Building Quantitative Finance Applications with R

Sat, 06 Jan 2024 00:00:00 +0000

Building Quantitative Finance Applications with R, is offered with two goals: First, assist financial analysts in developing their own unique quantitative financial models. Second, aid in tooling these analysts to express their models with the R computer language. Both goals are now easily within reach of the aspiring financial analyst. Every effort is made here to keep the R programming elementary .

Thus Building Quantitative Finance Applications with R is written to assist financial analysts to quickly learn to express their ideas in the R computer language.

Also quantitative finance is now widely applied in a variety of career fields. Quantitative financial analysts are now needed in a variety of different arenas. The ability for these analysts to express their own ideas in R is a highly valued skill.

Finance is a social science. Thus, as ideas about how certain financial products should be valued and managed evolve, the actual value and risk properties also change. Therefore, there will never be a “theory of everything” in finance. More likely, we should be surprised if there ever appears a “theory of anything” that endures for very long.

Because of the dynamic nature of financial markets, financial analysts need to be able to rapidly adapt their valuation and risk management models to changing times. Rather than rely on faulty communication between analysts and professional programmers, financial analysts can express their ideas in prototype R code. This ability dramatically reduces errors and allows financial analysts greater precision in expressing their ideas.

Building Quantitative Finance Applications with R is written for college students and entry-level financial analysts. No prior knowledge of programming is assumed. As with any language, having access to multiple sources when learning technical material is highly recommended. Therefore, it is assumed that you have access to several introductory R books or similar web-based materials.

There are several other books linking quantitative finance with computer programming. The approach taken here is distinctly different. Rather than present state-of-the-art programming techniques, we use only elementary R. Rarely do financial analysts want to become professional programmers. Rather, they want to rapidly learn how to express their unique analytical ideas in a form that the computer can run. Therefore, we focus on the minimal set of computer programming tools necessary to perform this task.

Although the book form is undecided, the expected publication date is early 2024. There is a YouTube Channel dedicated to presenting this material even though the book is not finished. Please consider subscribing (and liking) @FRMHelpForYou. Channel direct link: https://www.youtube.com/@FRMHelpForYou

Supporting materials as new YouTube videos are posted is found here:

Chapter 1: Introduction (8/24/23)
Chapter 1 Zip File

YouTube Video Links for Chapter 1 Introduction
Chapter 1, Part 1 (Introduction):
https://www.youtube.com/watch?v=W1zZaf8NtF4
Chapter 1, Part 2 (Reasons):
https://www.youtube.com/watch?v=WW55KnZaoZA
Chapter 1, Part 3 (Why R):
https://www.youtube.com/watch?v=whOpDuCEwsk
Chapter 1, Part 4 (R Code):
https://www.youtube.com/watch?v=YYV91ZcNqJg

Chapter 2: Approaches to Valuation (8/28/23)
Chapter 2 Zip File

YouTube Video Links for Chapter 2 Approaches to Valuation
Chapter 2, Part 1 (Introduction):
https://www.youtube.com/watch?v=41k6-NqcurE
Chapter 2, Part 2 (MCA):
https://www.youtube.com/watch?v=SJ2HzTntDgc
Chapter 2, Part 3 (CFAA):
https://www.youtube.com/watch?v=slJ-_EUyumU
Chapter 2, Part 4 (DFAA):
https://www.youtube.com/watch?v=55MwgA41DX4
Chapter 2, Part 5 (R Code):
https://www.youtube.com/watch?v=4O5n8YbZ-GQ

Chapter 3: Quantitative Finance Tools (8/30/23)
Chapter 3 Zip File

YouTube Video Links for Chapter 3 Tools
Chapter 3, Module 1 (Calendar):
https://www.youtube.com/watch?v=wL4a3v-d8Hg
Chapter 3, Module 2 (CDF):
https://www.youtube.com/watch?v=niZOKgJrrb0
Chapter 3, Module 3 (Univariate Random Number Generation):
https://www.youtube.com/watch?v=mlHBom0nlCQ
Chapter 3, Module 4, Part 1 (LSC):
https://www.youtube.com/watch?v=732V_KISTv4
Chapter 3, Module 4, Part 2 (LSC and Rates):
https://www.youtube.com/watch?v=HkTHA6Nvl6g
Chapter 3, Module 4, Part 3 (R Code):
https://www.youtube.com/watch?v=JP6OvNBLZeo
Chapter 3, Module 5 (Sorting):
https://www.youtube.com/watch?v=_RVwEhnqWTw
Chapter 3, Module 6 (Embedded Parameters):
https://www.youtube.com/watch?v=sQ8a7Xd_kP0
Chapter 3, Module 7, Part 1 (Lognormal and Normal Distributions):
https://www.youtube.com/watch?v=pFOlYMxpvZo
Chapter 3, Module 7, Part 2 (Illustrations, R Code):
https://www.youtube.com/watch?v=PwpEqF1CNik

