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

Eric Zivot 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
with it


-----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
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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