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Introduction to R for Quantitative Finance

You're reading from   Introduction to R for Quantitative Finance R is a statistical computing language that's ideal for answering quantitative finance questions. This book gives you both theory and practice, all in clear language with stacks of real-world examples. Ideal for R beginners or expert alike.

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Product type Paperback
Published in Nov 2013
Publisher Packt
ISBN-13 9781783280933
Length 164 pages
Edition 1st Edition
Languages
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Toc

Table of Contents (17) Chapters Close

Introduction to R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
1. Time Series Analysis 2. Portfolio Optimization FREE CHAPTER 3. Asset Pricing Models 4. Fixed Income Securities 5. Estimating the Term Structure of Interest Rates 6. Derivatives Pricing 7. Credit Risk Management 8. Extreme Value Theory 9. Financial Networks References Index

Financial networks


  • A. L. Barabási and R. Albert (1999), Emergence of scaling in random networks, Science 286, 509-512.

  • BCBS (2011), Global Systemically Important Banks: Assessment Methodology and the Additional Loss Absorbency Requirement, Committee on Banking Supervision. Available at http://www.bis.org/publ/bcbs201.pdf.

  • M. L. Bech and E. Atalay (2008), The topology of the federal funds market, Federal Reserve Bank of New York, Staff Reports, 354.

  • G. Bianconi and A. L. Barabási (2001), Competition and multiscaling in evolving networks, Europhysics Letters.54, 436.

  • G. Csardi and T. Nepusz (2006), The igraph software package for complex network research, InterJournal, Complex Systems 1695. Available at http://igraph.sf.net.

  • Z. Komárková, V. Hausenblas, and J. Frait (2012), How to Identify Systematically Important Financial Institutions, Report of the Central Bank of the Czech Republic, 100-111.

  • Á. Lublóy (2006), Topology of the Hungarian large-value transfer system, MNB Occasional Papers, 57.

  • S. Markose, S. Giansante, M. Gatkowski (2010), and A. R. Shaghaghi, Too-Interconnected-To-Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of U.S. Banks, COMISEF Working Paper Series, WPS-033-21-04-2010. Available at http://comisef.eu/files/wps033.pdf (downloaded on June 01, 2013).

  • K. Soramäki, M. L. Bech, J. Arnold, R. J. Glass, and W.E Beyeler (2006), The topology of interbank payment flows, Federal Reserve Bank of New York, Staff Reports, 243.

  • G. von Peter (2007), International Banking Centers: a Network Perspective, BIS Quarterly Review.

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