[BlindRUG] Computational Finance with R

[Godfrey, Jonathan]

Hi Niels,

No one else has answered your question and I'm not going to offer much hope either really.

There are a lot of add-on packages available that deal with computational finance but I suspect it will be quite difficult to find the ones that deal with everything you mentioned.

You may find that another tool or set of tools may be needed to do all the tasks you want for this course. It might be easier to handle differential calculus using more mathematical software for example. 

No matter which software you choose to use, I would highly recommend discussing your needs with the course teaching staff before you spend too much energy on the wrong options.

I don't know the scilab software you mentioned. Have you investigated its accessibility thoroughly? The first question I would ask is whether it can be run from the command line.

Jonathan


-----Original Message-----
From: BlindRUG [mailto:blindrug-bounces at nfbnet.org] On Behalf Of Niels Luithardt via BlindRUG
Sent: Tuesday, 12 April 2016 7:17 p.m.
To: blindrug at nfbnet.org
Cc: Niels Luithardt
Subject: [BlindRUG] Computational Finance with R

Hi,

I am Niels Luithardt, an i study math and physics at Kiel University (Germany).

This Semester i attend a Course in Computational Finance.

"This course is an introduction to numerical methods for problems in mathematical finance like valuation of European and American options, hedging and model calibration. The presented tools include binomial trees, Itō calculus, integral transform approaches, Monte-Carlo methods and numerical methods for the solution of partial differential equations."

My Prof will uses  the software package Scilab, but i will try to use R.


Exists experience with Computational Finance?

what Package I need?

Thanks

Niels

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