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Learning Quantitative Finance with R

You're reading from Learning Quantitative Finance with R

Product type Book

Published in Mar 2017

Publisher Packt

ISBN-13 9781786462411

Pages 284 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (2):

Dr. Param Jeet

PRASHANT VATS

View More author details

Table of Contents (16) Chapters

Learning Quantitative Finance with R

Credits

About the Authors

About the Reviewer

www.PacktPub.com

Customer Feedback

Preface

1. Introduction to R

2. Statistical Modeling

3. Econometric and Wavelet Analysis

4. Time Series Modeling

5. Algorithmic Trading

6. Trading Using Machine Learning

7. Risk Management

8. Optimization

9. Derivative Pricing

Questions

What is market risk and how can R help in measuring market risk? Please give an example.
What are the ways of measuring risk associated with the portfolio?
What are the most common ways of measuring VaR? Please construct a portfolio and find VaR using all the methods.
How do you compute ES/CVAR in R?
Construct a sample using normal and lognormal distribution using the Monte Carlo method and find the historical VaR for each of them.
How do you find component and marginal VaR for a portfolio in R?
What is credit scoring and how do you execute it in R? Construct an example and build a scoring example along with validation.
What are the ways to identify fraud? How do you execute them in R?

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Authors (2)

Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.

See other products by Dr. Param Jeet

PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.

See other products by PRASHANT VATS

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