Introduction to R for Quantitative Finance – Book Review

[This article was first published on The R Trader » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

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.

Introduction to R for Quantitative Finance - cover picture

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

To leave a comment for the author, please follow the link and comment on their blog: The R Trader » R. offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)