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内容简介
《精通R语言:用于量化金融(影印版)(英文版)》是关于如何运用R语言的实践指南，按循序渐进的步骤编写而成从时间序列分析开始逐步介绍，你还将从中学到如何预测VWAP交易规模《精通R语言:用于量化金融(影印版)(英文版)》涵盖了FX衍生品、利率衍生品及最优对冲等其他相关主题最后几章将讲述流动性风险管理、风险评估等更多内容《精通R语言:用于量化金融(影印版)(英文版)》立足实际，介绍了量化金融概念和R语言建模方法，让你可以自行建立定制化的交易系统读完《精通R语言:用于量化金融(影印版)(英文版)》后，你将可以熟练运用R语言实现各种金融技术并且能够做出正确的金融决策。
目 录
Preface Chapter 1： Time Series Analysis Multivariate time series analysis Cointegration Vector autoregressive models VAR implementation example Cointeqrated VAR and VECM Volatility modeling GARCH modeling with the rugarch package The standard GARCH model The Exponential GARCH model （EGARCH） The Threshold GARCH model （TGARCH） Simulation and forecasting Summary References and reading list Chapter 2： Factor Models Arbitrage pricing theory Implementation of APT Fama—French three—factor model Modeling in R Data selection Estimation of APT with principal component analysis Estimation of the Fama—French model Summary References Chapter 3： Forecasting Volume Motivation The intensity of trading The volume forecasting model Implementation in R The data Loading the data The seasonal component AR（1） estimation and forecasting SETAR estimation and forecasting Interpreting the results Summary References Chapter 4： Big Data—Advanced Analytics Getting data from open sources Introduction to big data analysis in R K—means clustering on big data Loading big matrices Big data K—means clustering analysis Big data linear regression analysis Loading big data Fitting a linear regression model on large datasets Summary References Chapter 5： FX Derivatives Terminology and notations Currency options Exchange options Two—dimensional Wiener processes The Margrabe formula Application in R Quanto options Pricing formula for a call quanto Pricing a call quanto in R Summary References Chapter 6： Interest Rate Derivatives and Models The Black model Pricing a cap with Black”s model The Vasicek model The Cox—Ingersoll—Ross model Parameter estimation of interest rate models Using the SMF15 package Summary References Chapter 7： Exotic Options A general pricing approach The role of dynamic hedging How R can help a lot A glance beyond vanillas Greeks—the link back to the vanilla world Pricing the Double—no—touch option Anothe……
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