R for Finance
Welcome
1
Introduction
1.1
Delta-Neutral
1.2
Why This Book
1.3
Who Is This Book For?
1.4
How to Read
1.4.1
Guiding Philosophies
1.4.2
Prerequisites
1.4.3
Further Reading
1.5
Acknowledgments
1.6
About the Author
I Finance
2
Options 101
2.1
Car Insurance
2.2
Vanilla Options
2.3
Long vs Short
3
Quantitative Results
3.1
Arbitrage
3.2
Stocks & Dividends
3.3
Exchange Traded Funds (ETFs)
3.4
Discounting & Accumulating
3.5
Option Contracts
3.6
Forward Contracts
3.6.1
Specification and Payoff
3.6.2
The Forward Price
3.6.3
Valuing a Forward Contract
3.6.4
Synthetic Forwards
3.7
Put-Call Parity
3.8
Rational Option Pricing
4
The Markets
4.1
Exchanges
4.2
Brokers
4.3
Market-Makers
4.4
Other Liquidity Providers
4.5
The Buy Side
5
Profit & Loss
5.1
Stock PNL
5.1.1
Intuition and Notation
5.1.2
Marking to Mid
5.1.3
Marking to Bid
5.2
Option PNL
5.2.1
Total PNL At Expiration
5.2.2
Intuition and Notation
5.2.3
Marking to Mid
5.2.4
Marking to Bid/Ask
5.3
Portfolio PNL
5.4
Returns
5.4.1
Portfolio Returns
5.4.2
Stock Price Returns
5.5
Volatility
6
Option Pricing
6.1
Black-Scholes-Merton
6.2
Investment Risk Reduction
6.3
Forward Replication
6.4
Delta Hedging
6.5
Greeks
II Basic Wrangling
7
Data Frames
8
Summarize
9
Subsetting
10
Pipes
11
Filtering
12
Group By
13
Scripts and Projects
III Advanced Wrangling
14
Functions
15
Joining Data
16
purrr
17
tidyquant
IV Visualization
18
ggplot2
19
Line Graphs
20
Bar Charts
21
Scatter Plots
22
Small Multiples
V Advanced Topics
23
Packages
23.1
tidyquant
23.2
bizdays
23.3
fOptions
23.4
RQuantLib
23.5
rugarch
24
Option Prices & Greeks
25
Implied Volatility
26
Regression
27
PCA
28
GARCH
29
Simulation
29.1
Geometric Brownian Motion
Published with bookdown
R for Finance
4
The Markets
In order to participate in options markets you need to have a basic understanding of how they work.
4.1
Exchanges
4.2
Brokers
4.3
Market-Makers
4.4
Other Liquidity Providers
4.5
The Buy Side