735 search results for "finance"

Using R to simulate the finances of public sector pension funds

September 2, 2014
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by Don Boyd, Senior Fellow, Rockefeller Institute of Government The Rockefeller Institute of Government is excited to be developing models to simulate the finances of public pension funds, using R. Public pension funds invest contributions from governments and public sector workers in an effort to ensure that they can pay all promised benefits when due. State and local government...

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Coursera course on computational finance with R

August 26, 2014
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Coursera course on computational finance with R

As of today (Tuesday 26th of August), a new session of Professor Eric Zivot’s course on computational finance and financial econometrics starts on Coursera. Just like the previous run of the course, most R labs and R assignments will take place in DataCamp’s interactive learning environment. Designed by Professor Eric Zivot (University of Washington), Introduction to computational

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Quantitative Finance applications in R – 8

August 12, 2014
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Quantitative Finance applications in R – 8

The latest in a series by Daniel Hanson Introduction Correlations between holdings in a portfolio are of course a key component in financial risk management. Borrowing a tool common in fields such as bioinformatics and genetics, we will look at how to use heat maps in R for visualizing correlations among financial returns, and examine behavior in both a...

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Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

July 1, 2014
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Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

by Daniel Hanson Recap and Introduction Last time in part 1 of this topic, we used the xts and lubridate packages to interpolate a zero rate for every date over the span of 30 years of market yield curve data. In this article, we will look at how we can implement the two essential functions of a term structure:...

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R/Finance 2014 Review

June 30, 2014
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It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex...

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Quantitative Finance Applications in R – 6: Constructing a Term Structure of Interest Rates Using R (Part 1)

June 10, 2014
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Quantitative Finance Applications in R – 6:   Constructing a Term Structure of Interest Rates Using R (Part 1)

by Daniel Hanson Introduction Last time, we used the discretization of a Brownian Motion process with a Monte Carlo method to simulate the returns of a single security, with the (rather strong) assumption of a fixed drift term and fixed volatility. We will return to this topic in a future article, as it relates to basic option pricing methods,...

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R / Finance 2014: Packaged Takeaways

May 29, 2014
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R / Finance 2014: Packaged Takeaways

by Joseph Rickert I was very happy to have been able to attend R / Finance 2014 which wrapped up a couple of weeks ago. In general, the talks were at a very high level of play, some dealing with brand new ideas and many presented at a significant level of technical or mathematical sophistication. Fortunately, most of the...

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Chicago, May 2014 – Meet us at R-in-Finance

May 19, 2014
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(This article was first published on Rmetrics blogs, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: Rmetrics blogs. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web...

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R and Finance

May 8, 2014
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by Joseph Rickert R/Finance 2014 is just about a week away. Over the past four or five years this has become my favorite conference. It is small (300 people this year), exceptionally well-run, and always offers an eclectic mix of theoretical mathematics, efficient, practical computing, industry best practices and trading “street smarts”. This clip of Blair Hull delivering a...

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Quantitative Finance Applications in R – 5: an Introduction to Monte Carlo Simulation

April 15, 2014
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Quantitative Finance Applications in R – 5: an Introduction to Monte Carlo Simulation

by Daniel Hanson Last time, we looked at the four-parameter Generalized Lambda Distribution, as a method of incorporating skew and kurtosis into an estimated distribution of market returns, and capturing the typical fat tails that the normal distribution cannot. Having said that, however, the Normal distribution can be useful in constructing Monte Carlo simulations, and it is still commonly...

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