ABOUT ME
What You Need to Know
My name is Anurag Agrawal. This may come as a surprise but I am pretty much into mathematics and statistics. More specifically, though, I have always loved math, but I have pursued finance to achieve my goal to harmonize Data science and finance. In this journey, I have learned many important tools which I believe are very important to achieve my goal. On this website, I post my ideas on finance, math or programming/data science. When I started learning Mathematical finance and programming, I faced problems on certain topics. In these posts, I have written my thoughts and ideas as they came along and which I believe are worth mentioning. These posts are not perfect but the reader will surely grasp some insights on the topic. Also, I would like you to go through the R packages I have developed. These packages cover important tools for quants and analysts. These packages receive regular updates and any suggestion/recommendation is appreciated.
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Technical Skills: R, Python, SAS, LaTeX, Bloomberg Terminal
MY PACKAGES
Technical Packages/Non-peer reviewed publication (click on details to download the documentation of the package).
ROPTIONS
Collection of tools to develop options strategies, value option contracts using the Black-Scholes-Merten option pricing model and calculate the option Greeks. Hull, John C. "Options, Futures, and Other Derivatives" (1997, ISBN:0-13-601589-1). Fischer Black, Myron Scholes (1973) "The Pricing of Options and Corporate Liabilities"
RPORTFOLIO
Collection of tools to calculate portfolio performance metrics. Portfolio performance is a key measure for investors. These metrics are important to analyse how effectively their money has been invested. This package uses portfolio theories to give investor tools to evaluate their portfolio performance. For more information see, Markowitz, H.M. (1952). Analysis of Investments & Management of Portfolios
RMORNINGSTAR
Collection of functions to calculate performance metrics of mutual funds/exchange traded funds. This package aids investors in researching mutual funds/exchange traded funds for their investment decision. Also, this package contains tools to manage a portfolio of different mutual fund/exchange traded funds. For more information see Bruce J. Feibel [2003, ISBN:978-0471445630].
PORTFOLIO ANALYSIS
Collection of functions to optimize portfolio weights using quadratic programming. This package includes different functions to compute portfolio weights based on different constraints and methods. For more information see Markowitz, H.M. (1952), <doi:10.2307/2975974>. "Analysis of Investments & Management of Portfolios" [2012, ISBN:978-8131518748].