R/Rmetrics Workshop Meielisalp 2010

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Diethelm Würtz, Stefano Iacus, Mahendra Mehta, David Scott
Rmetrics eBooks 2010
358 pages
Rmetrics Association and Finance Online Publishing, Zurich
ISBN: 978-3-906041-09-4

About the Book:

This eBook publishes the abstracts and most of the presentations given at the R/Rmetrics Workshop on "Computational Finance and Financial Engineering" at Meielisalp, Lake Thue, Switzerland, in June 2010.

Table of Contens:

Welcome

Part I: Presentations on Monday
Alexander McNeil - Copulas with Examples in R
Martin Maechler - Nested Archimedean Copulas Meet R
David Scott - Modeling Financial Return Distributions Using the Generalized Lambda Distribution
Yohann Chalabi - Outlier Resistant GARCH Modeling
Stefabo Iacus - Model Identification for Discretely Observed Stochastic Differential Equations
Wolfgang Polasek - Sales Response Functions with Stochastic Derivative Constraints
Alexander Eisl - Exploring the Performance of Government Debt Issuance
Patrick Henaff - A Normalized Measure of Model Risk
Christian Fieberg - Web Application based Valuation of Exotic Securities
Karim Chine - Elastic-R, a Google docs-like Portal for Data Analysis in the Cloud

Part II: Presentations on Tuesday
Nakahiro Yoshida - Inference for Discretely Observed Diffusion Processes
Mahendra Mehta - Recent Financial Crisis: A Look, Perspective and Lessons
Vikram Kuriyan - Global Financial Crises of 2008-‐2009

Part III: Presentations on Wednesday
Eric Zivot - Analysis of High Frequency Data in R
Stefan Theussl - Many Solvers, One Interface: ROI, the R Optimization Infrastructure Package
Peter Carl - Business Objectives and Complex Portfolio Optimization
Diethelm Wuertz - Portfolio Analysis and Optimization with R/Rmetrics
Wolfgang Breymann - Cash Flow Modeling and Valuation of a Swiss Pension Fund
Marc Wildi - Financial Trading: Fundamental and Intrinsic Perspectives
Markus Gesmann - ChainLadder: Modeling insurance claim reserves with R
Charles Roosen - Mainstream Application Development wsith R
Romain Francois - Rcpp: Seamless R and C++ Integration
Dominik Locher - Optimally Balanced and Diversified Portfolios
Andrew Ellis - Rmetrics2AMPL: An R Optimization Interface for AMPL
Marc Weibel - Is my pension fund safe?
Sebastian Perez Saaibi - R/Rmetrics Generator Tool for Google Motion Charts

Part III: Presentations on Thursday
Eckhard Platen - A Benchmark Approach for Quantitative Finance

Appendix
Program
Sponsors
About Rmetrics

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