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Description

This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.

What you will learn

Analyze high frequency financial data

Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, BlackScholes, Margrabe, logoptimal portfolios, coreperiphery, and contagion

Solve practical, realworld financial problems in R related to big data, discrete hedging, transaction costs, and more.

Discover simulation techniques and apply them to situations where analytical formulas are not available

Create a winning arbitrage, speculation, or hedging strategy customized to your risk preferences

Understand relationships between market factors and their impact on your portfolio

Assess the tradeoff between accuracy and the cost of your trading strategy

What do you get with eBook?

Instant access to your Digital eBook purchase

Download this book in EPUB and PDF formats

Access this title in our online reader with advanced features

DRM FREE - Read whenever, wherever and however you want

Frequently bought together

Introduction to R for Quantitative Finance

NZ$64.99

NZ$80.99

NZ$80.99

Total NZ$ 226.97

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Amazon verified reviews

bleu Sep 21, 2017

This is a good book. I would recommend this to anyone who are are just starting to learn and implement financial models

Amazon Verified review

Amazon Customer May 26, 2015

This book is a sequel of "Introduction to R for Quantitative Finance". It is a great book if you know R and want to learn how to perform advanced quantitative analytics in R. The book is packed with advanced quantitative topics such as:Time series analysisArbitrage pricing theory and Fama-French three-factor modelPractical examples on BIG Data Analytics using the Quandl and qualtmod packagesGeneralization of the basic Black-Scholes model and how to price a simple European call or put currency optionHow to apply the Black model to price an interest rate capHedging of derivatives in a static as well as a dynamic settingInterest rate risk measurementLiquidity risk measurementModeling non-maturity deposits

Amazon Customer Dec 03, 2015

This book has been very instrumental in helping me to apply quantitative methods taught in the book to actual live trading. In addition to the book, the author has posted code for all of the formulas on his Github page. A lot is to be learned and gained through reading this book and applying it to your own trading environment!

Fabio D Noronha Jan 04, 2016

Great book to get acquainted with the various R packages available in the finance realm.I suggest going through the book and later subscribing to r-bloggers.com and learning the diverse publicly available databases (yahoo, quandl, etc...) to apply it to your own portfolio.

Christian S. May 20, 2015

First I should acknowledge that I'm just starting to get familiar with Quantitative Finance. I was always wondering what kind of topics I would need to learn if I wanted to go deeper. This book has answered that. Just look at the TOC.All thirteen chapters are well organized and self-contained; you can pick up one and start working on it.Each chapter gives you a clear introduction and explanation of the model and terminology that is required for further reading.I appreciate that there is no waste of space and time trying to teach you R. It is assumed that you have previous exposure to R.I still have not completed the book though, I’m half way thru, but I’m enjoying the exercises.There is math (grad level) but it is not overwhelming or too dry like reading some financial math papers. Also each chapter gives you several references for further reading.The R examples are enough to give you hands on experience in each topic.For example the chapter on Big Data gives you really good practical examples on how to handle large amount of data in R.In summary I would recommend this book if you want to dig deeper into Quantitative Finance and R. It will introduce you several R libraries with clear explanations and examples. Just don't expect to complete the whole book in a few weeks!

Mastering R for Quantitative Finance: Use R to optimize your trading strategy and build up your own risk management system

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