Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshikawa

R Programming and Its Applications in Financial Mathematics

• Broschiertes 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.

Produktdetails

• Verlag: Bsp Books Pvt. Ltd.
• Seitenzahl: 248
• Erscheinungstermin: 31. März 2021
• Englisch
• Abmessung: 230mm x 152mm x 16mm
• Gewicht: 404g
• ISBN-13: 9780367781477
• ISBN-10: 0367781476
• Artikelnr.: 61212565

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.