Numerical Methods and Optimization in Finance
2019 (2nd ed.), 2011 (1st ed.), with M. Gilli and
D. Maringer[BibTeX]
The book explains tools for computational finance with an
emphasis on simulation and optimisation ... [more]
Financial Optimisation with R
[pdf][BibTeX]
The nmof
manual: how to do practical financial optimisation in r.
Portfolio Management with R (pmwr)
[html][pdf][BibTeX]
Pricing of financial instruments, computing
profit-and-loss, reporting, backtesting and
[more].
matlab code for ‘A Data-Driven
Optimization Heuristic for Downside Risk Minimization’
(Journal of Risk 8/3, 2006, pp. 1–18) can be
downloaded from the comisef homepage
matlab and r functions for
‘Implementing Binomial Trees’ are available from the comisef homepage.
matlab and r functions for ‘Calibrating Option Pricing Models
with Heuristics’ are available from the
comisef homepage.
r functions for ‘Calibrating the Nelson–Siegel–Svensson
model’ are available from the
comisef homepage.
r function for ‘A note on “good starting values” in
numerical optimisation’ is available from the
comisef homepage.