Introduction to R for Quantitative Finance

Summary

In this chapter, we have used R to price plain vanilla options with the Black-Scholes and Cox-Ross-Rubinstein models. Furthermore, we examined the basic Greeks and the implied volatility of these options. For more details on the financial background of these topics, see (Hull, 2011). Besides getting to know some tools from the fOptions package, we have also created a few loops and custom functions programmatically for simulation purposes. The next chapter will concentrate on how to manage credit risks by various models such as choosing an optimal credit portfolio with Monte-Carlo simulation and credit scoring methods.