لایب سان

Author(s): Edina Berlinger

Publisher: Packt Publishing, Year: 2015

ISBN: 978-1-78355-207-8

Table of Contents Preface 1 Chapter 1: Time Series Analysis 7 Multivariate time series analysis 8 Cointegration 8 Vector autoregressive models 12 VAR implementation example 15 Cointegrated VAR and VECM 19 Volatility modeling 23 GARCH modeling with the rugarch package 28 The standard GARCH model 28 The Exponential GARCH model (EGARCH) 31 The Threshold GARCH model (TGARCH) 33 Simulation and forecasting 34 Summary 36 References and reading list 36 Chapter 2: Factor Models 39 Arbitrage pricing theory 39 Implementation of APT 42 Fama-French three-factor model 42 Modeling in R 43 Data selection 43 Estimation of APT with principal component analysis 46 Estimation of the Fama-French model 48 Summary 56 References 57 www.it-ebooks.info Table of Contents[ ii ] Chapter 3: Forecasting Volume 59 Motivation 59 The intensity of trading 60 The volume forecasting model 61 Implementation in R 63 The data 64 Loading the data 66 The seasonal component 67 AR(1) estimation and forecasting 69 SETAR estimation and forecasting 70 Interpreting the results 72 Summary 74 References 74 Chapter 4: Big Data – Advanced Analytics 77 Getting data from open sources 78 Introduction to big data analysis in R 83 K-means clustering on big data 84 Loading big matrices 84 Big data K-means clustering analysis 85 Big data linear regression analysis 89 Loading big data 89 Fitting a linear regression model on large datasets 90 Summary 91 References 91 Chapter 5: FX Derivatives 93 Terminology and notations 93 Currency options 96 Exchange options 99 Two-dimensional Wiener processes 100 The Margrabe formula 102 Application in R 106 Quanto options 109 Pricing formula for a call quanto 110 Pricing a call quanto in R 113 Summary 114 References 114 www.it-ebooks.info Table of Contents[ iii ] Chapter 6: Interest Rate Derivatives and Models 115 The Black model 116 Pricing a cap with Black's model 119 The Vasicek model 122 The Cox-Ingersoll-Ross model 128 Parameter estimation of interest rate models 132 Using the SMFI5 package 134 Summary 135 References 135 Chapter 7: Exotic Options 137 A general pricing approach 137 The role of dynamic hedging 138 How R can help a lot 138 A glance beyond vanillas 139 Greeks – the link back to the vanilla world 145 Pricing the Double-no-touch option 148 Another way to price the Double-no-touch option 160 The life of a Double-no-touch option – a simulation 161 Exotic options embedded in structured products 168 Summary 174 References 175 Chapter 8: Optimal Hedging 177 Hedging of derivatives 177 Market risk of derivatives 178 Static delta hedge 179 Dynamic delta hedge 179 Comparing the performance of delta hedging 185 Hedging in the presence of transaction costs 190 Optimization of the hedge 192 Optimal hedging in the case of absolute transaction costs 194 Optimal hedging in the case of relative transaction costs 196 Further extensions 198 Summary 199 References 199 www.it-ebooks.info Table of Contents[ iv ] Chapter 9: Fundamental Analysis 201 The basics of fundamental analysis 201 Collecting data 203 Revealing connections 207 Including multiple variables 208 Separating investment targets 209 Setting classification rules 215 Backtesting 217 Industry-specific investment 221 Summary 225 References 226 Chapter 10: Technical Analysis, Neural Networks, and Logoptimal Portfolios 227 Market efficiency 228 Technical analysis 228 The TA toolkit 229 Markets 230 Plotting charts - bitcoin 230 Built-in indicators 234 SMA and EMA 234 RSI 234 MACD 236 Candle patterns: key reversal 237 Evaluating the signals and managing the position 240 A word on money management 241 Wraping up 243 Neural networks 243 Forecasting bitcoin prices 245 Evaluation of the strategy 249 Logoptimal portfolios 249 A universally consistent, non-parametric investment strategy 250 Evaluation of the strategy 254 Summary 255 References 255 Chapter 11: Asset and Liability Management 257 Data preparation 258 Data source at first glance 260 Cash-flow generator functions 262 Preparing the cash-flow 265 Interest rate risk measurement 267 www.it-ebooks.info Table of Contents[ v ] Liquidity risk measurement 271 Modeling non-maturity deposits 273 A Model of deposit interest rate development 273 Static replication of non-maturity deposits 278 Summary 283 References 283 Chapter 12: Capital Adequacy 285 Principles of the Basel Accords 286 Basel I 286 Basel II 287 Minimum capital requirements 287 Supervisory review 289 Transparency 290 Basel III 290 Risk measures 292 Analytical VaR 294 Historical VaR 296 Monte-Carlo simulation 297 Risk categories 299 Market risk 299 Credit risk 305 Operational risk 311 Summary 313 References 313 Chapter 13: Systemic Risks 315 Systemic risk in a nutshell 315 The dataset used in our examples 317 Core-periphery decomposition 319 Implementation in R 321 Results 322 The Simulation method 323 The simulation 324 Implementation in R 325 Results 328 Possible interpretations and suggestions 332 Summary 332 References 333 Index 335 www.it-ebooks.info

برای ارسال نظر لطفا وارد شوید یا ثبت نام کنید