Building Quantitative Finance Applications with R

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
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
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
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
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