Applied probabilistic calculus for financial engineering : an introduction using R
By: Chan, Bertram K.C
Material type: BookPublisher: Hoboken, NJ : John Wiley & Sons, Inc., c2017.Description: xv, 514 p. : ill. ; 24 cm.ISBN: 9781119387619Subject(s): Financial engineering -- Mathematical models | Probabilities | Calculus | R (Computer program language)DDC classification: 332.015192 CH AP Online resources: Location MapItem type | Home library | Call number | Status | Notes | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 332.015192 CH AP (Browse shelf) | Available | May2018 | T0059865 |
, Shelving location: Main Collection Close shelf browser
332.0151 JE MA Mathematical methods for financial markets / | 332.015118 BE FI Financial modeling | 332.01519 KO PR Probability for finance / | 332.015192 CH AP Applied probabilistic calculus for financial engineering : | 332.015195 BR IN Introductory econometrics for finance | 332.015195 BR IN Introductory econometrics for finance | 332.015195 BR IN Introductory econometrics for finance |
Includes bibliographical references and index.
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.