# 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 (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: 1.4-2 (2018-05-18)

source files manual NEWS ChangeLog

## Vignettes

An Overview of the NMOF PackageFitting 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 install.packages('NMOF', type = 'source', repos = c('http://enricoschumann.net/R', getOption('repos')))