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=====

## 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](https://doi.org/10.1007/978-0-387-22527-2)
of Steven E. Shreve.
- The book [Finite difference methods in financial engineering](
https://www.wiley.com/en-us/Finite+Difference+Methods+in+Financial+Engineering:+A+Partial+Differential+Equati
on+Approach-p-9781118856482) of Daniel J. Duffy.
- The specialization of coursera [Financial Engineering and Risk Management](https://www.coursera.org/specializations/financialengineering) a MOOC provided by Columbia University.
- The MOOC of coursera [Interest Rate Models](https://www.coursera.org/learn/interest-rate-models)
provided by EPFL.

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

<!-- ?? include? are there more? -->
The numerical methods implemented in CFINI include:

<!-- ?? Check names of methods below -->
* 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 the package **CFINI** directly from github, you can proceed in the following way making
use of the devtools library

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

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