frmqa-package: A Package for *F*inancial *R*isk Management and...

In frmqa: The Generalized Hyperbolic Distribution, Related Distributions and Their Applications in Finance

Description

This package comprises of R and C++ functions which deal with issues relating to financial risk management and quantitative analysis by applying uni- and multi-variate generalized hyperbolic and related distributions. These issues are approached from both directions: analytical (i.e., deriving and programing analytic formulae) and numerical. Note that the latter appears to be the only approach currently used in practice because of the intractability of these families of distributions, which is caused by the presence of the modified Bessel function of the third kind BesselK K_{λ}(z), in their density functions. In this package, the naming of special functions and their related functions (e.g., BesselK and incomplete BesselK functions) follows the convention used in the R package gsl.

Details

Package:	frmqa
Type:	Package
Version:	0.1-5
Date:	2012-11-2
License:	GPL (>= 2)

The package is under current development with more functions are planned to be added shortly.

frmqa documentation built on May 2, 2019, 12:22 p.m.