skip to content
Covid-19 virus
COVID-19 Resources

Reliable information about the coronavirus (COVID-19) is available from the World Health Organization (current situation, international travel). Numerous and frequently-updated resource results are available from this WorldCat.org search. OCLC’s WebJunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus issues in their communities.

Image provided by: CDC/ Alissa Eckert, MS; Dan Higgins, MAM
R programming and its applications in financial mathematics Preview this item
ClosePreview this item
Checking...

R programming and its applications in financial mathematics

Author: Shuichi Ohsaki; Jori Ruppert-Felsot; Daisuke Yoshikawa
Publisher: Boca Raton : CRC Press, [2018] ©2018
Edition/Format:   eBook : Document : EnglishView all editions and formats
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Shuichi Ohsaki; Jori Ruppert-Felsot; Daisuke Yoshikawa
ISBN: 9781315153810 1315153815 9781351649865 1351649868 9781498766104 1498766102
OCLC Number: 1021173604
Description: 1 online resource (ix, 248 pages)
Contents: Intro; Half title Page; Title Page; Copyright; Table of Contents; Preface; 1 Introduction to R Programming; 1.1 Installation of R; 1.2 Operators; 1.3 Data structure; 1.3.1 Scalar; 1.3.2 Vector; 1.3.3 Matrix; 1.3.4 List; 1.3.5 Data frame; 1.3.6 Factor; 1.3.7 Investigation of types and structures of data; 1.4 Functions; 1.5 Control statements; 1.5.1 if-statement; 1.5.2 Iterative processing: for-statement, while-statement; 1.6 Graphics; 1.7 Reading and writing data; 1.8 Reading program; 1.9 Packages; SECTION I Statistics in Finance; 2 Statistical Analysis with R; 2.1 Basic statistics. 2.2 Probability distribution and random numbers2.3 Hypothesis testing; 2.3.1 What is hypothesis testing?; 2.3.2 t-Test of population mean; 2.4 Regression Analysis; 2.5 Yield curve analysis using principal component analysis; 2.5.1 Yield curve; 2.5.2 What is principal component analysis?; 2.5.3 Example of principal component analysis using JGB; 2.5.4 How to calculate the principal component analysis?; 3 Time Series Analysis with R; 3.1 Preparation of time series data; 3.2 Before applying for models; 3.3 The application of the AR model; 3.3.1 Residual analysis; 3.3.2 Forecasting. 3.4 Models extended from AR3.4.1 ARMA and ARIMA model; 3.4.2 Vector autoregressive; 3.4.3 GARCH model; 3.4.4 Cointegration; 3.5 Application of the time series analysis to finance: Pairs trading; SECTION II Basic Theory of Finance; 4 Modern Portfolio Theory and CAPM; 4.1 Meanvariance portfolio; 4.2 Market portfolio; 4.3 Derivation of CAPM; 4.4 The extension of CAPM : Multifactor model; 4.4.1 Arbitrage Pricing Theory; 4.4.2 FamaFrench's 3 factor model; 4.5 The form of the efficient frontier; 5 Interest Rate Swap and Discount Factor; 5.1 Interest rate swap. 5.2 Pricing of interest rate swaps and the derivation of discount factors5.3 Valuation of interest rate swaps and their risk; 6 Discrete Time Model: Tree Model; 6.1 Single period binomial model; 6.1.1 Derivative pricing; 6.1.2 Pricing by risk neutral measure; 6.2 Multi period binomial model; 6.2.1 Generalization to the multi period model; 6.2.2 Pricing call options; 6.3 Trinomial model; 7 Continuous Time Model and the BlackScholes Formula; 7.1 Continuous rate of return; 7.2 Itô's lemma; 7.3 The BlackScholes formula; 7.4 Implied volatility; SECTION III Numerical Methods in Finance. 8 Monte Carlo Simulation; 8.1 The basic concept of Monte Carlo simulation; 8.2 Variance reduction method; 8.2.1 Antithetic variates method; 8.2.2 Moment matching method; 8.3 Exotic options; 8.4 Multi asset options; 8.5 Control variates method; 9 Derivative Pricing with Partial Differential Equations; 9.1 The explicit method; 9.2 The implicit method; APPENDIX; Appendix A Optimization with R; A.1 Multi variate optimization problem; A.2 The efficient frontier by optimization problem; Appendix B Noise Reduction via Kalman Filter; B.1 Introduction to Kalman filter; B.2 Nonlinear Kalman filter.
Responsibility: Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshikawa.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


