Details

R/Rmetrics Workshop Singapore 2010


R/Rmetrics Workshop Singapore 2010



from: Diethelm Würtz, Mahendra Mehta, David Scott, Juri Hinz

Fr. 0.00

Publisher: Finance Online
Format PDF
ISBN/EAN: 9783906041087
Language: englisch

This book is without copy protection.

Descriptions

Table of Contents

Welcome

Part I: Friday Morning Session
Stefano Iacus, An R framework for Simulation and Inference of Stochastic Differential Equations
Juri Hinz, A Monte Carlo Method for Optimal Stochastic Control problems with Convex Value Functions
David Scott, Modeling Financial Return Distributions Using the Generalized Lambda Distribution
Marc Paolella, An Asymmetric Multivariate Student's t Distribution Endowed with Different Degrees of Freedom

Part II: Friday Afternoon Session
Vikram Kuriyan, Global Financial Crises of 2008-2009
Bernard Lee, An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers
Kam Fong Chan, Spillover Effect Between the Credit Default Swaps (CDS) and the Stock Market
Andrew Ellis, The R/Rmetrics Open Source Project
Anmol Sethy, fxregime: A Tool for Exchange Rate Analytics
Karim Chine, Elastic-R: A Google docs-like Portal for Data Analysis in the Cloud

Part III: Saturday Morning Session
Defeng Sun, A Majorized Penalty Approach for Calibrating Rank Constrained Correlation Matrix Problems
Yohan Chalabi, Outlier Resistant GARCH Modeling
Joel Yu, A Markov-switching Model of the Won-Dollar Rate
Leong Chee Kia, Learning Bayesian Network for Credit and RiskScoring
Diethelm Würtz, Postmodern Approaches to Portfolio Design
Pratap Sondhi, The Evaluation of Bank and Sector Resilience to Systemic Shocks

Appendix:
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About Rmetrics

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