Introduction to R for Quantitative Finance

This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance. If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is assumed, but familiarity with R is not required. With a focus on using R to solve a wide range of issues, this book provides useful content for both the R beginner and more experience users.

Author Biography

Gergely Daroczi is a Ph.D. candidate in Sociology with around eight years‘
experience in data management and analysis tasks within the R programming
environment. Besides teaching Statistics at different Hungarian universities and
doing data analysis jobs for several years, Gergely has founded and coordinated
a UK-based online reporting startup company recently. This latter software
or platform as a service which is called rapporter.net will potentially provide
an intuitive frontend and an interface to all the methods and techniques covered
in the book. His role in the book was to provide R implementation of the QF
problems and methods. Michael Puhle obtained a Ph.D. in Finance from the University of Passau in
Germany. He worked for several years as a Senior Risk Controller at Allianz
Global Investors in Munich, and as an Assistant Manager at KPMG’s Financial Risk
Management practice, where he was advising banks on market risk models. Michael
is also the author of Bond Portfolio Optimization published by Springer Publishing. Edina Berlinger has a Ph.D. in Economics from the Corvinus University of
Budapest. She is an Associate Professor, teaching corporate fi nance, investments,
and fi nancial risk management. She is the Head of Department for Finance of
the university and is also the Chair of the Finance Sub committee the Hungarian
Academy of Sciences. Her expertise covers student loan systems, risk management,
and, recently, network analysis. She has led several research projects in student loan
design, liquidity management, heterogeneous agent models, and systemic risk.
Peter Peter Csoka is an Associate Professor at the Department of Finance, Corvinus
University of Budapest, and a research fellow in the Game Theory Research Group,
Centre For Economic and Regional Studies, Hungarian Academy of Sciences. He
received his Ph.D. i Daniel Havran is a postdoctoral research fellow at Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences. He also holds a part-time assistant professor position at the Corvinus University of Budapest, where he teaches corporate finance (BA, PhD) and credit risk management (MSc). He obtained his PhD in economics at Corvinus University of Budapest in 2011. Marton Michaletzky obtained his Ph.D. degree in Economics in 2011 from Corvinus University of Budapest. Between 2000 and 2003, he has been a Risk Manager and Macroeconomic Analyst with Concorde Securities Ltd. As Capital Market Transactions Manager, he gained experience in an EUR 3 bn securitization at the Hungarian State Motorway Management Company. In 2012, he took part in the preparation of an IPO and the private placement of a Hungarian financial services provider. Prior to joining DBH Investment, he was an assistant professor at the Department of Finance of CUB. Zsolt Tulassay works as a Quantitative Analyst at a major US investment bank, validating derivatives pricing models. Previously, Zsolt worked as an Assistant Lecturer at the Department of Finance at Corvinus University, teaching courses on Derivatives, Quantitative Risk Management, and Financial Econometrics. Zsolt holds MA degrees in Economics from Corvinus University of Budapest and Central European University. His research interests include derivatives pricing, yield curve modeling, liquidity risk, and heterogeneous agent models. Kata Varadi Agnes Vidovics-Dancs is a PhD candidate and an assistant professor at the Department of Finance, Corvinus University of Budapest. Previously, she worked as a junior risk manager in the Hungarian Government Debt Management Agency. Her main research areas are government debt management (in general) and sovereign crises and defaults (in particular). She is a CEFA and CIIA diploma holder.