精通R语言：用于量化金融 英文2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载

精通R语言：用于量化金融 英文PDF格式电子书版下载

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Preface1

Chapter 1:Time Series Analysis7

Multivariate time series analysis8

Cointegration8

Vector autoregressive models12

VAR implementation example15

Cointegrated VAR and VECM19

Volatility modeling23

GARCH modeling with the rugarch package28

The standard GARCH model28

The Exponential GARCH model(EGARCH)31

The Threshold GARCH model(TGARCH)33

Simulation and forecasting34

Summary36

References and reading list36

Chapter 2:Factor Models39

Arbitrage pricing theory39

Implementation of APT42

Fama-French three-factor model42

Modeling in R43

Data selection43

Estimation of APT with principal component analysis46

Estimation of the Fama-French model48

Summary56

References57

Chapter 3:Forecasting Volume59

Motivation59

The intensity of trading60

The volume forecasting model61

Implementation in R63

The data64

Loading the data66

The seasonal component67

AR(1)estimation and forecasting69

SETAR estimation and forecasting70

Interpreting the results72

Summary74

References74

Chapter 4:Bia Data－Advanced Analytics77

Getting data from open sources78

Introduction to big data analysis in R83

K-means clustering on big data84

Loading big matrices84

Big data K-means clustering analysis85

Big data linear regression analysis89

Loading big data89

Fitting a linear regression model on large datasets90

Summary91

References91

Chapter 5:FX Derivatives93

Terminology and notations93

Currency options96

Exchange options99

Two-dimensional Wiener processes100

The Margrabe formula102

Application in R106

Quanto options109

Pricing formula for a call quanto110

Pricing a call quanto in R113

Summary114

References114

Chapter 6:Interest Rate Derivatives and Models115

The Black model116

Pricing a cap with Black's model119

The Vasicek model122

The Cox-Ingersoll-Ross model128

Parameter estimation of interest rate models132

Using the SMFI5 package134

Summary135

References135

Chapter 7:Exotic Options137

A general pricing approach137

The role of dynamic hedging138

How R can help a lot138

A glance beyond vanillas139

Greeks－the link back to the vanilla world145

Pricing the Double-no-touch option148

Another way to price the Double-no-touch option160

The life of a Double-no-touch option-a simulation161

Exotic options embedded in structured products168

Summary174

References175

Chapter 8:Optimal Hedging177

Hedging of derivatives177

Market risk of derivatives178

Static delta hedge179

Dynamic delta hedge179

Comparing the performance of delta hedging185

Hedging in the presence of transaction costs190

Optimization of the hedge192

Optimal hedging in the case of absolute transaction costs194

Optimal hedging in the case of relative transaction costs196

Further extensions198

Summary199

References199

Chapter 9:Fundamental Analysis201

The basics of fundamental analysis201

Collecting data203

Revealing connections207

Including multiple variables208

Separating investment targets209

Setting classification rules215

Backtesting217

Industry-specific investment221

Summary225

References226

Chapter 10:Technical Analysis,Neural Networks,and Logoptimal Portfolios227

Market efriciency228

Technical analysis228

The TA toolkit229

Markets230

Plotting charts-bitcoin230

Built-in indicators234

SMA and EMA234

RSI234

MACD236

Candle patterns:key reversal237

Evaluating the signals and managing the position240

A word on money management241

Wraping up243

Neural networks243

Forecasting bitcoin prices245

Evaluation of the strategy249

Logoptimal portfolios249

A universally consistent,non-parametric investment strategy250

Evaluation of the strategy254

Summary255

References255

Chapter 11:Asset and Liability Management257

Data preparation258

Data source at first glance260

Cash-flow generator functions262

Preparing the cash-flow265

Interest rate risk measurement267

Liquidity risk measurement271

Modeling non-maturity deposits273

A Model of deposit interest rate development273

Static replication of non-maturity deposits278

Summary283

References283

Chapter 12:Capital Adequacy285

Principles of the Basel Accords286

Basel Ⅰ286

Basel Ⅱ287

Minimum capital requirements287

Supervisory review289

Transparency290

Basel Ⅲ290

Risk measures292

Analytical VaR294

Historical VaR296

Monte-Carlo simulation297

Risk categories299

Market risk299

Credit risk305

Operational risk311

Summary313

References313

Chapter 13:Systemic Risks315

Systemic risk in a nutshell315

The dataset used in our examples317

Core-periphery decomposition319

Implementation in R321

Results322

The Simulation method323

The simulation324

Implementation in R325

Results328

Possible interpretations and suggestions332

Summary332

References333

Index335