References
by Edina Berlinger, Ferenc Illés, Milán Badics, Ádám Banai, Gergely Daróczi, Barbar
Mastering R for Quantitative Finance
- Mastering R for Quantitative Finance
- Table of Contents
- Mastering R for Quantitative Finance
- Credits
- About the Authors
- About the Reviewers
- www.PacktPub.com
- Preface
- 1. Time Series Analysis
- 2. Factor Models
- 3. Forecasting Volume
- 4. Big Data – Advanced Analytics
- 5. FX Derivatives
- 6. Interest Rate Derivatives and Models
- 7. Exotic Options
- A general pricing approach
- The role of dynamic hedging
- How R can help a lot
- A glance beyond vanillas
- Greeks – the link back to the vanilla world
- Pricing the Double-no-touch option
- Another way to price the Double-no-touch option
- The life of a Double-no-touch option – a simulation
- Exotic options embedded in structured products
- Summary
- References
- 8. Optimal Hedging
- 9. Fundamental Analysis
- 10. Technical Analysis, Neural Networks, and Logoptimal Portfolios
- 11. Asset and Liability Management
- 12. Capital Adequacy
- 13. Systemic Risks
- Index
- Bessis, Joel (2011): Risk management in banking, John Wiley & Sons.
- Choudhry, Moorad (2011): Bank asset and liability management: strategy, trading, analysis, John Wiley & Sons.
- Matz, Leonard and Neu, Peter (2006): Liquidity risk measurement and management: A practitioner's guide to global best practices, John Wiley & Sons.
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