at Kyoto University, Dr. Daisuke Yoshikawa worked for Mizuho-DL financial technology and Bank of Japan. Meanwhile, Dr. Yoshikawa published a few refereed journal papers on finance. Currently, Dr. Yoshikawa is working for Hokkai-Gakuen University as a lecturer.

Inhaltsangabe

Preface. Introduction to R programming. SECTION I: STATISTICS IN FINANCE.
Statistical Analysis with R. Time Series Analysis with R. SECTION II: BASIC
THEORY OF FINANCE. Modern Portfolio Theory and CAPM. Interest Rate Swap and
Discount Factor. Discrete Time Model: Tree Model. Continuous time model and
Black-Scholes Formula. SECTION III: NUMERICAL METHODS IN FINANCE. Monte
Carlo Simulation. Derivative Pricing with Partial Differential Equations.
SECTION IV: APPENDIX. Optimization with R. Noise reduction via Kalman
Filter. The Other References on R. References. Index.