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Opinions about some R books

Jacek Podlewski

Jacek Podlewski

Joined
11/5/11
Messages
34
Points
18
Has anyone used any of the following books? What are your opinions?

http://www.amazon.com/Financial-Risk-Forecasting-Wiley-Finance/dp/0470669438/
http://www.amazon.com/Applied-Econometrics-R-Use/dp/0387773169/
www.amazon.com/Analysis-Integrated-Cointegrated-Time-Use/dp/0387759662/
http://www.amazon.com/Bayesian-Computation-R-Use/dp/0387922970/
http://www.amazon.com/Introduction-Probability-Simulation-Gibbs-Sampling/dp/038740273X/
http://www.amazon.com/Nonlinear-Regression-R-Use/dp/0387096159/


I'm looking for a book to use in a self-study group at my mathematical finance student club. Our idea is to go through a series of examples and programming exercises together to improve our practical R skills and theoretical knowledge of interesting models at the same time. The seminar participants would be mostly applied math grads in their penultimate year, people with strong backgroud in probability theory and at least basic knowledge of econometrics and statistics (point and interval estimation, multiple linear regression, most important time series models). Maybe you know some other interesting books with R sample codes and exercises included?
Thanks for any advice :)
 
Where do most of the interests lie for the group or yourself? Equities, Commodities, Fixed Income? Risk, Derivatives, Start Arb, etc?
 
Probably the most interesting fields for the group are risk management and derivatives. Actually the group includes some people who're good at maths in general but relatively new to quant finance, so don't have an extensive knowledge of any particular area. Judging solely by the topic I'd probably choose Danielsson, but I want to hear some opinions whether the book is well-written, useful etc.
 
hi, are you by any chance from Warsaw ? is there any possibility to join your group ?
 
Jacek Podlewski said:
Has anyone used any of the following books? What are your opinions?

http://www.amazon.com/Financial-Risk-Forecasting-Wiley-Finance/dp/0470669438/
http://www.amazon.com/Applied-Econometrics-R-Use/dp/0387773169/
www.amazon.com/Analysis-Integrated-Cointegrated-Time-Use/dp/0387759662/
http://www.amazon.com/Bayesian-Computation-R-Use/dp/0387922970/
http://www.amazon.com/Introduction-Probability-Simulation-Gibbs-Sampling/dp/038740273X/
http://www.amazon.com/Nonlinear-Regression-R-Use/dp/0387096159/


I'm looking for a book to use in a self-study group at my mathematical finance student club. Our idea is to go through a series of examples and programming exercises together to improve our practical R skills and theoretical knowledge of interesting models at the same time. The seminar participants would be mostly applied math grads in their penultimate year, people with strong backgroud in probability theory and at least basic knowledge of econometrics and statistics (point and interval estimation, multiple linear regression, most important time series models). Maybe you know some other interesting books with R sample codes and exercises included?
Thanks for any advice :)
Click to expand...
I am a statistician. I am familiar all except the first and second. 3 is advance time series book, 4) and 5) are bayesian (it is a good choice if your group is intended for long time) and 6) is statistics. None of them really a mathematical finance. R is mostly used for statistical analysis. If you are keen on I would suggest introductory time series book
http://www.amazon.com/Time-Analysis-Applications-Springer-Statistics/dp/0387759581
or Ruey S Tsay's time series book(Analysis of Financial Time Series). He has provided datasets and R codes in his websites
http://faculty.chicagobooth.edu/ruey.tsay/teaching/
 
Polter said:
Regarding some other interesting books on R -- I can highly recommend "The Art of R Programming".
See the review here: http://www.johndcook.com/blog/2011/10/10/the-art-of-r-programming/
IMHO this is the best book on R programming on the market right now, for the reasons listed in the above-mentioned review.
Click to expand...

This book seems good. I have it and it covers a lot of R programming (real programming). The author of this book wrote another book with one of Baruch's MFE Alumni, Peter Salzman.
 
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