Enrico Schumann

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 (2nd edition, 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, and functions that help with stochastic simulations.

Version: 2.0-0  (2019-09-13)

source files    manual    NEWS    ChangeLog

Vignettes

An Overview of the NMOF Package
Fitting the Nelson--Siegel--Svensson model with Differential Evolution
Style Analysis 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
Random solutions
Repairing solutions
Vectorised objective functions

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

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

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