R Programming and Its Applications in Financial Mathematics

ISBN-13: 9780367781477 / Angielski / Miękka / 2021 / 248 str.

Shuichi Ohsaki; Jori Ruppert-Felsot; Daisuke Yoshikawa

Opis

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.

Spis treści

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.

O autorze

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.