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Learning R

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R is an open-source programming language popular in science and finance. Run the following programs to get a taste of how it works. 

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The first assignment shows how to read time series data from a public data base into R and how to transform and plot the series. The second assignment uses a simulation to determine the probability that an insurance company will run out of money. In the third assignment the Black-Scholes option price is compared with a simulation.  

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The student projects show the R code for regression analysis and the estimation of copulas. 

 

Computer Assignments

 

1. South African Stock Market Index

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  • R code: 

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2. Ruin Probability 

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  • R code: 

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3. Price of European Call Option

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  • R code: 

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Student Projects

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1. The Systematic Risk of Insurance Shares (CAPM)

  • Data 

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  • R code 

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2. Is the Share Market a Leading Economic Indicator? (VAR model) â€‹

  • Data

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  • R code 

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3. Copula-Based Models of Regional Wheat Production in Australia 

  • Data  

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  • R code 

 

This scatter plot is from the project on copulas. It show annual wheat yield in Victoria and New South Wales with the marginal distributions. 

Rplot2.png
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