In pedroguarderas/CFINI: Computational finance routines

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CFINI

Introduction

This package was created with implement different computational routines that can be applied to solve pricing problems, that are usually presented in Finance and Actuarial Science.

Here a list of the main numerical methods implemented inside CFINI. Many of this functions are coded with C++ by employing the packages Rcpp and RcppEigen.

• Pricing with trees
• Pricing with multinomial trees
• Ordinary differential equation solver implemented with the predictor-corrector method
• Diffusion solver with Euler implicit scheme
• Diffusion solver with Crank-Nicolson scheme

The different methods in the CFINI package are implemented based on the concepts and algorithms introduced in the following sources of information:

• The two volume book Stochastic Calculus for Finance I and II of Steven E. Shreve.
• The book Finite difference methods in financial engineering of Daniel J. Duffy.
• The specialization of coursera Financial Engineering and Risk Management a MOOC provided by Columbia University.
• The MOOC of coursera Interest Rate Models provided by EPFL.

Installation

To install the package CFINI directly from github, you can proceed in the following way making use of the devtools library

library( devtools )
install_github( "pedroguarderas/CFINI" )

pedroguarderas/CFINI documentation built on Feb. 16, 2024, 2:17 p.m.