NMOF: Numerical Methods and Optimization in Finance

Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). The package provides implementations of optimisation heuristics (Differential Evolution, Genetic Algorithms, Particle Swarm Optimisation, Simulated Annealing and Threshold Accepting), and other optimisation tools, such as grid search and greedy search. There are also functions for the valuation of financial instruments such as bonds and options, for portfolio selection and functions that help with stochastic simulations.

Package details

AuthorEnrico Schumann [aut, cre] (<https://orcid.org/0000-0001-7601-6576>)
MaintainerEnrico Schumann <es@enricoschumann.net>
LicenseGPL-3
Version2.8-0
URL http://enricoschumann.net/NMOF.htm https://gitlab.com/NMOF https://git.sr.ht/~enricoschumann/NMOF https://github.com/enricoschumann/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 Oct. 20, 2023, 9:07 a.m.