R programming and its applications in financial mathematics / Shuichi Ohsaki, Chief Japan Rates Strategist American Investment Bank, Tokyo, Japan, Jori Ruppert-Felsot, Equity Derivatives Trader, Tokyo, Japan, Daisuke Yoshikawa, Hokkai-Gakuen University, Sapporo, Hokkaido, Japan.
Material type: TextPublisher: Boca Raton, FL : CRC Press, Taylor & Francis Group, [2018]Edition: First EditionDescription: ix, 248 pages ; 24 cmContent type:- text
- unmediated
- volume
- 9781498766098 (hardback : alk. paper)
- 332.02855133 23 OHA.RPR
Item type | Current library | Home library | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Book | Campus Library Kariavattom Processing Center | Campus Library Kariavattom | 332.0285OHA.RPR (Browse shelf(Opens below)) | Available | UCL29126 |
Includes bibliographical references and index.
Introduction to R programming -- Statistics in finance -- Statistical analysis with R -- Time series analysis with R -- Basic theory of finance -- Modern portfolio theory and CAPM -- Interest rate swap and discount factor -- Discrete time model: tree model -- Continuous time model and the black-scholes formula -- Numerical methods in finance -- Monte Carlo simulation -- Derivative pricing with partial differential equations -- Appendix -- A Optimization with R -- B Noise reduction via Kalman filter -- C The other references on R -- References -- Index.
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