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R Programming and Its Applications in Financial Mathematics book cover

1st Edition

R Programming and Its Applications in Financial Mathematics

By Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshikawa Copyright 2018
258 Pages
by CRC Press

258 Pages 4 Color & 62 B/W Illustrations
by CRC Press

258 Pages 4 Color & 62 B/W Illustrations
by CRC Press
Also available as eBook on:
This book provides an introduction to R programming and a summary of financial mathematics. It is not always easy for graduate students to grasp an overview of the theory of finance in an abstract form. For newcomers to the finance industry, it is not always obvious how to apply the abstract theory to the real financial data they encounter. Introducing finance theory alongside numerical... Read more

Preface. Introduction to R programming. SECTION I: STATISTICS IN FINANCE. Statistical Analysis with R. Time Series Analysis with R. SECTION II: BASIC THEORY OF FINANCE. Modern Portfolio Theory and CAPM. Interest Rate Swap and Discount Factor. Discrete Time Model: Tree Model. Continuous time model and Black-Scholes Formula. SECTION III: NUMERICAL METHODS IN FINANCE. Monte Carlo Simulation. Derivative Pricing with Partial Differential Equations. SECTION IV: APPENDIX. Optimization with R. Noise reduction via Kalman Filter. The Other References on R. References. Index.

Biography

After finishing a Ph.D course at Kyoto University, Dr. Daisuke Yoshikawa worked for Mizuho-DL financial technology and Bank of Japan. Meanwhile, Dr. Yoshikawa published a few refereed journal papers on finance. Currently, Dr. Yoshikawa is working for Hokkai-Gakuen University as a lecturer.

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