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Dedication
by Bertram K. C. Chan
Applied Probabilistic Calculus for Financial Engineering
Cover
Title Page
Copyright
Dedication
Preface
About the Companion Website
Chapter 1: Introduction to Financial Engineering
1.1 What Is Financial Engineering?
1.2 The Meaning of the Title of This Book
1.3 The Continuing Challenge in Financial Engineering
1.4 “Financial Engineering 101”: Modern Portfolio Theory
1.5 Asset Class Assumptions Modeling
1.6 Some Typical Examples of Proprietary Investment Funds
1.7 The Dow Jones Industrial Average (DJIA) and Inflation
1.8 Some Less Commendable Stock Investment Approaches
1.9 Developing Tools for Financial Engineering Analysis
Review Questions
Chapter 2: Probabilistic Calculus for Modeling Financial Engineering
2.1 Introduction to Financial Engineering
2.2 Mathematical Modeling in Financial Engineering
2.3 Building an Effective Financial Model from GBM via Probabilistic Calculus
2.4 A Continuous Financial Model Using Probabilistic Calculus: Stochastic Calculus, Ito Calculus
2.5 A Numerical Study of the Geometric Brownian Motion (GBM) Model and the Random Walk Model Using R
Review Questions and Exercises
Chapter 3: Classical Mathematical Models in Financial Engineering and Modern Portfolio Theory
3.1 An Introduction to the Cost of Money in the Financial Market
3.2 Modern Theories of Portfolio Optimization
3.3 The Black–Litterman Model
3.4 The Black–Scholes Option Pricing Model
3.5 The Black–Litterman Model
3.6 The Black–Litterman Model
3.7 The Black–Scholes Option Pricing Model
3.8 Some Worked Examples
Review Questions and Exercises
Solutions to Exercise 3: The Black-Scholes Equation
Chapter 4: Data Analysis Using R Programming
4.1 Data and Data Processing
Review Questions for Section 4.1
4.2 Beginning R
Review Questions for Section 4.2
4.3 R as a Calculator
Review Questions for Section 4.3
Exercises for Section 4.3
4.4 Using R in Data Analysis in Financial Engineering
Review Questions for Section 4.4
4.5 Univariate, Bivariate, and Multivariate Data Analysis
Review Questions for Section 4.5
Exercise for Section 4.5
Chapter 5: Assets Allocation Using R
5.1 Risk Aversion and the Assets Allocation Process
5.2 Classical Assets Allocation Approaches
5.3 Allocation with Time Varying Risk Aversion
5.4 Variable Risk Preference Bias
5.5 A Unified Approach for Time Varying Risk Aversion
5.6 Assets Allocation Worked Examples
Review Questions and Exercises
Chapter 6: Financial Risk Modeling and Portfolio Optimization Using R
6.1 Introduction to the Optimization Process
6.2 Optimization Methodologies in Probabilistic Calculus for Financial Engineering
6.3 Financial Risk Modeling and Portfolio Optimization
6.4 Portfolio Optimization Using R1
Review Questions and Exercises
References
Index
End User License Agreement
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Copyright
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Preface
Dedication
Dedicated to the glory of God and to my better half
Marie Nashed Yacoub Chan
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