prefacechapter 1: time series analysis  multivariate time series analysis    cointegration    vector autoregressive models      var implementation example    cointegrated var and vecm   volatility modeling    garch modeling with the rugarch package      the standard garch model      the exponential garch model (egarch)      the threshold garch model (tgarch)    simulation and forecasting  summary  references and reading listchapter 2: factor models  arbitrage pricing theory    implementation of apt    fama-french three-factor model  modeling in r    data selection    estimation of apt with principal component analysis    estimation of the fama-french model  summary   referenceschapter 3: forecasting volume  motivation  the intensity of trading  the volume forecasting model  implementation in r    the data    loading the data    the seasonal component    ar(1) estimation and forecasting    setar estimation and forecasting    interpreting the results  summary  referenceschapter 4: big data - advanced analytics  getting data from open sources  introduction to big data analysis in r  k-means clustering on big data    loading big matrices    big data k-means clustering analysis  big data linear regression analysis    loading big data    fitting a linear regression model on large datasets  summary  referenceschapter 5: fx derivatives  terminology and notations  currency options  exchange options    two-dimensional wiener processes    the margrabe formula    application in r  quanto options    pricing formula for a call quanto    pricing a call quanto in r  summary  referenceschapter 6: interest rate derivatives and models  the black model    pricing a cap with black's model  the vasicek model  the cox-ingersoll-ross model  parameter estimation of interest rate models  using the smfi5 package  summary  referenceschapter 7: exotic options  a general pricing approach  the role of dynamic hedging  how r can help a lot  a glance beyond vanillas  greeks - the link back to the vanilla world  pricing the double-no-touch option  another way to price the double-no-touch option  the life of a double-no-touch option - a simulation  exotic options embedded in structurecl products  summary  referenceschapter 8: optimal hedging  hedging of derivatives    market risk of derivatives    static delta hedge    dynamic delta hedge    comparing the performance of delta hedging  hedging in the presence of transaction costs    optimization of the hedge    optimal hedging in the case of absolute transaction costs    optimal hedging in the case of relative transaction costs  further extensions  summary  referenceschapter 9: fundamental analysis  the basics of fundamental analysis  collecting data  revealing connections  including multiple variables  separating investment targets  setting classification rules  backtesting  industry-specific investment  summary  referenceschapter 10: technical analysis, neural networks, and logoptimal portfolios  market efficiency  technical analysis    the ta toolkit    markets    plotting charts - bitcoin    built-in indicators      sma and ema      rsi      macd    candle patterns: key reversal    evaluating the signals and managing the position    a word on money management    wraping up  neural networks,    forecasting bitcoin prices      evaluation of the strategy  logoptimal portfolios    a universally consistent, non-parametric investment strategy    evaluation of the strategy  summary  referenceschapter 11: asset and liability management  data preparation    data source at first glance    cash-flow generator functions    preparing the cash-flow  interest rate risk measurement    liquidity risk measurement  modeling non-maturity deposits    a model of deposit interest rate development    static replication of non-maturity deposits  summary  referenceschapter 12: capital adequacy  principles of the basel accords    basel i    basel ii      minimum capital requirements      supervisory review      transparency    basel iii  risk measures    analytical var      historical var      monte-carlo simulation  risk categories    market risk    credit risk    operational risk  summary  referenceschapter 13: systemic risks  systemic risk in a nutshell  the dataset used in our examples  core-periphery decomposition    implementation in r    results  the simulation method    the simulation    implementation in r    results  possible interpretations and suggestions  summary  referencesindex