NMOF

MaRDI QIDQ23249swMATHCRANFDO

Authors Enrico Schumann

Last update 20 October 2023

Copyright license GNU General Public License, version 3.0

Software version identifier 2.7-1, 0.20-0, 0.22-0, 0.23-1, 0.25-4, 0.27-0, 0.28-0, 0.28-2, 0.34-0, 0.34-1, 0.34-2, 0.36-2, 0.40-0, 1.2-2, 1.4-1, 1.4-3, 1.6-0, 2.0-1, 2.1-0, 2.2-2, 2.3-1, 2.4-0, 2.4-1, 2.5-0, 2.5-1, 2.7-0, 2.8-0

Official website http://cran.r-project.org/web/packages/NMOF/index.html

Source code repository https://github.com/cran/NMOF

Description

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.

Cited in

(34)

• AssetAllocation
• Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
• Detection of local tourism systems by threshold accepting
• The 3rd special issue on optimization heuristics in estimation and modelling problems
• Heuristic optimisation in financial modelling
• cmaes
• Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
• Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
• rgenoud
• Path integral Monte Carlo method for option pricing
• Giotto
• How to handle negative interest rates in a CIR framework
• ROTEC: robust to early termination command governor for systems with limited computing capacity
• Constructing banking networks under decreasing costs of link formation
• An equivalent mathematical program for games with random constraints
• RcppDE
• Exact computation of censored least absolute deviations estimator
• adagio
• nloptwrap
• Rmalschains
• Exact and heuristic approaches for the index tracking problem with UCITS constraints
• Relaxation parameters and composite refinement techniques
• Construction of uniform projection designs via level permutation and expansion
• rneos
• pso
• soma
• hydroPSO
• MaxMC
• A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
• LHD
• Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
• A fast numerical method to price American options under the Bates model
• landmulti
• PMwR

This page was built for software: NMOF