NMOF
swMATH11303CRANNMOFMaRDI QIDQ23249FDOQ23249
Numerical Methods and Optimization in Finance
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
Source code repository: https://github.com/cran/NMOF
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.
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- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- 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
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
- The 3rd special issue on optimization heuristics in estimation and modelling problems
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- MaxMC
- PMwR
- AssetAllocation
- Path integral Monte Carlo method for option pricing
- Construction of uniform projection designs via level permutation and expansion
- An equivalent mathematical program for games with random constraints
- A fast numerical method to price American options under the Bates model
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