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New York Institute of Finance

R Programming for Finance

Aug 8—9, 2019
2 days
New York, New York, United States
USD 1549
USD 774 per day

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Description

This course will teach you the essential elements of R to build practically useful applications and conduct data analysis for finance.

This course is a component of the Data Analysis and Programming for Finance Professional Certificate.

Prerequisite knowledge:

  • Basic probability and statistics
  • Some familiarity with financial securities and derivatives
  • Elementary differential and integral calculus

CURRICULUM

Day 1

MODULE 1: R BASICS

  • The IDE: RStudio
  • R syntax
  • R objects: vectors, matrices, arrays, data frames and lists
  • Flow control: branching, looping and truth testing
  • Importing and manipulating data
  • Plotting with R

Day 2

MODULE 1: DATA ANALYSIS WITH R

  • Manipulating data frames
  • Descriptive statistics
  • Inference and time series analysis

MODULE 2: R APPLICATIONS

  • Regression analysis
  • Volatility modeling
  • Risk management: VaR and ES

WHAT YOU'LL LEARN

  • Learn the basic elements of programming in R
  • Learn essential data analysis concepts and techniques for finance
  • Build realistic applications for finance using Monte Carlo and finite difference techniques, including an American option pricer

Who should attend

  • Developers
  • quants
  • analysts
    • financial engineers and anyone seeking to become a better financial modeler. While not essential a modest amount of prior programming experience will be beneficial. Some familiarity with financial instruments will be advantageous.