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Introduction To R For Quantitative Finance Paperback: 164 pages

Publisher: Packt Publishing (November 22, 2013)

Language: English

ISBN-10: 178328093X

ISBN-13: 978-1783280933

Product Dimensions: 7.5 x 0.4 x 9.2 inches

Shipping Weight: 13.3 ounces (View shipping rates and policies)

Average Customer Review: 3.0 out of 5 stars See all reviews (13 customer reviews)

Best Sellers Rank: #668,331 in Books (See Top 100 in Books) #104 in Books > Computers & Technology > Software > Personal Finance #121 in Books > Computers & Technology > Software > Accounting #420 in Books > Computers & Technology > Software > Mathematical & Statistical

As there are currently no R book which specifically cover quantitative finance in broader terms, the book is interesting for all finance guys who want to quickly understand implementation in R.The book is intended to be an introduction to R for readers with some knowledge in finance. It is basically a collection of self-contained essays on some well-known concepts of finance like portfolio optimization, term structure of interest rates and derivatives pricing. These concepts are then implemented in R. To really understand what is going on, a fairly advanced understanding of finance theory and econometrics (master level at least) and a working knowledge or R are required, although the authors claim that no prior R knowledge is needed. There is no R intro included and the code is not easy to follow through without prior knowledge (e.g. the apply functionality is utilized and for R novices this is a complicated animal since it is unique to R and is one of the hottest topics in all help forums). The R code is usually sound, however, there are parts where it could be simplified and there are parts of the code that are not fully explained.A drawback of the book is that it is very short and sometimes the text lacks technical precision or uses unconventional approaches (examples: if the conditions of the CAPM are satisfied, all securities will be on the SML while the text states that they “should” or “the APT states that, in equilibrium, no arbitrage opportunities can exist” – the APT is not an equilibrium model, absence of arbitrage is a necessary but not a sufficient condition for the existence of an equilibrium). At a later stage, it is said that the CAPM is an equilibrium model, while APT is a statistical model (it is in fact a no-arbitrage model).

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