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