An introductory book on Quantitative Finance and R I co-authored with some learned faculty members of the Corvinus University of Budapest (Michael Puhle, Edina Berlinger, Péter Csóka, Dániel Havran, Ferenc Illés, Tamás Makara, Márton Michaletzky, Zsolt Tulassay, Varadi Kata and Ágnes Vidovics-Dancs) has been recently published at Packt:

I really hope that this mini-book would be of assistance for those, who already have some experience with finance, but would also love to get familiar with the R language and to solve real-life quantitative finance problems with the help of the “lingua franca” of statistical analysis.

Although the book is intended to be rather practical and it focuses on a number of clear and practical examples and some R implementations, it also covers the essentials of the related finance materials at the beginning of each chapter. This also helped me a lot to grasp what’s going on in the background, as my role was to provide R code for the book without any former finance education 🙂

Nevertheless, the book covers a wide range of quantitative finance-related topics introduced and discussed by the faculty members of the Department of Finance at BCE, such as:

• Time series analysis
• Portfolio optimization
• Asset pricing models
• Fixed income securities
• Term structure of interest rates
• Derivative pricing
• Credit risk models and management
• Extreme value theory
• Finance networks