README.Rmd

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CFINI
=====

## Introduction

The CFINI package implements routines for the solution of pricing problems usually encountered in
Financial and Actuarial Science.

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The numerical methods implemented in CFINI include: 

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* Pricing with trees

* Pricing with multinomial trees

* Ordinary differential equation solver implemented with the predictor-corrector method

* Diffusion solver with implicit Euler method

* Diffusion solver with Crank-Nicolson method

Many functions are coded with C++ by employing the [Rcpp][] and [RcppEigen][] packages.

[Rcpp]: https://cran.r-project.org/web/packages/Rcpp/index.html

[RcppEigen]: https://cran.r-project.org/web/packages/RcppEigen/index.html

### References

* Shreve, Steven E., *Stochastic Calculus for Finance I: The Binomial Asset Pricing Model*
  (1st. edn, [Springer][springer_1]).

* Duffy, Daniel J., *Finite Difference Methods in Financial Engineering: A Partial Differential
  Equation Approach* (2013, [Wiley][wiley_1]).

* Haugh, Hirsa, Iyengar, *Columbia University MOOC: Financial Engineering and Risk Management
  Specialization* (2024,[Coursera][coursera_1]).

* Filipović D., *École Polytechnique Fédérale de Lausanne MOOC: Interest Rate Models* (2024,
  [Coursera][coursera_2]).

[springer_1]: https://doi.org/10.1007/978-0-387-22527-2

[wiley_1]: https://www.wiley.com/en-us/Finite+Difference+Methods+in+Financial+Engineering:+A+Partial+Differential+Equati%20on+Approach-p-9781118856482

[coursera_1]: https://www.coursera.org/specializations/financialengineering

[coursera_2]: https://www.coursera.org/learn/interest-rate-models

## Installation

To install **CFINI** directly from GitHub use `devtools`:

```{r, eval=FALSE}
library( devtools )
install_github( "pedroguarderas/CFINI" )
```