[R-SIG-Finance] Vasicek,CIR or RiskMetrics

[Eric Zivot]

Check out the sde package and the very nice book by Stefano Iacus that goes
with it

http://www.amazon.com/Simulation-Inference-Stochastic-Differential-Equations
/dp/1441926070/ref=sr_1_1?ie=UTF8&s=books&qid=1302194109&sr=8-1


-----Original Message-----
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


Hello researchers

Do you have some experience with risk measurement by Vasicek, CIR models or
geometric Brownian distribution? Are there any R packages supporting these
models?  
I found these 2 links, that are quite helpful 
http://www.r-bloggers.com/basket-option-pricing-step-by-step/   
http://www.r-bloggers.com/fun-with-the-vasicek-interest-rate-model/

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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