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Quantitative Financial Programming with R Table of Contents


Table of Content
 

 

Quantitative Finance Basics

  • Fundamentals of Quantitative Finance
  • R Functions and Packages

Data Analysis using R Language

  • Introduction to Quantmod
  • Equity – Definitions and Price Download
  • Modeling Prices and Returns
  • Asset Returns Simulation
  • Financial Modeling with R: S&P500 Statistical Analysis

Fixed-Income Securities

  • Introduction to jrvFinance
  • Introduction to Fixed-Income Securities
  • The Importance of Interest Rate
  • Pricing of Fixed-Income Securities
  • Duration, Modified Duration, and Convexity
  • The Yield Curve and the Bootstrapping Approach

Derivatives

  • Introduction to Options
  • Working with Futures
  • European and American Options
  • Pricing European Options – The Binomial Model
  • Pricing European Options with the Black-Scholes Model

Risk Return Analysis

  • Introduction to PortfolioAnalytics
  • The Benefits of Diversification
  • Risk/Return Paradigm
  • Capital Allocation Line and Capital Market Line
  • Optimal Asset Allocation with Markowitz Framework

The CAPM Model

  • Introduction to PerformanceAnalytics
  • Idiosyncratic versus Systematic Risk
  • Risk Factors
  • The CAPM
  • Fama-French and Other Factor Models
  • Empirical Testing of the CAPM

Portfolio Risk Management

  • PerformanceAnalytics for Risk Management
  • The Value-at-Risk (VaR) Model
  • The Expected Shortfall (ES)
  • Benefits and Pitfalls of VaR Approach
  • Hedging Financial Exposure


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