Publications by Yas Suttakulpiboon
Stock Allocation Part 2
R Prep # rm(list=ls()) # install.packages("quantmod") # install.packages("psych") library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 met...
134 sym R (7709 sym/42 pcs) 3 img
Stock Portfolio Allocation
R Prep #rm(list=ls()) #install.packages("quantmod") #install.packages("psych") library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overw...
161 sym R (6053 sym/31 pcs) 3 img
Correlation Modelling
R Prep #rm(list=ls()) #install.packages("quantmod") library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overwritten by 'quantmod': ## ...
223 sym R (1007 sym/11 pcs)
Economic Capital, VaR, TVaR, MVaR, MTVaR
Risk Measures rm(list = ls()) # Required packages library(quantmod) ## Loading required package: xts ## Warning: package 'xts' was built under R version 4.0.2 ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR...
126 sym R (3878 sym/35 pcs) 4 img
Basic Options
Clear Working Space rm(list = ls()) Option Pricing Formula # Black-Scholes Option Pricing Formula black_scholes_call <- function(S, K, r, T, sigma, q) { d1 <- (log(S / K) + (r - q + 0.5 * sigma^2) * T) / (sigma * sqrt(T)) d2 <- d1 - sigma * sqrt(T) call_price <- S * exp(-q * T) * pnorm(d1) - K * exp(-r * T) * pnorm(d2) return(call_price...
145 sym R (6029 sym/18 pcs)
Futures and Optimal Hedge Ratio
Index Correlation rm(list = ls()) # install.packages("corrplot") library(quantmod) ## Loading required package: xts ## Warning: package 'xts' was built under R version 4.0.2 ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading requir...
279 sym R (22160 sym/81 pcs) 16 img
Stock Factor Models Part 2
Get the Stock Data from Yahoo Finance and Clean the Data rm(list = ls()) # Get the financial data from Yahoo Finance! # install.packages("quantmod") library(quantmod) ## Loading required package: xts ## Warning: package 'xts' was built under R version 4.0.2 ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects a...
195 sym R (14613 sym/64 pcs) 2 img
Stock Factor Models
Get the Stock Data from Yahoo Finance and Clean the Data rm(list = ls()) # Get the financial data from Yahoo Finance! # install.packages("quantmod") library(quantmod) ## Loading required package: xts ## Warning: package 'xts' was built under R version 4.0.2 ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects a...
195 sym R (14613 sym/64 pcs) 2 img
Interest Rate and Credit Risk Modelling
Yield Curve Behavior Non-negativity Mean Reversion Change in level Change in slope Change in curvature Yield Curve Behavior in Data # install.packages("YieldCurve") library(YieldCurve) ## Loading required package: xts ## Warning: package 'xts' was built under R version 4.0.2 ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The ...
10677 sym R (6792 sym/51 pcs) 25 img
Stochastic Interest Rate Model - Single Factor Model
Why & Applications Introduction to continuous-time single-factor interest rate models. Overview of the Vasicek model and its equation. Overview of the CIR model and its equation. Applications Introduction to continuous-time single-factor interest rate models. Continuous-time single-factor interest rate models are mathematical frameworks used to ...
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