CFINI-package: CFINI

In pedroguarderas/CFINI: Computational finance routines

CFINI

Description

This package was created with implement different computational routines that can be applied to solve pricig 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.

1. Pricing with trees.

2. Pricing with multinomial trees.

3. Ordinary differential equation solver implemented with the predictor-corrector method.

4. Diffusion solver with Euler implicit scheme.

5. Diffusion solver with Crank-Nicolson scheme.

Author(s)

Maintainer: Pedro Guarderas [e-mail]

Other contributors:

• Andrés Lopez [contributor]

References

\insertRef

stoch_calc_fin_1CFINI

See Also

Useful links:

• https://github.com/pedroguarderas/CFINI

• Report bugs at https://github.com/pedroguarderas/CFINI/issues

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