R packages

tmvtnorm

This package contains useful methods for the truncated multivariate normal distribution. An overview article has been published in The R Journal as “tmvtnorm: A Package For the Truncated Multivariate Normal Distribution” (joint with Manjunath B G). More information about this package is available at CRAN http://cran.r-project.org/tmvtnorm

fCertificates

fCertificates contains a collection for pricing methods for structured derivatives in Germany and Switzerland. It covers simple structures like covered calls, or so-called Easy-Express certificates. All these certificates have in common that they may be duplicated using simpler plain-vanilla call and put options or barrier options (e.g. down-and-out put). More information is available at the package website at http://CRAN.R-project.org/package=fCertificates.

fExpressCertificates

This package implements a number of methods for pricing autocallables, which are primarily marketed under the name of Express Certificates in Germany. It prices these derivatives in a framework of truncated multinormal returns and, hence, builds upon the tmvtnorm package. More information is available at the package website at http://CRAN.R-project.org/package=fExpressCertificates.

spatialprobit

This package implements the Bayesian estimation of spatial limited-dependent variable models in R like spatial lag and error probit, spatial ordered probit and spatial Tobit. The estimation has been optimized for large data sets with the help of sparse spatial weights matrices.

More information, including code examples, is available at CRAN http://CRAN.R-project.org/package=spatialprobit and in our R Journal article “Estimating Spatial Probit Models in R” (joint with Miguel Godinho de Matos).