finance

Pricing options on multiple assets (part 1) with trees

June 19, 2012 | 0 Comments

I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. An with a matrix-based language (R for instance), it is extremely simple to compute almost everything. Even multiple assets options. Let us see how ... [Read more...]

Correlations, dimension, and risk measure

May 4, 2012 | 0 Comments

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned... [Read more...]

Rmetrics financial engineering workshop

April 24, 2012 | 0 Comments

For those looking for an in-depth workshop on financial engineering with R, look no further than the R/Rmetrics Workshop and Summer School held annually in beautiful Meielisalp, Switzerland. This is an intimate workshop limited to around 50 participants, and features tutorials from leading practitioners in finance with R. This year's ... [Read more...]

See how Deloitte uses R for actuarial analysis

March 29, 2012 | 0 Comments

Many thanks to Jim Guszcza (Predictive Analytics lead at Deloitte Consulting and Assistant Professor at UW-Madison) who gave a great webinar presentation yesterday on actuarial analysis with R. Jim's demo (starting at the 20 minute mark in the video replay below) is a great way to get a sense of how ... [Read more...]

R/Finance 2012 program announced, registration open

March 21, 2012 | 0 Comments

Registration is now open for R/Finance 2012 in Chicago, the conference devoted to applications of R in the financial sector. The program has also been announced, with topics including: modelling insurance claim reserves; risk management in power markets; peer performance of hedge funds; hedging event risk; operational risk measurement with ... [Read more...]

Video: Using R in Academic Finance

March 13, 2012 | 0 Comments

The slides and replay for Dr Sanjiv Das's webinar, Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice are now available. I've embedded the slides below: they tell a great story of how Das, after being mistaken for the then-CEO of Citibank (with whom he ... [Read more...]

R in Financial Services Viewpoint newsletter

February 17, 2012 | 0 Comments

The Winter 2012 edition of Sybase's Financial Services Viewpoint newsletter includes two articles related to R. The "Industry Insight" article "R is Hot" (written by yours truly) is a one-page summary of the R phenomenon: what it is, how it's used, and how it's revolutionizing data analysis. The "Industry Insight" article ... [Read more...]

It is "simply" the average value

January 24, 2012 | 0 Comments

for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ... [Read more...]

Gold price and fear

January 18, 2012 | 0 Comments

Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-... [Read more...]

Optimization for Finance with R

January 9, 2012 | 0 Comments

Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the ... [Read more...]

You’ve got the whole world in your portfolio

December 29, 2011 | 0 Comments

A famous finance professor once told us that good diversification meant holding everything in the world. Fine, but in what proportion? Suppose you could invest in every country in the world. How much would you invest in each? In a market-capitalization weighted index, you'd invest in each country in proportion ... [Read more...]

Submit a paper to the R/Finance conference

December 19, 2011 | 0 Comments

For anybody using the R language to analyze financial data, the R/Finance conference is the conference of the year. If you have something to share about applied finance with R, the call for papers is now open. The details are below, and the deadline for submissions is January 31, 2012. R/... [Read more...]

Course: Financial Data Modeling and Analysis in R

November 28, 2011 | 0 Comments

The University of Washington is holding a web-based course which will be of interest to anyone who wants to learn about financial modeling with R: Financial Data Modeling and Analysis in R (AMATH 542) is a comprehensive introduction to the R statistical programming language for computational finance offered by the University ... [Read more...]

Webinar on Portfolio Rebalancing with R and Sybase

November 3, 2011 | 0 Comments

R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent intraday swings becoming the new normal, intraday risk controls are now needed to not ... [Read more...]
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