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