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)
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Data
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R code
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2. Is the Share Market a Leading Economic Indicator? (VAR model) ​
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Data
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R code
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3. Copula-Based Models of Regional Wheat Production in Australia
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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.
