NMOF: Numerical Methods and Optimization in Finance

Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626. The package provides implementations of several optimisation heuristics, such as Differential Evolution, Genetic Algorithms and Threshold Accepting. There are also functions for the valuation of financial instruments, such as bonds and options, and functions that help with stochastic simulations.

Package details

AuthorEnrico Schumann [aut, cre] (<https://orcid.org/0000-0001-7601-6576>)
MaintainerEnrico Schumann <[email protected]>
URL http://nmof.net http://enricoschumann.net/NMOF
Package repositoryView on CRAN
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NMOF documentation built on May 2, 2019, 2:11 p.m.