Debian Science Project
Summary
Financial engineering
Debian Science financial engineering and computational finance

This metapackage will install Debian Science packages for financial engineering and computational finance.

Description

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Debian Science Financial engineering packages

Official Debian packages with high relevance

libstopt-dev
library for stochastic optimization problems (development package)
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The STochastic OPTimization library (StOpt) aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. Different methods are available:

  • dynamic programming methods based on Monte Carlo with regressions (global, local, kernel and sparse regressors), for underlying states following some uncontrolled Stochastic Differential Equations;
  • dynamic programming with a representation of uncertainties with a tree: transition problems are here solved by some discretizations of the commands, resolution of LP with cut representation of the Bellman values;
  • Semi-Lagrangian methods for Hamilton Jacobi Bellman general equations for underlying states following some controlled Stochastic Differential Equations;
  • Stochastic Dual Dynamic Programming methods to deal with stochastic stock management problems in high dimension. Uncertainties can be given by Monte Carlo and can be represented by a state with a finite number of values (tree);
  • Some branching nesting methods to solve very high dimensional non linear PDEs and some appearing in HJB problems. Besides some methods are provided to solve by Monte Carlo some problems where the underlying stochastic state is controlled. For each method, a framework is provided to optimize the problem and then simulate it out of the sample using the optimal commands previously computed. Parallelization methods based on OpenMP and MPI are provided in this framework permitting to solve high dimensional problems on clusters. The library should be flexible enough to be used at different levels depending on the user's willingness.

This package contains the headers and the static libraries (libstopt-mpi which allows for multithreading, and libstopt which does not).

The package is enhanced by the following packages: stopt-examples
python3-stopt
library for stochastic optimization problems (Python 3 bindings)
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The STochastic OPTimization library (StOpt) aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. Python 3 bindings are provided by this package in order to allow one to use the C++ library in a Python code.

The package is enhanced by the following packages: stopt-examples
r-cran-fasianoptions
GNU R package for financial engineering -- fAsianOptions
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fAsianOptions provides functions to price and hedge 'asian' (i.e. averaging) options on one or several assets.

r-cran-fassets
GNU R package for financial engineering -- fAssets
Maintainer: Dirk Eddelbuettel
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This package provides functions for modelling and selection of financial assets is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fAssets provides asset selection and modelling functions.

r-cran-fbasics
GNU R package for financial engineering -- fBasics
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fBasics provides basic statistical tests, distributions and other tools used by many of the Rmetrics packages.

r-cran-fbonds
GNU R package for financial engineering -- fBonds
Maintainer: Dirk Eddelbuettel
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This package provides functions for bond and yield curve modelling and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fBonds provides modelling functions for bonds and interest rate models.

r-cran-fcopulae
GNU R package for financial engineering -- fCopulae
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fCopulae provides functions for (nonlinear) dependence structure modelling.

r-cran-fexoticoptions
GNU R package for financial engineering -- fExoticOptions
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fExoticOptions provides functions to price and hedge exotic options on one or several assets.

r-cran-fextremes
GNU R package for financial engineering -- fExtremes
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fExtremes provides functions to analyze extreme values.

r-cran-fgarch
GNU R package for financial engineering -- fGarch
Maintainer: Dirk Eddelbuettel
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This package provides functions for GARCH volatility modelling and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fGarch provides generalized autoregressive conditional heteroscastic modelling functions.

r-cran-fimport
GNU R package for financial engineering -- fImport
Maintainer: Dirk Eddelbuettel
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This package provides functions to import financial and economic data series import and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fImport provides import function to access (free) data from Economagic, the US Federal Reserve, Forecasts.Org, Yahoo and other web sources.

r-cran-fmultivar
GNU R package for financial engineering -- fMultivar
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fMultivar provides multivariate analysis for financial time series.

r-cran-fnonlinear
GNU R package for financial engineering -- fNonlinear
Maintainer: Dirk Eddelbuettel
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This package provides functions for modelling of nonlinear time series and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fNonlinear provides nonlinear time series modelling functions.

r-cran-foptions
GNU R package for financial engineering -- fOptions
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fOptions provides functions to price and hedge plain and exotic options on one or several assets.

r-cran-fportfolio
GNU R package for financial engineering -- fPortfolio
Maintainer: Dirk Eddelbuettel
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This package of functions for financial engineering and computational finance is part of Rmetrics, a collection of packages written and compiled by Diethelm Wuertz.

fPortfolio provides functions for portfolio and asset price modeling, drawdown statistics, value-at-risk and Markowitz portfolio construction.

r-cran-fregression
GNU R package for financial engineering -- fRegression
Maintainer: Dirk Eddelbuettel
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This package provides functions for regression-based decision and prediction and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fRegression provides functions for regression-based decision and prediction.

r-cran-ftrading
GNU R package for financial engineering -- fTrading
Maintainer: Dirk Eddelbuettel
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This package provides functions to import financial and economic data series import and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fTrading provides functions for technical trading analysis.

r-cran-funitroots
GNU R package for financial engineering -- fUnitRoots
Maintainer: Dirk Eddelbuettel
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This package provides functions for unit root modelling of non-stationary time series and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

fUnitRoots provides modelling functions for non-stationary time series.

r-cran-timedate
GNU R package for financial engineering -- timeDate
Maintainer: Dirk Eddelbuettel
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This package provides functions for chronological and calendarical objects and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

timeDate provides functions for chronological and calendarical objects.

r-cran-timeseries
GNU R package for financial engineering -- timeSeries
Maintainer: Dirk Eddelbuettel
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This package provides functions for financial time series objects and is part of Rmetrics, a collection of packages for financial engineering and computational finance written and compiled by Diethelm Wuertz and others.

timeDate provides functions for financial time series objects.

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