Applied probabilistic calculus for financial engineering : an introduction using R
by Bertram K.C. Chan.
Intro -- Title Page -- Copyright -- Dedication -- Preface -- About the Companion Website -- Chapter 1: Introduction to Financial Engineering -- 1.1 What Is Financial Engineering? -- 1.2 The Meaning of the Title of This Book -- 1.3 The Continuing Challenge in Financial Engineering -- 1.4 "Financial Engineering 101": Modern Portfolio Theory -- 1.5 Asset Class Assumptions Modeling -- 1.6 Some Typical Examples of Proprietary Investment Funds -- 1.7 The Dow Jones Industrial Average (DJIA) and Inflation -- 1.8 Some Less Commendable Stock Investment Approaches -- 1.9 Developing Tools for Financial Engineering Analysis -- Review Questions -- Chapter 2: Probabilistic Calculus for Modeling Financial Engineering -- 2.1 Introduction to Financial Engineering -- 2.2 Mathematical Modeling in Financial Engineering -- 2.3 Building an Effective Financial Model from GBM via Probabilistic Calculus -- 2.4 A Continuous Financial Model Using Probabilistic Calculus: Stochastic Calculus, Ito Calculus -- 2.5 A Numerical Study of the Geometric Brownian Motion (GBM) Model and the Random Walk Model Using R -- Review Questions and Exercises -- Chapter 3: Classical Mathematical Models in Financial Engineering and Modern Portfolio Theory -- 3.1 An Introduction to the Cost of Money in the Financial Market -- 3.2 Modern Theories of Portfolio Optimization -- 3.3 The Black-Litterman Model -- 3.4 The Black-Scholes Option Pricing Model -- 3.5 The Black-Litterman Model -- 3.6 The Black-Litterman Model -- 3.7 The Black-Scholes Option Pricing Model -- 3.8 Some Worked Examples -- Review Questions and Exercises -- Solutions to Exercise 3: The Black-Scholes Equation -- Chapter 4: Data Analysis Using R Programming -- 4.1 Data and Data Processing -- Review Questions for Section 4.1 -- 4.2 Beginning R -- Review Questions for Section 4.2 -- 4.3 R as a Calculator.
Year of publication: |
2017
|
---|---|
Authors: | Chan, B. K. C |
Publisher: |
Newark : John Wiley & Sons, Incorporated |
Subject: | Financial Engineering | Financial engineering | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection | Software |
Description of contents: | Table of Contents [gbv.de] |
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