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文件名称：Computational Finance - An Introductory Course with R
文件大小：4.82MB
文件格式：PDF
更新时间：2022-08-16 12:07:12
Finance Computational Fi
Finance is about managing money. It is about making provisions and allocations of
funds for a business project with an assessment of risks and benefits. There are
several instruments for dealing with money. There are several places for trading
these financial instruments. There are mathematical models for optimal selection
of financial portfolios and for predicting their assets’ future values. And there are
computers to help us with all the necessary real-world data crunching to exploit the
formal models to unprecedented possibilities.
Computational Finance includes all numerical methods, theories of algorithms
and optimization heuristics geared to the solution of problems in economics and
finance. The subject area is broad and requires knowledge in computational statistics, econometrics, mathematical finance and computer science, of course.
This book is the product of a seminar course taught every year since 2010 at the
Computer Science Department of the Technical University of Catalonia (Universitat Politècnica de Catalunya), in which I have attempted to cover some of the
material from every diverse area of knowledge required for the computational
resolution of financial problems. To accomplish this task, I had to avoid lecturing
in-depth on any one topic, and touch upon the surface of every topic I considered
necessary for Computational Finance. This style of learning is reflected in the
book, where the emphasis is on methods and not much on theorems and proofs,
although I try to be as rigorous as possible and, in the absence of a proof, I give
pointers to the literature from where to learn it. It is this aspect that makes the
contents of this book an introductory course, with special attention to the software
implementation of econometric models and computational exploration of financial
instruments. All programming examples in this book are implemented in the free
programming language R, with all the codes exhibited and commented in the text;
there is also the possibility to download all programs from the book’s website.1
The Appendix contains a brief introduction to R, for those not acquainted with this
software language.