The first section of this site is dedicated to the R packages that I
maintain. These are (in alphabetical order):
- cccp: Cone constrained convex programs.
- evir: Covers Extreme Value
- FRAPO: Accompanying package to the
book Financial Risk Modelling and Portfolio Optimisation with
R (2013, see).
- gogarch: Covers multivariate
GARCH models in the guise of the generalised orthogonal
- QRM: Provides functions for
replicating results in Quantitative Risk Modelling: Concepts,
Techniques, and Tools by McNeil, A., Frey, R. and Embrechts,
- rneos: Implementation of
XML-RPC API of
the Network Enabled Optimization System
- urca: Accompanying package to the
book Analysis of Integrated and Cointegrated Time Series with
R (first and second
- vars: This is a complementary
package to urca wherein the class of Vector Auto-Regressive models
– in the broader sense – have been implemented.
The second purpose of this site is to offer additional information to
the books I have written and to provide complimentary
material. Beneath the link in the top box you can access (in
alphabetical order of publishers):
- FAZ: Additional information to the
booklet Modelling Financial Risks.
- Springer: Complimentary
material to the first and second edition of Analysis of
Integrated and Cointegrated Time Series with R, including the R
code examples for download.
- Wiley: Complimentary
material to the first and second edition of Financial Risk
Modelling and Portfolio Optimisation with R.
Last but not least, the presentations held at various conferences are
made available for download. These files have been grouped by the kind
of conference. As most of the presentations have been created
Sweave the source-files are made available upon