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09_Backtesting.R
09_Delta_gamma_approximations.R
09_Standard_methods_for_market_risk.R
09_ZCB_yields_Nelson_Siegel.R
09_ZCB_yields_PCA.R
README

README

### Suggested order of R scripts for Chapter 9

09_Delta_gamma_approximations.R
   Illustration of the quality of delta and delta-gamma approximations for European options on SP500 index
09_ZCB_yields_Nelson_Siegel.R
   Factor modelling of the yield curve using the Nelson-Siegel approach
09_ZCB_yields_PCA.R
   Factor modelling of the yield curve using PCA approach
09_Standard_methods_for_market_risk.R
   Estimating the risk measures VaR and ES with standard methods based on (BMW, Siemens) data.
09_Backtesting.R
   Illustration of backtesting for a portfolio consisting of option on SP500 index
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