Paperback. Pub Date: 2017-03-01 Pages: $number Language: Chinese Publisher: People posts and Telecommunications publishing house R language is a language and operating environment for statistical analysis. drawing. and is a free. free. and Source-code-open software. It is a powerful tool for statistical calculation and statistical mapping. Quantitative Finance R Language Advanced teaching .

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Bibliographic Details

Title: Advanced Course in Quantitative Finance R language(Chinese Edition)
ISBN 10: 7115449821
ISBN 13: 9787115449825
Binding: paperback
Condition: New

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Synopsis

R语言是用于统计分析、绘图的语言和操作环境，是属于GNU系统的一个自由、免费、源代码开放的软件。它是一个用于统计计算和统计制图的强大工具。量化金融R语言高级教程通过13章的内容向读者详细介绍了使用R语言实现量化金融的方方面面。本书包括实证金融（第1～4章）、金融工程（第5～7章）、交易策略优化（第8～10章）和银行管理（第10～13章）等主题。量化金融R语言高级教程的目标读者是那些既熟悉基本金融概念又具有一定编程能力的人。通过阅读本书，读者可以了解R语言与量化金融相关的各类知识和编程技巧。R语言是数据处理的**工具，将R语言引入金融定量分析可以更好地优化分析过程，高效获取分析结果。本书是量化金融领域的R语言学习指南，通过阅读本书，读者可以了解核心的R语言建模技巧，掌握量化金融的关键技术。第1章时间序列分析11．1多元时间序列分析11．1．1协整21．1．2向量自回归模型51．1．3协整VAR和VECM121．2波动率建模151．2．1通过rugarch包进行GARCH建模191．2．2模拟和预测251．3小结261．4参考文献26第2章因素模型282．1套利定价理论282．1．1实现APT302．1．2Fama-French三因素模型302．2在R中建模312．2．1数据选择312．2．2通过主成分分析估计APT332．2．3Fama-French模型估计352．3小结422．4参考文献43第3章成交量预测443．1动机443．2交易强度453．3成交量预测模型463．4R的实现473．4．1数据483．4．2载入数据493．4．3季节成分513．4．4AR(1)的估计和预测533．4．5SETAR的估计和预测543．4．6结果解释553．5小结573．6参考文献58第4章大数据—高级分析594．1由开放资源获取数据594．2R大数据分析入门634．3大数据上的K-均值聚类644．3．1载入大矩阵654．3．2大数据K-均值聚类分析664．4大数据线性回归分析684．4．1载入大数据694．4．2在大型数据上拟合线性回归模型704．5小结704．6参考文献71第5章FX衍生品725．1术语和记号725．2货币期权745．3交换期权775．3．1二维维纳过程785．3．2Margrabe公式805．3．3在R中应用825．4quanto期权865．4．1看涨quanto的定价公式865．4．2在R中对看涨quanto定价885．5小结895．6参考文献89第6章利率衍生品和模型906．1Black模型906．2Vasicek模型956．3Cox-Ingersoll-Ross模型1016．4利率模型的参数估计1036．5使用SMFI5包1056．6小结1066．7参考文献106第7章奇异期权1077．1一般定价方法1077．2动态对冲的作用1087．3R如何发挥巨大作用1087．4超越香草期权的概述1097．5希腊字母——返回香草世界的链接1147．6对Double-no-touch期权定价1167．7对Double-no-touch定价的另一种方法1257．8Double-no-touch期权的有效期——一个模拟126

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