CHF 128.00

Diethelm Würtz, Tobias Setz, Yohan Chalabi, Longhow Lam, Andrew Ellis

Rmetrics eBooks 2010, NEW: Update 2015

Rmetrics Association & Finance Online Publishing, Zurich

304 pages, 48 figures

ISBN: 978-3-906041-02-5

This is an introductory book about the rapid model prototyping language R. It is especially suited to programmers and researcher in finance and insurance. What sets this book apart from all the other introductory R books is the number of examples from computational finance and financial engineering. Part 1 to 4 give an introduction to the R language and environment: Computations, programming, plotting, statistics and inference. Part 5 to 8 are dedicated to case studies: Utility functions, asset management, option valuation and portfolio design. The NEW Update 2015 supports R Version 3.2.

**Diethelm Würtz** is Professor at the “Swiss Federal Institute of Technology”

(ETH) in Zurich. Diethelm is teaching regular ETH lectures and seminars in Computational Finance and Financial Engineering. He is involved in the organization of the “Rmetrics Summer Schools” and in several international workshops, courses and meetings in Europe and Asia. He is President of the Open Source “Rmetrics Association”, Senior Partner of “Finance Online GmbH” and Co-Founder of “Sidenis AG” in Zurich.

**Tobias Setz** holds a master in Computational Science and Engineering from ETH in Zurich with a major specialization in theoretical physics and a minor specialization in financial engineering. Currently he is doing his PhD in the Econophysics group of Prof Diethelm Würtz. In his theses he focused on stability indicators to describe the condition of financial or economic markets or to improve trading strategies. Besides this academic work, he is also a developer of the R/Rmetrics packages covering time series analysis and portfolio optimization (www.rmetrics.org).

**Andrew Ellis** read neuroscience and mathematics at the University in Zurich. He did a Student Internship in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Andrew is worked on the Rmetrics documentation project and co-authored this ebook on portfolio optimization with Rmetrics.

**Yohan Chalabi** has a master in Physics from the Swiss Federal Institute of Technology in Lausanne. He made his Doctorat Degree in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Yohan is a co-author of the Rmetrics packages.

**Preface** **Introduction**

**Part 1: Computations**

Data Structures

Data Manipulation

Importing and Exporting Data

Object Types

**Part 2: Programming**

Writing Functions

Debugging Your R Functions

Efficient Calculations

Object Orientation

**Part 3: Plotting**

High Level Plots

Customizing Plots

Graphical Devices

**Part 4: Statistics and Inference**

Basic Statistical Functions

More About Time Series Objects

Linear Time Series Analysis

Regression Models

Dissimilarities of Data Records

**Part 5: Case Studies: Utility Functions**

Compute Skewness and Kurtosis Statistics

Extracting Package Descriptions

Function Listing and Counting

**Part 6: Case Studies: Asset Managment**

Generalized Error Distribution

Skewed Return Distribution

Jarque-Bera Hypothesis Test

PCA Ordering of Assets

Clustering of Asset Returns

**Part 7: Case Studies: Option Valuation**

Black Scholes Option Price

Black Scholes Option Greeks

American Calls with Dividends

Monte Carlo Option Pricing

**Part 8: Case Studies: Portfolio Design**

Mean-Variance Markowitz Portfolio

Markowitz Tangency Portfolio

Long-only Portfolio Frontier

Minimum Regret Portfolio