Index
A
- absolute transaction costs
- optimal hedging / Optimal hedging in the case of absolute transaction costs
- Advanced Measurement Approach (AMA) / Minimum capital requirements
- Alternative Standard Approach (ASTA) / Minimum capital requirements
- analytical VaR / Analytical VaR
- application, in R
- about / Application in R
- APT
- about / Arbitrage pricing theory
- assumptions / Arbitrage pricing theory
- implementing / Implementation of APT
- Fama-French three-factor model / Fama-French three-factor model
- estimating, with principal component analysis / Estimation of APT with principal component analysis
- AR(1) model
- estimating / AR(1) estimation and forecasting
- forecasting / AR(1) estimation and forecasting
- Asian options
- about / A glance beyond vanillas
- ATM (at-the-money) / Dynamic delta hedge
B
- backtesting
- about / Backtesting
- Basel Accords
- principles / Principles of the Basel Accords
- Basel I / Basel I
- Basel II / Basel II
- Basel III / Basel III
- Basel I / Basel I
- Basel II
- about / Basel II
- objectives / Basel II
- minimum capital requirements / Minimum capital requirements
- supervisory review / Supervisory review
- transparency / Transparency
- Basel III / Basel III
- Basel Regulatory Framework
- URL / Principles of the Basel Accords
- Basic Indicator Approach (BIA) / Minimum capital requirements
- big data
- loading / Loading big data
- big data analysis, in R
- about / Introduction to big data analysis in R
- big data linear regression analysis
- about / Big data linear regression analysis
- big data, loading / Loading big data
- linear regression model, fitting on large datasets / Fitting a linear regression model on large datasets
- big matrices
- loading / Loading big matrices
- Binary options
- about / A glance beyond vanillas
- Bitcoin prices
- forecasting / Forecasting bitcoin prices
- strategy, evaluating / Evaluation of the strategy
- Black-Scholes surface
- about / How R can help a lot
- Black model
- about / The Black model
- cap, pricing with / Pricing a cap with Black's model
C
- call quanto
- pricing formula, used for / Pricing formula for a call quanto
- pricing, in R / Pricing a call quanto in R
- candle patterns, key reversal
- about / Candle patterns: key reversal
- cap
- pricing, with Black model / Pricing a cap with Black's model
- cash-flow
- preparing / Preparing the cash-flow
- cash-flow generator functions / Cash-flow generator functions
- charts, bitcoin
- plotting / Plotting charts - bitcoin
- URL / Plotting charts - bitcoin
- classification rules
- setting / Setting classification rules
- cointegration / Cointegration
- conditional value at risk (CVaR) / Monte-Carlo simulation
- connections
- revealing / Revealing connections
- core-periphery decomposition
- about / Core-periphery decomposition
- implementation, in R / Implementation in R
- results / Results
- Cox-Ingersoll-Ross model
- about / The Cox-Ingersoll-Ross model
- credit default swap (CDS) / Credit risk
- credit risk / Credit risk
- currency options
- about / Currency options
D
- data
- about / The data
- loading / Loading the data
- obtaining, from open sources / Getting data from open sources
- collecting / Collecting data
- data preparation
- about / Data preparation
- data source, calling / Data source at first glance
- cash-flow generator functions / Cash-flow generator functions
- cash-flow, preparing / Preparing the cash-flow
- data selection / Data selection
- dataset
- using / The dataset used in our examples
- data source
- calling / Data source at first glance
- data warehouse (DWH) / Data preparation
- delta hedge performance
- comparing / Comparing the performance of delta hedging
- derivatives
- hedging / Hedging of derivatives
- market risk / Market risk of derivatives
- static delta hedge / Static delta hedge
- dynamic delta hedge / Dynamic delta hedge
- delta hedge performance, comparing / Comparing the performance of delta hedging
- double-knock-in (DKI)
- about / A glance beyond vanillas
- double-knock-out (DKO)
- about / A glance beyond vanillas
- Double-no-touch (DNT)
- about / How R can help a lot
- Double-no-touch option
- pricing / Pricing the Double-no-touch option
- pricing, alternate way / Another way to price the Double-no-touch option
- defining / The life of a Double-no-touch option – a simulation
- Double-one-touch (DOT) / The life of a Double-no-touch option – a simulation
- Dow Jones Industrial Average index (DIJA) / Neural networks
- dynamic delta hedge / Dynamic delta hedge
- dynamic hedging
- about / The role of dynamic hedging
E
- EGARCH model / The Exponential GARCH model (EGARCH)
- EMA / SMA and EMA
- exchange options
- about / Exchange options
- two-dimensional Wiener processes / Two-dimensional Wiener processes
- Margrabe formula / The Margrabe formula
- application, in R / Application in R
- exotic options
- about / A glance beyond vanillas
- embedded, in structured products / Exotic options embedded in structured products
- Expected Shortfall (ES) / Monte-Carlo simulation
- exponential moving average (EMA) / Built-in indicators
- exposure at default (EAD) / Minimum capital requirements
- External Credit Assessment Institutions (ECAI) / Minimum capital requirements