Chapter 4: Valuation Bonds and Stocks (9/1/23)
Chapter 4 Zip File

YouTube Video Links for Chapter 4 Valuation Bonds and Stocks
Chapter 4, Module 1, Part 1 (UST):
https://www.youtube.com/watch?v=mjUqTu06vo8
Chapter 4, Module 1, Part 2 (UST, LSC, R Code):
https://www.youtube.com/watch?v=emZd30Wejjk
Chapter 4, Module 2, Part 1 (Corporate Bonds):
https://www.youtube.com/watch?v=CsycS7MLsXo
Chapter 4, Module 2, Part 2 (Corporate Bonds):
https://www.youtube.com/watch?v=FnVxRB4dpVg
Chapter 4, Module 3, Part 1 (Stocks):
https://www.youtube.com/watch?v=OjYAPFvlLZM
Chapter 4, Module 3, Part 2 (Stocks and LSC):
https://www.youtube.com/watch?v=5nm2F_wyTAU
Chapter 4, Module 3, Part 3 (Stocks):
https://www.youtube.com/watch?v=Q-_BAHknbIg

Chapter 5: Valuation Options (9/12/23)
Chapter 5 Zip File

YouTube Video Links for Chapter 5 Valuation Options
Chapter 5, Module 1, Part 1 (Boundaries and Parities):
https://www.youtube.com/watch?v=KS1xUUV4i8M
Chapter 5, Module 1, Part 2 (Boundaries and Parities):
https://www.youtube.com/watch?v=dr_1PSxp7Gk
Chapter 5, Module 1, Part 3 (Boundaries and Parities):
https://www.youtube.com/watch?v=8FIj_NOuspo
Chapter 5, Module 2, Part 1 (GBM-Based Binomial):
https://www.youtube.com/watch?v=rPpN40yCtus
Chapter 5, Module 2, Part 2 (GBM-Based Binomial):
https://www.youtube.com/watch?v=5vuSwqyiV5c
Chapter 5, Module 2, Part 3 (GBM-Based Binomial):
https://www.youtube.com/watch?v=Rmds2Iula_I
Chapter 5, Module 3, Part 1 (ABM-Based Binomial):
https://www.youtube.com/watch?v=AMM4HMJfCF4
Chapter 5, Module 3, Part 2 (ABM-Based Binomial):
https://www.youtube.com/watch?v=KHh635KEXlg
Chapter 5, Module 4, Part 1 (GBMOVM):
https://www.youtube.com/watch?v=1a-Jnmc4zUQ
Chapter 5, Module 5, Part 1 (ABMOVM):
https://www.youtube.com/watch?v=NUAuYnOJEEE
Chapter 5, Module 5, Part 2 (ABMOVM):
https://www.youtube.com/watch?v=0vDZXzADCAQ
Chapter 5, Module 6, Part 1 (Implied Parameters):
https://www.youtube.com/watch?v=JeYYdNYWdfU
Chapter 5, Module 7, Part 1 (GBM Compound OVM):
https://www.youtube.com/watch?v=aXfst-ANBw8

Chapter 6: Valuation Forwards, Futures, and Swaps (10/4/23)
Chapter 6 Zip File

YouTube Video Links for Chapter 6 Valuation Forwards, Futures, and Swaps
Chapter 6, Module 1, Part 1 (Stock Index Futures):
https://www.youtube.com/watch?v=hcI368FQsqo
Chapter 6, Module 1, Part 2 (Stock Index Futures):
https://www.youtube.com/watch?v=ZhmExo7I5Ig
Chapter 6, Module 2, Part 1 (Other Futures):
https://www.youtube.com/watch?v=Q3xJnG3Bq1A
Chapter 6, Module 3, Part 1 (Swaps):
https://www.youtube.com/watch?v=UiGmomig434
Chapter 6, Module 3, Part 2 (Swaps):
https://www.youtube.com/watch?v=yjhvsWkVfqc

Chapter 7: Static Risk Measures Bonds and Stocks (11/14/23)
Chapter 7 Zip File

YouTube Video Links for Chapter 7 Static Risk Measures Bonds and Stocks
Chapter 7, Module 1, Part 1 (Centered Differencing):
https://www.youtube.com/watch?v=udDS8jt1j6Y
Chapter 7, Module 2, Part 1 (US Treasuries):
https://www.youtube.com/watch?v=wsGnUzP6J1c
Chapter 7, Module 2, Part 2 (US Treasuries):
https://www.youtube.com/watch?v=7X13kldEHL8
Chapter 7, Module 2, Part 3 (US Treasuries):
https://www.youtube.com/watch?v=-m6HLp3YR0w
Chapter 7, Module 3, Part 1 (Corporate Bonds):
https://www.youtube.com/watch?v=yVmkTFDcPOU
Chapter 7, Module 4, Part 1 (Stocks):
https://www.youtube.com/watch?v=-f9KBDG4d28
Chapter 7, Module 4, Part 2 (Stocks):
https://www.youtube.com/watch?v=5COvCm2r1R8

