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Course Outline

Introduction

Configuring the IDE (Integrated Development Environment)

  • RStudio

R Programming Fundamentals

  • R objects: vectors, matrices, arrays, data frames, and lists
  • Flow control: branching, looping, and logical testing

Data Access with R

  • Reading and writing CSV data
  • Accessing data within an SQL database

Data Visualization with R

  • Creating plots with R

Data Analysis with R

  • Manipulating data frames
  • Descriptive statistics

Inference and Time Series Analysis

  • Analyzing time series data in financial markets
  • Volatility modeling for high-frequency financial data

Simulating Asset Price Trajectories

  • Monte Carlo simulation

Asset Allocation and Portfolio Optimization

  • Conducting capital allocation, asset allocation, and risk assessment
  • Regression analysis

Risk Analysis and Investment Performance

  • Defining and solving portfolio optimization problems
  • VaR and ES

Fixed-Income Analysis and Option Pricing

  • Executing fixed-income analysis and option pricing

Deploying Your R Application to Production

  • Integrating your application with Excel and other web applications

Application Performance

  • Optimizing your application
  • R multiprocessing

Troubleshooting

Closing Remarks

Requirements

  • A working knowledge of finance (securities, derivatives, etc.)
  • A strong foundation in mathematics
  • Programming experience in any language is advantageous but not mandatory
 28 Hours

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