R-Forge Logo

Welcome to the Fitob R Package

The main focus of the Fitob R Package is the PDE-based financial derivative pricing. Fitob is able to solve not just the Black-Scholes PDE in a multi-dimensional setting, but also the more general Fokker-Planck (convection-diffusion) PDE. Fitob provides a general scripting interface that can describe almost any financial contract in an efficient and unique way. This feature is demonstrated by several examples.

Important links:

The following examples illustrate the PDE-based pricing approach of financial contracts (you can find more examples with detailed explanations in the examples section of the manual ):