Hénaff P. Topics in Empirical Finance with R and Rmetrics

Zurich: Rmetrics Association & Finance Online Publishing, 2013. — 187 p. — ISBN: 9783906041124.The book is a set of lecture notes used in a first year graduate course in empirical finance. The book focuses on the pricing and risk management of financial assets: bonds, options and other derivative securities.
The emphasis is resolutely empirical: we present models, discuss their implementation, and verify their relevance by testing them on real data. Throughout the text, we emphasize
• an incremental approach to model building, starting from simple models, and building upon that foundation to construct more complex models, as needed
• a data-driven approach: we implement all the models that are presented, using the R statistical package and the Rmetrics libraries
• the systematic use of simulation as a way of validating modeling decisions or measuring various modeling biases.
About the Author:
Patrick Hénaff is Associate Professor at Université Paris-I (Panthéon-Sorbonne), where he teaches market finance to MBA students.
Prior to this, he spent many years in investment banking, in France and in the US, working in various quantitative research roles.
Patrick is a graduate of the Ecole des Hautes Etudes Commerciales (HEC) in Paris, and holds a PhD from the University of Texas (Austin).