Quantitative Finance With R

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Tags: Quantitative Finance

Learn portfolio optimization, asset pricing, and risk management with R

Last updated 2022-01-10 | 3.7

- A solid understanding of how to analyze—with a quantitative mindset—the most important financial products such as equities
- derivatives
- and bonds
- Use statistical analysis to find hidden insights into financial data used in financial models and strategies
- Diversify your portfolio with hedging and eliminate unwanted risk during times of market volatility

What you'll learn

A solid understanding of how to analyze—with a quantitative mindset—the most important financial products such as equities
derivatives
and bonds
Use statistical analysis to find hidden insights into financial data used in financial models and strategies
Diversify your portfolio with hedging and eliminate unwanted risk during times of market volatility
Price any financial instrument
Go safe with fixed income securities by exploring the bond market
Analyze financial assets to find their Return On Investment (ROI)
Gain an in-depth understanding of Markowitz's modern portfolio theory and the ability of applying it using real data with R
Build your own profit-making strategy with advanced financial techniques to measure
predict and manage risk

* Requirements

* This course expects viewers to have some basic knowledge of financial markets and a good understanding of R programming. However
* they need not have any knowledge of quantitative finance or working with financial data.

Description

With the ever-changing financial environment in the global market, investment banks, hedge funds, and private equity firms are always on the lookout for professionals able to identify profitable investment opportunities and manage risk. If you are interested in Quantitative Finance, especially in modern portfolio theory and risk management, then this is the perfect course for you.

Solving complex quantitative finance tasks becomes much easier with hands-on coding implementations. This course mixes important theoretical steps in a practical way to enhance your financial IQ in your day-to-day activities.

By the end of the course, you'll be comfortable using R and its associated libraries to solve any problem associated with Quantitative Finance without getting stressed; in short, you'll be solving the complex challenges that portfolio and risk managers face every day.

About The Author

Marco Neffelli is a Ph.D. candidate in Economics at the University of Genova, Italy. His main research revolves around Quantitative Finance and Financial Econometrics. He is a lecturer for the course Quantitative Finance with R at the University of Pavia, Italy. His background includes an MSc in Quantitative Finance from Cass Business School, London.

Omar Bazara holds a Master's degree in financial mathematics from Cass Business School, City University of London. Omar is a portfolio valuation analyst at IHS Markit, London. He is specialized in Credit Derivatives and working alongside a variety of different asset classes.

Who this course is for:

  • If you're new to quantitative finance and R is your go-to language, this is your perfect course.

Course content

7 sections • 35 lectures

First Things First! 3 lectures

The Course Overview Preview 05:22

This video explains course prerequisites and provides an entire overview of the course.   

 

Fundamentals of Quantitative Finance Preview 03:39

Quantitative Finance is a very broad area: it is easy to get lost. Let’s navigate through this beautiful subject.                         

  • Learn about quantitative finance

 

 

R Functions and Packages Preview 04:03

R is one of the best software for implementing and solving quantitative finance tasks. In this video we discover why.                         

  • Explore R language

 

 

Data Analysis with R 5 lectures

R Warm-Up – Introduction to Quantmod Preview 03:05

In this video, we introduce the package quantmod.                         

  • Learn about the package with a look at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used through the section

 

Equity – Definitions and Price Download Preview 05:53

Equity are one of the most important asset classes in which to invest.                         

  • Give a definition of equity and equity index

  • Download price from quantmod using quantmod getSymbols function

  • Understand general data handling and plotting in R

 

Modeling Prices and Returns Preview 04:55

Prices and returns are the core of time series modelling.                         

  • Learn how to model prices and returns

  • Learn about quantmod allreturns and periodreturns functions

  • Understand how to compare different distributions

 

Asset Returns Simulation Preview 06:42

Navigate the predictability and randomness of asset returns via Monte Carlo simulation.                         

  • Learn how to perform a Monte Carlo simulation in R

  • Understand predictability and randomness of asset returns

  • Simulate asset returns

 

Getting Practical – Financial Modeling with R: S&P500 Statistical Analysis Preview 09:06

This video covers mastering how to perform a statistical analysis of an equity index time series.                         

  • Learn how to give a comprehensive statistical analysis of an equity index

  • Understand how to use qualitative instruments

  • Explore how to use quantitative instruments

 

Staying Secured with Fixed-Income Securities 6 lectures

R Warm-Up – Introduction to jrvFinance Preview 02:15

In this video, we introduce the package jrvFinance.                         

  • Learn about the package with a look at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used through the section

 

Introduction to Fixed-Income Securities Preview 05:11

In this video we will navigate through different types of fixed-income securities.                         

  • Learn about zero-coupon bonds

  • Understand straight bullet bonds

  • Empirical testing in R.

 

The Importance of Interest Rate Preview 06:42

Interest rate is crucial for fixed-income products.                         

  • Learn about compounding

  • Empirical testing in R

 

Pricing of Fixed-Income Securities Preview 07:40

In this video, we will see how pricing of different types of bonds work.                         

  • Learn about zero-coupon bond pricing

  • Understand straight bullet bond pricing

  • Empirical testing in R.

 

Duration, Modified Duration, and Convexity Preview 09:27

In this video, we will see how duration, modified duration, and convexity are crucial in fixed-income risk management.                         

