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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.

By: Contributor(s): Material type: TextTextPublisher: Boca Raton, FL : CRC Press, Taylor & Francis Group, [2018]Edition: First EditionDescription: ix, 248 pages ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9781498766098 (hardback : alk. paper)
Subject(s): DDC classification:
  • 332.02855133 23 OHA.RPR
Contents:
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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Holdings
Item type Current library Home library Call number Status Date due Barcode
Book 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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