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R Programming and Its Applications in Financial Mathematics


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Table of Contents

Preface. Introduction to R programming. SECTION I: STATISTICS IN FINANCE. Statistical Analysis with R. Time Series Analysis with R. SECTION II: BASIC THEORY OF FINANCE. Modern Portfolio Theory and CAPM. Interest Rate Swap and Discount Factor. Discrete Time Model: Tree Model. Continuous time model and Black-Scholes Formula. SECTION III: NUMERICAL METHODS IN FINANCE. Monte Carlo Simulation. Derivative Pricing with Partial Differential Equations. SECTION IV: APPENDIX. Optimization with R. Noise reduction via Kalman Filter. The Other References on R. References. Index.

About the Author

After finishing a Ph.D course at Kyoto University, Dr. Daisuke Yoshikawa worked for Mizuho-DL financial technology and Bank of Japan. Meanwhile, Dr. Yoshikawa published a few refereed journal papers on finance. Currently, Dr. Yoshikawa is working for Hokkai-Gakuen University as a lecturer.

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