[R-SIG-Finance] HJM model (Interest rate)

[markleeds at verizon.net]

I don't own the book so I can't say anything about it's quality but it ( 
see link below ) must point to packages involving such things ?
also, there is a package listing at www.r-project.org that may describe 
such a package ? or even do an R archive search for Stefan Iacus,
the author of the book.

 
http://www.amazon.com/Simulation-Inference-Stochastic-Differential-Equations/dp/0387758380/ref=sr_1_3?ie=UTF8&s=books&qid=1212090213&sr=8-3


On Thu, May 29, 2008 at  3:36 PM, Ana Patricia Martins wrote:

> **
>
> Dears users,
>
> Although my basic training is in statistics, I've little knowledge 
> about
> interest rates models, and it was suggested Cox-Ingersoll-Ross 
> process,
> Ornstein-Uhlenbeck or Vasicek process or Heath-Jarrow-Morton methods.
>
> Does anyone know if exist HJM model in R? I can't find�
>
> The CIR model was considered, however based on the observed data 
> (1998-2007)
> doesn't works.
> Does anyone can suggest a package or other models?
>
> Thanks in advance your help.
> Best regards
> Ana Patr�cia
>
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>
>
>
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