I used some spare time I had over the christmas break to review a book I came across: **Introduction to R for Quantitative Finance**. An introduction to the book by the authors can be found here.

The book targets folks with some finance knowledge but no or little experience with R. Each chapter is organised around a quant finance topic. Step by step, financial models are built with the associated R code allowing the reader to fully understand the transition from theory to implementation. It also includes some real life examples. The following concepts are covered:

Chap 1: Time Series Analysis

Chap 2: Portfolio Optimisation

Chap 3: Asset Pricing Model

Chap 4: Fixed Income Securities

Chap 5: Estimating the Term Structure of Interest Rates

Chap 6: Derivatives pricing

Chap 7: Credit Risk Management

Chap 8: Extreme Value Theory

Chap 9: Financial Networks

As an experimented R user, I didn’t expect to learn much but I was wrong. I didn’t know about the **GUIDE** package: a GUI for derivatives pricing, the **evir** package which gathers functions for extreme value theory and I also learned a few programming tricks.

All in all, this is an excellent book for anyone keen on learning R in a quantitative finance framework. I think it would have benefited from a formal introduction to R and a data Export/Import capabilities review but both topics are extensively covered in many other R resources.

As usual, any comments welcome

*Related*

To

**leave a comment** for the author, please follow the link and comment on their blog:

** The R Trader » R**.

R-bloggers.com offers

**daily e-mail updates** about

R news and

tutorials on topics such as:

Data science,

Big Data, R jobs, visualization (

ggplot2,

Boxplots,

maps,

animation), programming (

RStudio,

Sweave,

LaTeX,

SQL,

Eclipse,

git,

hadoop,

Web Scraping) statistics (

regression,

PCA,

time series,

trading) and more...

If you got this far, why not

__subscribe for updates__ from the site? Choose your flavor:

e-mail,

twitter,

RSS, or

facebook...