精通R语言——用于量化金融

Preface
Chapter 1: Time Series Analysis
  Multivariate time series analysis
    Cointegration
    Vector autoregressive models
      VAR implementation example
    Cointegrated VAR and VECM
   Volatility modeling
    GARCH modeling with the rugarch package
      The standard GARCH model
      The Exponential GARCH model (EGARCH)
      The Threshold GARCH model (TGARCH)
    Simulation and forecasting
  Summary
  References and reading list
Chapter 2: Factor Models
  Arbitrage pricing theory
    Implementation of APT
    Fama-French three-factor model
  Modeling in R
    Data selection
    Estimation of APT with principal component analysis
    Estimation of the Fama-French model
  Summary
   References
Chapter 3: Forecasting Volume
  Motivation
  The intensity of trading
  The volume forecasting model
  Implementation in R
    The data
    Loading the data
    The seasonal component
    AR(1) estimation and forecasting
    SETAR estimation and forecasting
    Interpreting the results
  Summary
  References
Chapter 4: Big Data - Advanced Analytics
  Getting data from open sources
  Introduction to big data analysis in R
  K-means clustering on big data
    Loading big matrices
    Big data K-means clustering analysis
  Big data linear regression analysis
    Loading big data
    Fitting a linear regression model on large datasets
  Summary
  References
Chapter 5: FX Derivatives
  Terminology and notations
  Currency options
  Exchange options
    Two-dimensional Wiener processes
    The Margrabe formula
    Application in R
  Quanto options
    Pricing formula for a call quanto
    Pricing a call quanto in R
  Summary
  References
Chapter 6: Interest Rate Derivatives and Models
  The Black model
    Pricing a cap with Black's model
  The Vasicek model
  The Cox-Ingersoll-Ross model
  Parameter estimation of interest rate models
  Using the SMFI5 package
  Summary
  References
Chapter 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 structurecl products
  Summary
  References
Chapter 8: Optimal Hedging
  Hedging of derivatives
    Market risk of derivatives
    Static delta hedge
    Dynamic delta hedge
    Comparing the performance of delta hedging
  Hedging in the presence of transaction costs
    Optimization of the hedge
    Optimal hedging in the case of absolute transaction costs
    Optimal hedging in the case of relative transaction costs
  Further extensions
  Summary
  References
Chapter 9: Fundamental Analysis
  The basics of fundamental analysis
  Collecting data
  Revealing connections
  Including multiple variables
  Separating investment targets
  Setting classification rules
  Backtesting
  Industry-specific investment
  Summary
  References
Chapter 10: Technical Analysis, Neural Networks, and Logoptimal Portfolios
  Market efficiency
  Technical analysis
    The TA toolkit
    Markets
    Plotting charts - bitcoin
    Built-in indicators
      SMA and EMA
      RSI
      MACD
    Candle patterns: key reversal
    Evaluating the signals and managing the position
    A word on money management
    Wraping up
  Neural networks,
    Forecasting bitcoin prices
      Evaluation of the strategy
  Logoptimal portfolios
    A universally consistent, non-parametric investment strategy
    Evaluation of the strategy
  Summary
  References
Chapter 11: Asset and Liability Management
  Data preparation
    Data source at first glance
    Cash-flow generator functions
    Preparing the cash-flow
  Interest rate risk measurement
    Liquidity risk measurement
  Modeling non-maturity deposits
    A Model of deposit interest rate development
    Static replication of non-maturity deposits
  Summary
  References
Chapter 12: Capital Adequacy
  Principles of the Basel Accords
    Basel I
    Basel II
      Minimum capital requirements
      Supervisory review
      Transparency
    Basel III
  Risk measures
    Analytical VaR
      Historical VaR
      Monte-Carlo simulation
  Risk categories
    Market risk
    Credit risk
    Operational risk
  Summary
  References
Chapter 13: Systemic Risks
  Systemic risk in a nutshell
  The dataset used in our examples
  Core-periphery decomposition
    Implementation in R
    Results
  The Simulation method
    The simulation
    Implementation in R
    Results
  Possible interpretations and suggestions
  Summary
  References
Index