Enrico Schumann


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.

Version: 2.0-0  (2019-06-25)

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An Overview of the NMOF Package
Fitting the Nelson--Siegel--Svensson model with Differential Evolution
Solving the N-Queens Problem with Local Search
Asset selection with Local Search
Robust Regression with Particle Swarm Optimisation and Differential Evolution
Portfolio Optimisation with Threshold Accepting
Examples for the qTable function
Repairing solutions
Vectorised objective functions

To install the package from a running R session, type:

install.packages('NMOF')  ## CRAN
                 repos = c('http://enricoschumann.net/R', getOption('repos')))

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