Cantitate/Preț
Produs

Applied Probabilistic Calculus for Financial Engineering – An Introduction Using R

Autor BKC Chan
en Limba Engleză Hardback – 7 dec 2017
Illustrates how R may be used successfully to solve problems in quantitative finance
Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R 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 clear and concise book 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 book 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 optimization methodologies in probabilistic calculus for financial engineering
  • Answers the question: What does a "Random Walk" Financial Theory look like?
  • Covers the GBM Model and the Random Walk Model
  • 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.
Citește tot Restrânge

Preț: 68818 lei

Preț vechi: 99513 lei
-31% Nou

Puncte Express: 1032

Preț estimativ în valută:
13170 13681$ 10940£

Carte indisponibilă temporar

Doresc să fiu notificat când acest titlu va fi disponibil:

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781119387619
ISBN-10: 1119387612
Pagini: 536
Dimensiuni: 153 x 235 x 30 mm
Greutate: 1 kg
Editura: Wiley
Locul publicării:Hoboken, United States

Public țintă

As a reference for professionals and students in economics, econometrics, and finance; financial investment quantists; financial engineers

Cuprins


Notă biografică

BERTRAM K. C. CHAN, PhD, is Consulting Biostatistician at the Loma Linda University Health, School of Medicine, Loma Linda, CA. Dr. Chan is also Software Development and Forum Lecturer at the School of Public Health, LLUH Department of Biostatistics and Epidemiology.