R Programming and Its Applications in Financial Mathematics

Informationen zum Autor 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. Klappentext 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. Zusammenfassung 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. Inhaltsverzeichnis 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.

Product details

• Authors: Shuichi Ohsaki, Shuichi (Bank of America Merrill Lynch Ohsaki, Ohsaki Shuichi, Jori Ruppert-Felsot, Daisuke Yoshikawa, Daisuke (Hokkai-Gakuen University Yoshikawa, Daisuke Ohsaki Yoshikawa, Yoshikawa Daisuke
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 30.11.2017
• EAN: 9781498766098
• ISBN: 978-1-4987-6609-8
• No. of pages: 258
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; SCIENCE / Life Sciences / General, BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, Economic statistics, Finance & accounting, Probability & statistics, Applied mathematics, Probability and statistics, Finance and accounting, Econometrics and economic statistics