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 |
Depends: |
R (≥ 2.14) |
Imports: |
grDevices, graphics, parallel, stats, utils |
Suggests: |
MASS, PMwR, RUnit, Rglpk, datetimeutils, openxlsx, quadprog, readxl, tinytest |
Published: |
2022-08-19 |
Author: |
Enrico Schumann
[aut, cre] |
Maintainer: |
Enrico Schumann <es at enricoschumann.net> |
License: |
GPL-3 |
URL: |
https://gitlab.com/NMOF, https://github.com/enricoschumann/NMOF,
http://enricoschumann.net/NMOF.htm |
NeedsCompilation: |
no |
Classification/JEL: |
C61, C63 |
Citation: |
NMOF citation info |
Materials: |
NEWS |
In views: |
Finance, Optimization, ReproducibleResearch |
CRAN checks: |
NMOF results |
Documentation:
Downloads:
Reverse dependencies:
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