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:
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Pricing with trees
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Pricing with multinomial trees
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Ordinary differential equation solver implemented with the predictor-corrector method
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Diffusion solver with implicit Euler method
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Diffusion solver with Crank-Nicolson method
Many functions are coded with C++ by employing the Rcpp and RcppEigen packages.
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Shreve, Steven E., Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (1st. edn, Springer).
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Duffy, Daniel J., Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (2013, Wiley).
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Haugh, Hirsa, Iyengar, Columbia University MOOC: Financial Engineering and Risk Management Specialization (2024,Coursera).
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Filipović D., École Polytechnique Fédérale de Lausanne MOOC: Interest Rate Models (2024, Coursera).
To install CFINI directly from GitHub use devtools:
library( devtools )
install_github( "pedroguarderas/CFINI" )