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R programming and its applications in financial mathematics /

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Bibliographic Details
Main Authors: Ohsaki, Shuichi (Author), Ruppert-Felsot, Jori (Author), Yoshikawa, Daisuke (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton : CRC Press, [2018]
Subjects:
Finance > Mathematical models.
Finance > Mathematical models > Data processing.
R (Computer programming language)
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Introduction to R programming
  • Statistics in finance
  • Statistical analysis with R
  • Time series analysis with R
  • Basic theory of finance
  • Modern portfolio theory and CAPM
  • Interest rate swap and discount factor
  • Discrete time model: tree model
  • Continuous time model and the black-scholes formula
  • Numerical methods in finance
  • Monte Carlo simulation
  • Derivative pricing with partial differential equations
  • Appendix
  • A Optimization with R
  • B Noise reduction via Kalman filter
  • C The other references on R
  • References
  • Index.