- extract, transform, and load (ETL) / Data preparation
F
- Fama-French model
- estimating / Estimation of the Fama-French model
- Fama-French three-factor model / Fama-French three-factor model
- Federal Reserve Economic Data (FRED) / Getting data from open sources
- feed-forward neural networks (FFNN) / Neural networks
- FRED (Federal Reserve Economic Data)
- about / VAR implementation example
- fundamental analysis
- about / The basics of fundamental analysis
- fundamental equity strategy
- building / The basics of fundamental analysis
- FX
- about / Markets
- FX rates
- about / Terminology and notations
G
- GARCH model
- about / Further extensions
- GARCH modeling, with rugarch package
- about / GARCH modeling with the rugarch package
- Standard GARCH model / The standard GARCH model
- EGARCH model / The Exponential GARCH model (EGARCH)
- TGARCH model / The Threshold GARCH model (TGARCH)
- general pricing approach
- about / A general pricing approach
- geometric Brownian motion (GBM) / Dynamic delta hedge
- GLM (general linear model) / Estimation of the Fama-French model
- Greeks
- about / Greeks – the link back to the vanilla world
- delta / Greeks – the link back to the vanilla world
- gamma / Greeks – the link back to the vanilla world
- vega / Greeks – the link back to the vanilla world
- theta / Greeks – the link back to the vanilla world
- rho / Greeks – the link back to the vanilla world
- gross incomes (GI) / Minimum capital requirements
H
- hedge optimization / Optimization of the hedge
- high frequency trading (HFT) / The TA toolkit
- historical VaR / Historical VaR
I
- identification problem
- about / Vector autoregressive models
- implementation, in R
- about / Implementation in R
- data / The data
- data, loading / Loading the data
- seasonal component / The seasonal component
- AR(1) model, estimating / AR(1) estimation and forecasting
- AR(1) model, forecasting / AR(1) estimation and forecasting
- SETAR model, estimating / SETAR estimation and forecasting
- SETAR model, forecasting / SETAR estimation and forecasting
- results, interpreting / Interpreting the results
- industry specific investment
- about / Industry-specific investment
- intensity of trading
- about / The intensity of trading
- interest rate models
- parameter, estimating of / Parameter estimation of interest rate models
- interest rate risk measurement
- managing / Interest rate risk measurement
- Internal Ratings-Based (IRB) / Minimum capital requirements
- Internal Revenue Service (IRS) / Loading big data
- International Capital Adequacy Assessment Process (ICAAP) / Supervisory review
- investment strategy
- about / A universally consistent, non-parametric investment strategy
- evaluating / Evaluation of the strategy
- investment targets
- separating / Separating investment targets
K
- k-means clustering, on big data
- about / K-means clustering on big data
- big matrices, loading / Loading big matrices
- analysis / Big data K-means clustering analysis
- KMV model
- about / Credit risk
- knock-in (KI)
- about / A glance beyond vanillas
- knock-in-knock-out (KIKO)
- about / A glance beyond vanillas
- knock-out (KO)
- about / A glance beyond vanillas
L
- large datasets
- linear regression model, fitting on / Fitting a linear regression model on large datasets
- linear regression model
- fitting, on large datasets / Fitting a linear regression model on large datasets
- lines of business (LoB) / Minimum capital requirements
- liquidity coverage ratio (LCR) / Basel III
- liquidity risk measurement
- managing / Liquidity risk measurement
- logoptimal portfolios
- about / Logoptimal portfolios
- lookback options
- about / A glance beyond vanillas
- loss given default (LGD) / Minimum capital requirements
M
- MACD / MACD
- Margin of static replication
- about / Static replication of non-maturity deposits
- Margrabe formula / The Margrabe formula
- market efficiency / Market efficiency
- market risk / Market risk
- market risk, of derivatives
- about / Market risk of derivatives
- maturity (M) / Minimum capital requirements
- minimum capital requirements / Minimum capital requirements
- model, of deposit interest rate development / A Model of deposit interest rate development
- modeling, in R
- about / Modeling in R
- data selection / Data selection
- APT, estimating with principal component analysis / Estimation of APT with principal component analysis
- Fama-French model, estimating / Estimation of the Fama-French model
- money management
- about / A word on money management
- Monte-Carlo simulation / Monte-Carlo simulation
- multi-layer precepton (MLP) / Neural networks
- multiple variables
- including / Including multiple variables
- multivariate time series analysis
- about / Multivariate time series analysis
- cointegration / Cointegration
- VAR / Vector autoregressive models
- VAR and VECM, cointegrated / Cointegrated VAR and VECM
N
- Net stable funding ratio (NSFR) / Basel III
- neural networks (NN)
- about / Neural networks
- non-maturity deposits (NMD)
- modeling / Modeling non-maturity deposits
- model, of deposit interest rate development / A Model of deposit interest rate development
