The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
QFRM is a result of nearly 6 month-long effort by lecturer (Oleg Melnikov) and students of Quantiative Financial Risk Management (QFRM, 2015) course at Rice University. The QFRM R package is a collection of exotic option pricing methods via four key algorithms: Black Scholes (BS), lattice trees (binomial, trinomial, etc) (LT), Monte Carlo Simulation (MC), and finite differencing (FD).
If you are analyzing portfolio risks or pricing exotic derivatives, QFRM will be of help. The examples and source code can help you advance your own algorithm. In such a case, we would be delighted to have you as a contributor or be credited for any code/algorithm that you found helpful in your projects/research.
The contributors inclduded many examples that you can evaluate.
Likewise, all functions have default values and can be executed without
any changedd arguments (for usability learning). Basically, you will
need to instatiate Opt object (takes basic option
parameters) then instantiate OptPx object (takes common
pricing parameters), which is passed into a specific pricing function.
The latter may require additional parameters specific to the exotic
option at hand. A good reference for QFRM is John C. Hull’s textbook
“Options, futures, and Other Derivatives.” Many pricing functions
reference examples in the textbook, so you yourself can verify the
pricing calculation.
Planned updates to include visualization, vectorization of existing functions, as well as pricing/analysis of portfolios of options.
If you discover a bug, possible improvement or just have a question, please contact Oleg Melnikov, xisreal@gmail.com. I will then pass the request, if needed, to the particular contributor. Still, each contributor’s contact information is in the DESCRIPTION file. Also, each function identifies the developer.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.