\n\n

Primary Entity<\/h3>\n
<http:\/\/www.worldcat.org\/oclc\/1021173604<\/a>> # R programming and its applications in financial mathematics<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:CreativeWork<\/a>, schema:Book<\/a>, schema:MediaObject<\/a> ;\u00A0\u00A0\u00A0\nlibrary:oclcnum<\/a> \"1021173604<\/span>\" ;\u00A0\u00A0\u00A0\nlibrary:placeOfPublication<\/a> <http:\/\/id.loc.gov\/vocabulary\/countries\/flu<\/a>> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/business_&_economics_finance<\/a>> ; # BUSINESS & ECONOMICS--Finance<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/r_computer_program_language<\/a>> ; # R (Computer program language)<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/dewey.info\/class\/332.02855133\/e23\/<\/a>> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/finance_mathematical_models_data_processing<\/a>> ; # Finance--Mathematical models--Data processing<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/finance_mathematical_models<\/a>> ; # Finance--Mathematical models<\/span>\n\u00A0\u00A0\u00A0\nschema:author<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/yoshikawa_daisuke<\/a>> ; # Daisuke Yoshikawa<\/span>\n\u00A0\u00A0\u00A0\nschema:author<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/ohsaki_shuichi<\/a>> ; # Shuichi Ohsaki<\/span>\n\u00A0\u00A0\u00A0\nschema:author<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/ruppert_felsot_jori<\/a>> ; # Jori Ruppert-Felsot<\/span>\n\u00A0\u00A0\u00A0\nschema:bookFormat<\/a> schema:EBook<\/a> ;\u00A0\u00A0\u00A0\nschema:datePublished<\/a> \"2018<\/span>\" ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"Intro; Half title Page; Title Page; Copyright; Table of Contents; Preface; 1 Introduction to R Programming; 1.1 Installation of R; 1.2 Operators; 1.3 Data structure; 1.3.1 Scalar; 1.3.2 Vector; 1.3.3 Matrix; 1.3.4 List; 1.3.5 Data frame; 1.3.6 Factor; 1.3.7 Investigation of types and structures of data; 1.4 Functions; 1.5 Control statements; 1.5.1 if-statement; 1.5.2 Iterative processing: for-statement, while-statement; 1.6 Graphics; 1.7 Reading and writing data; 1.8 Reading program; 1.9 Packages; SECTION I Statistics in Finance; 2 Statistical Analysis with R; 2.1 Basic statistics.<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:exampleOfWork<\/a> <http:\/\/worldcat.org\/entity\/work\/id\/4742133759<\/a>> ;\u00A0\u00A0\u00A0\nschema:genre<\/a> \"Electronic books<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:inLanguage<\/a> \"en<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isSimilarTo<\/a> <http:\/\/worldcat.org\/entity\/work\/data\/4742133759#CreativeWork\/<\/a>> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"R programming and its applications in financial mathematics<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\nschema:productID<\/a> \"1021173604<\/span>\" ;\u00A0\u00A0\u00A0\nschema:url<\/a> <https:\/\/0-www-taylorfrancis-com.pugwash.lib.warwick.ac.uk\/books\/9781498766104<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <https:\/\/www.taylorfrancis.com\/books\/9781498766104<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <https:\/\/ebookcentral.proquest.com\/lib\/brocku\/detail.action?docID=5254646<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <https:\/\/www.taylorfrancis.com\/books\/9781315153810<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/search.ebscohost.com\/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1698071<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/www.vlebooks.com\/vleweb\/product\/openreader?id=none&isbn=9781498766104<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/public.ebookcentral.proquest.com\/choice\/publicfullrecord.aspx?p=5254646<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/public.eblib.com\/choice\/publicfullrecord.aspx?p=5254646<\/a>> ;\u00A0\u00A0\u00A0\nschema:workExample<\/a> <http:\/\/worldcat.org\/isbn\/9781498766104<\/a>> ;\u00A0\u00A0\u00A0\nschema:workExample<\/a> <http:\/\/worldcat.org\/isbn\/9781315153810<\/a>> ;\u00A0\u00A0\u00A0\nschema:workExample<\/a> <http:\/\/worldcat.org\/isbn\/9781351649865<\/a>> ;\u00A0\u00A0\u00A0\nwdrs:describedby<\/a> <http:\/\/www.worldcat.org\/title\/-\/oclc\/1021173604<\/a>> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n\n

