NMOF: Numerical Methods and Optimization in Finance
Version 1.2-2

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]
Date of publication2017-10-20 10:05:50 UTC
MaintainerEnrico Schumann <[email protected]>
LicenseGPL-3
Version1.2-2
URL http://nmof.net http://enricoschumann.net/NMOF
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("NMOF")

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NMOF documentation built on Nov. 17, 2017, 7:39 a.m.