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)- landmulti
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- ROTEC: robust to early termination command governor for systems with limited computing capacity
- The 3rd special issue on optimization heuristics in estimation and modelling problems
- 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
- Heuristic optimisation in financial modelling
- Relaxation parameters and composite refinement techniques
- Path integral Monte Carlo method for option pricing
- rgenoud
- Construction of uniform projection designs via level permutation and expansion
- cmaes
- Giotto
- RcppDE
- adagio
- nloptwrap
- Rmalschains
- rneos
- pso
- hydroPSO
- soma
- MaxMC
- LHD
- Constructing banking networks under decreasing costs of link formation
- PMwR
- How to handle negative interest rates in a CIR framework
- A fast numerical method to price American options under the Bates model
- AssetAllocation
- Detection of local tourism systems by threshold accepting
- A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
- Exact computation of censored least absolute deviations estimator
- An equivalent mathematical program for games with random constraints
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