[R-SIG-Finance] Vasicek,CIR or RiskMetrics
ezivot at u.washington.edu
Thu Apr 7 18:38:18 CEST 2011
Check out the sde package and the very nice book by Stefano Iacus that goes
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of babel at centrum.sk
Sent: Thursday, April 07, 2011 9:33 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Vasicek,CIR or RiskMetrics
Do you have some experience with risk measurement by Vasicek, CIR models or
geometric Brownian distribution? Are there any R packages supporting these
I found these 2 links, that are quite helpful
and I also searched ??? in R, but found only simulations.
I would like to model few currency pairs by mentioned models and
consequently their future influence on costs, revenues and sales. Or can you
point off some better techniques,solutions or references for modeling
corporate risk in R?
Thank you very much.
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