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You're reading from  Learning Quantitative Finance with R

Product typeBook
Published inMar 2017
Reading LevelIntermediate
PublisherPackt
ISBN-139781786462411
Edition1st Edition
Languages
R
Concepts
Financial Technology
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Authors (2):
Dr. Param Jeet
Dr. Param Jeet
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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.
Read more about Dr. Param Jeet

PRASHANT VATS
PRASHANT VATS
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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.
Read more about PRASHANT VATS

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Questions

  1. What are the packages to be used for option, bond, and exotic options pricing?

  2. Which functions will you use to calculate the option price using the Black-Scholes and Cox-Ross-Rubinstein methods?

  3. How does the CRR price converge to the binomial price and which command would you use to calculate Greeks?

  4. Write a command to calculate implied volatility.

  5. How would you prepare a cashflow and maturity matrix to the form which would be used in bond pricing function, and which function would be used for bond pricing?

  6. What are the functions to be used for credit spread and credit default swaps?

  7. What are the Asian option types, barrier option types, and digital option types?

  8. What are the functions you would use for the options in question 7?

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Learning Quantitative Finance with R
Published in: Mar 2017Publisher: PacktISBN-13: 9781786462411
© 2017 Packt Publishing Limited All Rights Reserved

Authors (2)

author image
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.
Read more about Dr. Param Jeet

author image
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.
Read more about PRASHANT VATS

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