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: 2.7-0 (2022-06-29)
source files manual NEWS ChangeLog GitLab/GitHub
Vignettes
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')))