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Preface 1

Chapter 1:Time Series Analysis 7

Multivariate time series analysis 8

Cointegration 8

Vector autoregressive models 12

VAR implementation example 15

Cointegrated VAR and VECM 19

Volatility modeling 23

GARCH modeling with the rugarch package 28

The standard GARCH model 28

The Exponential GARCH model(EGARCH) 31

The Threshold GARCH model(TGARCH) 33

Simulation and forecasting 34

Summary 36

References and reading list 36

Chapter 2:Factor Models 39

Arbitrage pricing theory 39

Implementation of APT 42

Fama-French three-factor model 42

Modeling in R 43

Data selection 43

Estimation of APT with principal component analysis 46

Estimation of the Fama-French model 48

Summary 56

References 57

Chapter 3:Forecasting Volume 59

Motivation 59

The intensity of trading 60

The volume forecasting model 61

Implementation in R 63

The data 64

Loading the data 66

The seasonal component 67

AR(1)estimation and forecasting 69

SETAR estimation and forecasting 70

Interpreting the results 72

Summary 74

References 74

Chapter 4:Bia Data－Advanced Analytics 77

Getting data from open sources 78

Introduction to big data analysis in R 83

K-means clustering on big data 84

Loading big matrices 84

Big data K-means clustering analysis 85

Big data linear regression analysis 89

Loading big data 89

Fitting a linear regression model on large datasets 90

Summary 91

References 91

Chapter 5:FX Derivatives 93

Terminology and notations 93

Currency options 96

Exchange options 99

Two-dimensional Wiener processes 100

The Margrabe formula 102

Application in R 106

Quanto options 109

Pricing formula for a call quanto 110

Pricing a call quanto in R 113

Summary 114

References 114

Chapter 6:Interest Rate Derivatives and Models 115

The Black model 116

Pricing a cap with Black's model 119

The Vasicek model 122

The Cox-Ingersoll-Ross model 128

Parameter estimation of interest rate models 132

Using the SMFI5 package 134

Summary 135

References 135

Chapter 7:Exotic Options 137

A general pricing approach 137

The role of dynamic hedging 138

How R can help a lot 138

A glance beyond vanillas 139

Greeks－the link back to the vanilla world 145

Pricing the Double-no-touch option 148

Another way to price the Double-no-touch option 160

The life of a Double-no-touch option-a simulation 161

Exotic options embedded in structured products 168

Summary 174

References 175

Chapter 8:Optimal Hedging 177

Hedging of derivatives 177

Market risk of derivatives 178

Static delta hedge 179

Dynamic delta hedge 179

Comparing the performance of delta hedging 185

Hedging in the presence of transaction costs 190

Optimization of the hedge 192

Optimal hedging in the case of absolute transaction costs 194

Optimal hedging in the case of relative transaction costs 196

Further extensions 198

Summary 199

References 199

Chapter 9:Fundamental Analysis 201

The basics of fundamental analysis 201

Collecting data 203

Revealing connections 207

Including multiple variables 208

Separating investment targets 209

Setting classification rules 215

Backtesting 217

Industry-specific investment 221

Summary 225

References 226

Chapter 10:Technical Analysis,Neural Networks,and Logoptimal Portfolios 227

Market efriciency 228

Technical analysis 228

The TA toolkit 229

Markets 230

Plotting charts-bitcoin 230

Built-in indicators 234

SMA and EMA 234

RSI 234

MACD 236

Candle patterns:key reversal 237

Evaluating the signals and managing the position 240

A word on money management 241

Wraping up 243

Neural networks 243

Forecasting bitcoin prices 245

Evaluation of the strategy 249

Logoptimal portfolios 249

A universally consistent,non-parametric investment strategy 250

Evaluation of the strategy 254

Summary 255

References 255

Chapter 11:Asset and Liability Management 257

Data preparation 258

Data source at first glance 260

Cash-flow generator functions 262

Preparing the cash-flow 265

Interest rate risk measurement 267

Liquidity risk measurement 271

Modeling non-maturity deposits 273

A Model of deposit interest rate development 273

Static replication of non-maturity deposits 278

Summary 283

References 283

Chapter 12:Capital Adequacy 285

Principles of the Basel Accords 286

Basel Ⅰ 286

Basel Ⅱ 287

Minimum capital requirements 287

Supervisory review 289

Transparency 290

Basel Ⅲ 290

Risk measures 292

Analytical VaR 294

Historical VaR 296

Monte-Carlo simulation 297

Risk categories 299

Market risk 299

Credit risk 305

Operational risk 311

Summary 313

References 313

Chapter 13:Systemic Risks 315

Systemic risk in a nutshell 315

The dataset used in our examples 317

Core-periphery decomposition 319

Implementation in R 321

Results 322

The Simulation method 323

The simulation 324

Implementation in R 325

Results 328

Possible interpretations and suggestions 332

Summary 332

References 333

Index 335