New eBook: Topics in Empirical Finance

We are proud to announce a new eBook entitled Topics in Empirical Finance with R and Rmetrics written by Prof. Patrick Hénaff.

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

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.