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.
- Version2.10-1
- R version≥ 3.5
- LicenseGPL-3
- Needs compilation?No
- NMOF citation info
- Last release11/03/2024
Documentation
- VignetteAn Overview of the NMOF Package
- VignetteFitting the Nelson–Siegel–Svensson model with Differential Evolution
- VignetteSolving the N-Queens Problem with Local Search
- VignetteAsset selection with Local Search
- VignetteRobust Regression with Particle Swarm Optimisation and Differential Evolution
- VignettePortfolio Optimisation with Threshold Accepting
- VignetteFunctions for portfolio selection
- VignetteExamples for the qTable function
- VignetteRepairing solutions
- VignetteVectorised objective functions
- MaterialREADME
- MaterialNEWS
- In ViewsFinance
- In ViewsOptimization
- In ViewsReproducibleResearch
Team
Enrico Schumann
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