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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

Exotic options

Asian, barrier, binary, and lookback options are a few exotic options. Exotic options are quite different than normal American or European options, or vanilla options, and have a few new features which make it quite complex to price. An American or European call or put option is considered as a non-exotic or vanilla option. Exotic options are complex because of a few features:

The way it gets settled varies depending on the moneyless of the option at the time of maturity. It can be settled in cash as well as stock options.
It could also involve foreign exchange rates.
Payoff at the time of maturity depends not just on the underlying stock price but on its value at several times during the contract life.

We will be using the fExoticOptions package to price various types of exotic options. For this, the following two lines of code are used to install and load this package into the R workspace:

> install.packages('fExoticOptions') 
> library(fExoticOptions)

Asian options can...

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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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