- static replication, of non-maturity deposits / Static replication of non-maturity deposits
O
- open sources
- data, obtaining from / Getting data from open sources
- operational risk
- about / Operational risk
- low impact with low probability / Operational risk
- low impact with high probability / Operational risk
- high impact with low probability / Operational risk
- high impact with high probability / Operational risk
P
- pair trading
- about / Cointegration
- parameter
- estimating, of interest rate models / Parameter estimation of interest rate models
- position
- managing / Evaluating the signals and managing the position
- Price/Cash flow (P/CF) / Separating investment targets
- pricing formula
- for call quanto / Pricing formula for a call quanto
- principal component analysis
- APT, estimating with / Estimation of APT with principal component analysis
- probability of default (PD) / Minimum capital requirements
Q
- quanto options
- about / Quanto options
- pricing formula, for call quanto / Pricing formula for a call quanto
- call quanto, pricing in R / Pricing a call quanto in R
R
- recovery rate (RR) / Credit risk
- relative strength indicator (RSI) / Built-in indicators
- relative transaction costs
- optimal hedging / Optimal hedging in the case of relative transaction costs
- results
- interpreting / Interpreting the results, Possible interpretations and suggestions
- risk-weighted assets (RWA) / Basel I
- risk categories
- about / Risk categories
- market risk / Market risk
- credit risk / Credit risk
- operational risk / Operational risk
- risk measures
- about / Risk measures
- monotonicity / Risk measures
- sub-additivity / Risk measures
- positive homogeneity / Risk measures
- translation invariance / Risk measures
- analytical VaR / Analytical VaR
- historical VaR / Historical VaR
- Monte-Carlo simulation / Monte-Carlo simulation
- RSI / RSI
S
- seasonal component / The seasonal component
- SETAR model
- estimating / SETAR estimation and forecasting
- forecasting / SETAR estimation and forecasting
- signals
- evaluating / Evaluating the signals and managing the position
- simple moving average (SMA) / Built-in indicators
- simulation method
- about / The simulation method
- simulation / The simulation
- implementation, in R / Implementation in R
- results / Results
- simulations, in R
- about / How R can help a lot
- SMA / SMA and EMA
- SMFI5 package
- using / Using the SMFI5 package
- Standard GARCH model / The standard GARCH model
- Standardized Approach (STA) / Minimum capital requirements
- static delta hedge / Static delta hedge
- static replication, of non-maturity deposits / Static replication of non-maturity deposits
- statistical arbitrage
- about / Cointegration
- stochastic volatility (SV) models / Volatility modeling
- stocks
- about / Markets
- structured products
- exotic options, embedded in / Exotic options embedded in structured products
- supervisory review / Supervisory review
- Supervisory Review Evaluation Process (SREP) / Supervisory review
- systemic risk, in nutshell
- about / Systemic risk in a nutshell
T
- TA
- about / Technical analysis
- rules / Technical analysis
- toolkit / The TA toolkit
- TA, tools
- about / The TA toolkit
- support-resistance / The TA toolkit
- price channels / The TA toolkit
- chart patterns / The TA toolkit
- candle patterns / The TA toolkit, Candle patterns: key reversal
- indicators / The TA toolkit
- markets / Markets
- charts, plotting / Plotting charts - bitcoin
- built-in indicators / Built-in indicators
- SMA / SMA and EMA
- EMA / SMA and EMA
- RSI / RSI
- MACD / MACD
- signals, evaluating / Evaluating the signals and managing the position
- position, managing / Evaluating the signals and managing the position
- TGARCH model / The Threshold GARCH model (TGARCH)
- transaction costs
- hedging / Hedging in the presence of transaction costs
- hedge optimization / Optimization of the hedge
- optimal hedging, of absolute transaction costs / Optimal hedging in the case of absolute transaction costs
- optimal hedging, of relative transaction costs / Optimal hedging in the case of relative transaction costs
- two-dimensional Wiener processes / Two-dimensional Wiener processes
U
- universally consistent / Logoptimal portfolios
V
- Value at Risk (VaR) / Minimum capital requirements
- VAR
- about / Vector autoregressive models
- implementing / VAR implementation example
- and VECM, cointegrated / Cointegrated VAR and VECM
- Vasicek model
- about / The Vasicek model
- VECM
- and VAR, cointegrated / Cointegrated VAR and VECM
- volatility modeling
- about / Volatility modeling
- GARCH modeling, with rugarch package / GARCH modeling with the rugarch package
- simulation / Simulation and forecasting
- forecasting / Simulation and forecasting
- volatility modeling, empirical observations
- volatility clustering / Volatility modeling
- non-normality of asset returns / Volatility modeling
- leverage effect / Volatility modeling
- volume
- about / Motivation
- volume forecasting model
- about / The volume forecasting model
- volume weighted average price (VWAP) / Motivation
W
- within cluster sum of squares (WCSS) / Big data K-means clustering analysis