diff --git a/README.Rmd b/README.Rmd index 68463a3..cc7e418 100644 --- a/README.Rmd +++ b/README.Rmd @@ -18,33 +18,56 @@ 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](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. + + +The numerical methods implemented in CFINI include: + + +* 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" )