Topics in Empirical Finance with R and Rmetrics

CHF 65.00
Topics in Empirical Finance with R and Rmetrics


Patrick Hénaff
Rmetrics eBooks 2013
Rmetrics Association & Finance Online Publishing, Zurich
199 pages, 53 figures
ISBN 978-3-906041-12-4


About the Book:

The book is a set of lecture notes used in a first year graduate course in empirical finance. The book focuses on the pricing and risk management of financial assets: bonds, options and other derivative securities.

The emphasis is resolutely empirical: we present models, discuss their implementation, and verify their relevance by testing them on real data. Throughout the text, we emphasize

  • an incremental approach to model building, starting from simple models, and building upon that foundation to construct more complex models, as needed
  • a data-driven approach: we implement all the models that are presented, using the R statistical package and the Rmetrics libraries
  • the systematic use of simulation as a way of validating modeling decisions or measuring various modeling biases.


About the Author:

Patrick Hénaff is Associate Professor at Université Paris-I (Panthéon-Sorbonne), where he teaches market finance to MBA students.
Prior to this, he spent many years in investment banking, in France and in the US, working in various quantitative research roles.
Patrick is a graduate of the Ecole des Hautes Etudes Commerciales (HEC) in Paris, and holds a PhD from the University of Texas (Austin).


Table of Contents: Download


Part 1: The Experimental Environment
Data Sources
Basic Components
The Simulation Framework

Part 2: Basic Fixed Income Instruments
Elementary Fixed Income Calculations
The Term Structure of Interest Rates Download
Fixed Income Risk Management

Part 3: Discrete Models for Derivatives
Risk-neutral Pricing in a Binomial Framework

Part 4: Derivatives in the Black-Scholes Framework
Price and Greeks in the Black-scholes Model
Dynamic Hedging in the Black-scholes Framework
Vanna-Volga Pricing and Hedging

Part 5: Stylized Facts on Asset Returns
Stylized Facts of Financial Data

Part 6: The Volatility Surface
The Implied Volatility
Building an Equity Volatility Surface Download
The Implied Distribution of Asset Price
Implied Trees