Chapter 8: Static Risk Measures Options (11/15/23)
Chapter 8 Zip File

YouTube Video Links for Chapter 8 Static Risk Measures Options
Chapter 8, Module 1, Part 1- (Boundaries and Parities):
To Be Released Soon
Chapter 8, Module 2, Part 1- (GBM-Based Binomial):
To Be Released Soon
Chapter 8, Module 3, Part 1- (ABM-Based Binomial):
To Be Released Soon
Chapter 8, Module 4, Part 1 (GBMOVM):
To Be Released Soon
Chapter 8, Module 5, Part 1 (ABMOVM):
To Be Released Soon
Chapter 8, Module 6, Part 1 (Implied Parameters):
To Be Released Soon
Chapter 8, Module 7, Part 1 (GBM Compound OVM):
To Be Released Soon

Chapter 9: Static Risk Measures Forwards, Futures, and Swaps (11/15/23)
Chapter 9 Zip File

YouTube Video Links for Chapter 9 Static Risk Measures Forwards, Futures, and Swaps
Chapter 9, Module 1, Part 1- (Stock Index Futures):
To Be Released Soon
Chapter 9, Module 2, Part 1- (Other Futures):
To Be Released Soon
Chapter 9, Module 3, Part 1- (Swaps):
To Be Released Soon

Chapter 10: Dynamic Risk Measures Tools and Techniques (12/11/23)
Chapter 10 Zip File

YouTube Video Links for Chapter 10 Dynamic Risk Measures Tools and Techniques
Chapter 10, Module 1, Part 1 (Multivariate Random Numbers):
To Be Released Soon
Chapter 10, Module 2, Part 1- (Value-at-Risk):
To Be Released Soon

Chapter 11: Dynamic Risk Measures Bonds and Stocks (12/11/23)
Chapter 11 Zip File

YouTube Video Links for Chapter 11 Dynamic Risk Measures Bonds and Stocks
Chapter 11, Module 1, Part 1 (Centered Differencing):
To Be Released Soon
Chapter 11, Module 2, Part 1- (US Treasuries):
To Be Released Soon
Chapter 11, Module 3, Part 1- (Corporate Bonds):
To Be Released Soon
Chapter 11, Module 4, Part 1- (Stocks):
To Be Released Soon

Chapter 12: Dynamic Risk Measures Options (12/11/23)
Chapter 12 Zip File

YouTube Video Links for Chapter 12 Dynamic Risk Measures Options
Chapter 12, Module 1, Part 1- (Boundaries and Parities):
To Be Released Soon
Chapter 12, Module 2, Part 1- (GBM-Based Binomial):
To Be Released Soon
Chapter 12, Module 3, Part 1- (ABM-Based Binomial):
To Be Released Soon
Chapter 12, Module 4, Part 1 (GBMOVM):
To Be Released Soon
Chapter 12, Module 5, Part 1 (ABMOVM):
To Be Released Soon
Chapter 12, Module 6, Part 1 (Implied Parameters):
To Be Released Soon
Chapter 12, Module 7, Part 1 (GBM Compound OVM):
To Be Released Soon

Chapter 13: Dynamic Risk Measures Forwards, Futures, and Swaps (01/04/24)
Chapter 13 Zip File

YouTube Video Links for Chapter 13 Dynamic Risk Measures Forwards, Futures, and Swaps
Chapter 13, Module 1, Part 1- (Stock Index Futures):
To Be Released Soon
Chapter 13, Module 2, Part 1- (Other Futures):
To Be Released Soon
Chapter 13, Module 3, Part 1- (Swaps):
To Be Released Soon

Chapter 14: Portfolio Issues (01/04/24)
Chapter 14 Zip File

YouTube Video Links for Chapter 13 Dynamic Risk Measures Forwards, Futures, and Swaps
Chapter 14, Module 1, Part 1- (Portfolio Risk Management):
To Be Released Soon
Chapter 14, Module 2, Part 1- (Return Attribution):
To Be Released Soon
Chapter 14, Module 3, Part 1- (Risk Attribution):
To Be Released Soon
Chapter 14, Module 4, Part 1- (Keel Model):
To Be Released Soon

Masters FRM | Robert E. Brooks

Building Quantitative Finance Applications with R