  • Learn about duration

  • Understand modified duration and convexity

  • Empirical testing in R.

 

Getting Practical – The Yield Curve and the Bootstrapping Approach Preview 05:57

In this video we will master how to perform bootstrapping to build the yield curve.                         

  • Learn about different types of yield curve

  • Understand bootstrapping approach

  • Build the yield curve with a practical example

 

Derivatives for Risk Management 5 lectures

R Warm-Up – Introduction to fOptions Preview 02:41

In this video we introduce the package fOptions.                         

  • Learn about the package with a glance at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used throughout the section

 

Working with Futures Preview 03:28

In this video, we will get an overview to futures.                         

  • Learn about futures

  • Understand forwards

 

European and American Options Preview 05:57

European and American options are the most common in finance. In this video we will take a look at them.                         

  • Learn about European and American options

  • Empirical testing in R

 

Pricing European Options – The Binomial Model Preview 07:23

This video will cover mastering how to price European option with the Binomial model.                         

  • Learn about the Binomial model

  • Empirical testing in R

 

Getting Practical – Pricing European Options with the Black-Scholes Model Preview 11:02

This video will cover mastering how to perform price European options with Black-Scholes model.                         

  • Learn about the Black-Scholes model

  • Compare the accuracy of the Binomial model against the Black-Scholes model

  • Assess the impact of moneyness

 

Analysing Risk/Return with Modern Portfolio Theory Techniques 5 lectures

R Warm-Up – Introduction to PortfolioAnalytics Preview 03:50

This video introduces the package PortfolioAnalytics.                         

  • Learn about the package with a look at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used throughout the section

 

The Benefits of Diversification Preview 05:01

This video will cover diversification, which is a key concept in finance and asset allocation.                         

  • Learn about diversification

  • Empirical testing in R

 

Risk/Return Paradigm Preview 07:34

The risk/return paradigm is the dominant framework in asset allocation. This video will take you through that.                         

  • Learn about the risk/return paradigm

  • Empirical testing in R

 

Capital Allocation Line and Capital Market Line Preview 07:22

This video is a mix of theory and practice on Capital Allocation Line and Capital Market Line.                         

  • Learn about Capital Allocation Line

  • Understand Capital Market Line

  • Empirical testing in R

 

Getting Practical – Optimal Asset Allocation with Markowitz Framework Preview 09:29

This video will cover mastering how to perform optimal asset allocation under the Markowitz framework.                         

  • Learn about Markowitz framework

  • Understand how to implement portfolio optimization with the package PortfolioAnalytics

  • Create your optimal portfolio working with EDHEC dataset

 

The Capital Asset Pricing Model – CAPM Model 6 lectures

R Warm-Up Introduction to Performance Analytics Preview 03:24

This video introduces the package PerformanceAnalytics.                         

  • Learn about the package with a look at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used throughout the section

 

Idiosyncratic versus Systematic Risk Preview 03:51

The origin of risk is vital for asset allocation and risk management. This video will explain this vitality.                         

  • Learn about Idiosyncratic risk

  • Learn about systematic risk

  • Understand what beta is

 

Risk Factors Preview 02:13

Risk factors: a comprehensive view of alpha and beta, will be explained in this video.                         

  • Learn about different risk factors

  • Look at the difference between alpha and beta

  • Understand the need of factor models

 

The CAPM Preview 04:42

In this video, we will explore the CAPM model.                         

  • Learn about the CAPM model

  • Empirical testing in R

 

Fama-French and Other Factor Models Preview 06:21

In this video, we will see the Fama-French 3 and 5 factor models.                         

  • Learn about the Fama-French 3 factor model

  • Learn about the Fama-French 5 factor model

  • Empirical testing in R

 

Getting Practical – Empirical Testing of the CAPM Preview 08:31

This video will cover mastering how to empirical test the CAPM model.                         

  • Learn about the CAPM model in PerformanceAnalytics package

  • Implement the CAPM model for the managers dataset

  • Use different risk-free rates to assess CAPM beta

 

Manage Risks and Safeguard Profits with Portfolio Risk Management 5 lectures

R Warm-Up PerformanceAnalytics for Risk Management Preview 02:26

In this video we introduce the package PerformanceAnalytics for risk management.                         

  • Learn about the package with a look at the vignette

  • Understand what the package is ideal for

  • Introduce the main functions that will be used throughout the section

 

The Value-at-Risk (VaR) Model Preview 07:49

The VaR model is a key element in risk management. This video will take a look at this model.                         

  • Learn about the VaR

  • Understand different approaches to build the distribution

  • Build the VaR under different assumption in R

 

The Expected Shortfall (ES) Preview 06:16

The ES is a key element in risk management, and this video covers it.                         

  • Learn about the ES

  • Understand what is a coherent risk measure

  • Build the ES in R and compare with the VaR

 

Benefits and Pitfalls of VaR Approach Preview 04:38

In this video we will navigate through benefits and pitfalls of VaR approach.                         

  • Learn about VaR benefits

  • Understand VaR pitfalls

  • Empirical test of VaR pitfalls in R

 

Getting Practical – Hedging Financial Exposure Preview 07:06

This video covers mastering how to hedge financial exposures.                         

  • Learn about minimum variance hedge ratio

  • Understand the connection between the hedge ratio and CAPM beta

  • Build your hedge ratio with a practical example