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Introduction to R for Quantitative Finance

You're reading from  Introduction to R for Quantitative Finance

Product type Book
Published in Nov 2013
Publisher Packt
ISBN-13 9781783280933
Pages 164 pages
Edition 1st Edition
Languages
Concepts

Table of Contents (17) Chapters

Introduction to R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
1. Time Series Analysis 2. Portfolio Optimization 3. Asset Pricing Models 4. Fixed Income Securities 5. Estimating the Term Structure of Interest Rates 6. Derivatives Pricing 7. Credit Risk Management 8. Extreme Value Theory 9. Financial Networks References Index

Portfolio optimization

  • P. Carl and B.G. Peterson (2013), PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis. Available at http://cran.r-project.org/package=PerformanceAnalytics.

  • R. McTaggart and G. Daróczi (2013), Quandl: Quandl Data Connection. Available at http://cran.r-project.org/package=Quandl.

  • R. C. Merton (1993), On the Microeconomic Theory of Investment under Uncertainty, Handbook of Mathematical Economics, in: K. J. Arrow and M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, 601-669, Elsevier.

  • J.A. Ryan (2013), quantmod: Quantitative Financial Modelling Framework. Available at http://cran.r-project.org/package=quantmod.

  • A. Trapletti and K. Hornik (2013), tseries: Time Series Analysis and Computational Finance. Available at http://cran.r-project.org/package=tseries.

  • W. F. Sharpe (1964), Capital Asset Prices: A Theory of Market Equilibrium under Conditions Of Risk, Journal of Finance, American Finance Association 19, No. 3, 425-442, 09.

  • D. Wuertz and M. Hanf (2010), Portfolio Optimization with R/Rmetrics (Rmetrics Association & Finance Online) Available at www.rmetrics.org.

  • D. Wuertz and Y. Chalabi (2013), timeSeries: Rmetrics - Financial Time Series Objects. Available at http://cran.r-project.org/package=timeSeries.

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