Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R

$19.99

Download Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R written by Bertram K. C. Chan in PDF format. This book is under the category Calculus and bearing the isbn/isbn13 number 1119387612/9781119387619. You may reffer the table below for additional details of the book.

SKU: d0aa518d4d3b Category: Tag:

Specifications

book-author

Bertram K. C. Chan

publisher

Wiley; 1st edition

file-type

PDF

pages

524 pages

language

English

asin

B075KKC8QF

isbn10

1119387612

isbn13

9781119387619


Book Description

Illustrates how R may be used successfully to solve problems in quantitative finance

Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R (PDF) provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations; before moving on to topics related to asset allocation and portfolio optimization with R codes illustrated for various examples. This concise and clear ebook covers financial engineering; using R in data analysis; and univariate; bivariate; and multivariate data analysis. It examines probabilistic calculus for modeling financial engineering—walking the reader through building an effective financial model from the Geometric Brownian Motion (GBM) Model via probabilistic calculus; while also covering Ito Calculus. Classical mathematical models in financial engineering and modern portfolio theory are discussed—along with the Two Mutual Fund Theorem and The Sharpe Ratio. The ebook also looks at R as a calculator and using R in data analysis in financial engineering. Additionally; it covers asset allocation using R; financial risk modeling and portfolio optimization using R; global and local optimal values; locating functional maxima and minima; and portfolio optimization by performance analytics in CRAN.

  • Covers the GBM Model and the Random Walk Model
  • Answers the question: What does a “Random Walk” Financial Theory look like?
  • Covers optimization methodologies in probabilistic calculus for financial engineering
  • Examines modern theories of portfolio optimization; including The Markowitz Model of Modern Portfolio Theory (MPT); The Black-Litterman Model; and The Black-Scholes Option Pricing Model

Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R’s an ideal reference for professionals and students in economics; econometrics; and finance; as well as for financial investment quants and financial engineers.

Additional information

book-author

Bertram K. C. Chan

publisher

Wiley; 1st edition

file-type

PDF

pages

524 pages

language

English

asin

B075KKC8QF

isbn10

1119387612

isbn13

9781119387619

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