Analyzing Financial Data and Implementing Financial Models Using R

✍ Scribed by Clifford S. Ang (auth.)

• Publisher: Springer International Publishing
• Year: 2015
• Tongue: English
• Leaves: 360
• Series: Springer Texts in Business and Economics
• Edition: 1
• Category: Library

✦ Synopsis

This book is a comprehensive introduction to financial modeling that teaches advanced undergraduate and graduate students in finance and economics how to use R to analyze financial data and implement financial models. This text will show students how to obtain publicly available data, manipulate such data, implement the models, and generate typical output expected for a particular analysis.

This text aims to overcome several common obstacles in teaching financial modeling. First, most texts do not provide students with enough information to allow them to implement models from start to finish. In this book, we walk through each step in relatively more detail and show intermediate R output to help students make sure they are implementing the analyses correctly. Second, most books deal with sanitized or clean data that have been organized to suit a particular analysis. Consequently, many students do not know how to deal with real-world data or know how to apply simple data manipulation techniques to get the real-world data into a usable form. This book will expose students to the notion of data checking and make them aware of problems that exist when using real-world data. Third, most classes or texts use expensive commercial software or toolboxes. In this text, we use R to analyze financial data and implement models. R and the accompanying packages used in the text are freely available; therefore, any code or models we implement do not require any additional expenditure on the part of the student.

Demonstrating rigorous techniques applied to real-world data, this text covers a wide spectrum of timely and practical issues in financial modeling, including return and risk measurement, portfolio management, options pricing, and fixed income analysis.

✦ Table of Contents

Front Matter....Pages i-xvi
Prices....Pages 1-53
Individual Security Returns....Pages 55-78
Portfolio Returns....Pages 79-113
Risk....Pages 115-159
Factor Models....Pages 161-191
Risk-Adjusted Portfolio Performance Measures....Pages 193-208
Markowitz Mean-Variance Optimization....Pages 209-240
Fixed Income....Pages 241-302
Options....Pages 303-331
Back Matter....Pages 333-351

✦ Subjects

Finance/Investment/Banking; Econometrics; Financial Economics; Statistics and Computing/Statistics Programs