Applied probabilistic calculus for financial engineering : (Record no. 34171)
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LIBRARY OF CONGRESS CONTROL NUMBER | |
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LC control number | 2017024496 |
INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9781119387619 |
DEWEY DECIMAL CLASSIFICATION NUMBER | |
Call number | 332.015192 CH AP |
MAIN ENTRY--PERSONAL NAME | |
Authors | Chan, Bertram K.C. |
TITLE STATEMENT | |
Title | Applied probabilistic calculus for financial engineering : |
Subtitle | an introduction using R |
Statement of responsibility, etc | Bertram K.C. Chan |
PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication | Hoboken, NJ : |
Publisher | John Wiley & Sons, Inc., |
Date | c2017. |
PHYSICAL DESCRIPTION | |
Extent | xv, 514 p. : |
Other Details | ill. ; |
Size | 24 cm. |
SUMMARY | |
Summary | 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. |
SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Heading | Financial engineering |
General | Mathematical models |
SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Heading | Probabilities |
SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Heading | Calculus |
SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Heading | R (Computer program language) |
ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | https://uowd.box.com/s/pt7ua7snw6ozp2esihutqufazw66gc49 |
Public note | Location Map |
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Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Permanent location | Current location | Shelving location | Date acquired | Source of acquisition | Total Checkouts | Full call number | Barcode | Date last seen | Date last borrowed | Price effective from | Koha item type | Public note |
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University of Wollongong in Dubai | University of Wollongong in Dubai | Main Collection | 2018-05-20 | AMAUK | 1 | 332.015192 CH AP | T0059865 | 2019-12-07 | 2019-11-17 | 2018-05-08 | REGULAR | May2018 |