Related Entities<\/h3>\n
<http:\/\/dewey.info\/class\/332.02855133\/e23\/<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/ohsaki_shuichi<\/a>> # Shuichi Ohsaki<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Ohsaki<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Shuichi<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Shuichi Ohsaki<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/ruppert_felsot_jori<\/a>> # Jori Ruppert-Felsot<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Ruppert-Felsot<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Jori<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Jori Ruppert-Felsot<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Person\/yoshikawa_daisuke<\/a>> # Daisuke Yoshikawa<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Yoshikawa<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Daisuke<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Daisuke Yoshikawa<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/business_&_economics_finance<\/a>> # BUSINESS & ECONOMICS--Finance<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"BUSINESS & ECONOMICS--Finance<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/finance_mathematical_models<\/a>> # Finance--Mathematical models<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Finance--Mathematical models<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/finance_mathematical_models_data_processing<\/a>> # Finance--Mathematical models--Data processing<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Finance--Mathematical models--Data processing<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/4742133759#Topic\/r_computer_program_language<\/a>> # R (Computer program language)<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"R (Computer program language)<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.loc.gov\/vocabulary\/countries\/flu<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\ndcterms:identifier<\/a> \"flu<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/worldcat.org\/entity\/work\/data\/4742133759#CreativeWork\/<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:CreativeWork<\/a> ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"Print version:<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isSimilarTo<\/a> <http:\/\/www.worldcat.org\/oclc\/1021173604<\/a>> ; # R programming and its applications in financial mathematics<\/span>\n\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/worldcat.org\/isbn\/9781315153810<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:ProductModel<\/a> ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"1315153815<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"9781315153810<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/worldcat.org\/isbn\/9781351649865<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:ProductModel<\/a> ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"1351649868<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"9781351649865<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/worldcat.org\/isbn\/9781498766104<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:ProductModel<\/a> ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"1498766102<\/span>\" ;\u00A0\u00A0\u00A0\nschema:isbn<\/a> \"9781498766104<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/www.worldcat.org\/title\/-\/oclc\/1021173604<\/a>>\u00A0\u00A0\u00A0\u00A0a \ngenont:InformationResource<\/a>, genont:ContentTypeGenericResource<\/a> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/www.worldcat.org\/oclc\/1021173604<\/a>> ; # R programming and its applications in financial mathematics<\/span>\n\u00A0\u00A0\u00A0\nschema:dateModified<\/a> \"2019-11-20<\/span>\" ;\u00A0\u00A0\u00A0\nvoid:inDataset<\/a> <http:\/\/purl.oclc.org\/dataset\/WorldCat<\/a>> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<https:\/\/0-www-taylorfrancis-com.pugwash.lib.warwick.ac.uk\/books\/9781498766104<\/a>>\u00A0\u00A0\u00A0\nrdfs:comment<\/a> \"Connect to Taylor and Francis e-book<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<https:\/\/ebookcentral.proquest.com\/lib\/brocku\/detail.action?docID=5254646<\/a>>\u00A0\u00A0\u00A0\nrdfs:comment<\/a> \"Read this online, single user.<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n