R/Rmetrics Workshop Singapore 2010

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R/Rmetrics Workshop Singapore 2010

Editors

Diethelm Würtz, Mahendra Mehta, David Scott, Juri Hinz
Rmetrics eBooks 2010
Rmetrics Association & Finance Online Publishing, Zurich
ISBN: 978-3-906041-08-7

 

About this Book

This eBook publishes the abstracts and most of the presentations given at the R/Rmetrics Workshop on "Topics in Computational Finance" at National University of Singapore in February 2010.

 

Table of Contents

Welcome

Part I: Friday Morning Session
Stefano Iacus, An R framework for Simulation and Inference of Stochastic Differential Equations
Juri Hinz, A Monte Carlo Method for Optimal Stochastic Control problems with Convex Value Functions
David Scott, Modeling Financial Return Distributions Using the Generalized Lambda Distribution
Marc Paolella, An Asymmetric Multivariate Student's t Distribution Endowed with Different Degrees of Freedom

Part II: Friday Afternoon Session
Vikram Kuriyan, Global Financial Crises of 2008-2009
Bernard Lee, An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers
Kam Fong Chan, Spillover Effect Between the Credit Default Swaps (CDS) and the Stock Market

Andrew Ellis, The R/Rmetrics Open Source Project
Anmol Sethy, fxregime: A Tool for Exchange Rate Analytics
Karim Chine, Elastic-R: A Google docs-like Portal for Data Analysis in the Cloud

Part III: Saturday Morning Session
Defeng Sun, A Majorized Penalty Approach for Calibrating Rank Constrained Correlation Matrix Problems
Yohan Chalabi, Outlier Resistant GARCH Modeling
Joel Yu, A Markov-switching Model of the Won-Dollar Rate
Leong Chee Kia, Learning Bayesian Network for Credit and RiskScoring
Diethelm W
ürtz, Postmodern Approaches to Portfolio Design
Pratap Sondhi, The Evaluation of Bank and Sector Resilience to Systemic Shocks

Appendix:
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