# Enrico Schumann

# 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.

Version: 2.2-2 (2020-10-20)

source files manual NEWS ChangeLog GitLab/GitHub

## 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

Functions for portfolio selection

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', repos = c('http://enricoschumann.net/R', getOption('repos')))