NMOF

swMATH11303CRANNMOFMaRDI QIDQ23249

Numerical Methods and Optimization in Finance

Enrico Schumann

Last update: 20 October 2023

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

Copyright license: GNU General Public License, version 3.0

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.