NMOF (0.40-0)

Numerical Methods and Optimization in Finance.


Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. 'Gilli', D. 'Maringer' and E. Schumann (2011), ISBN 978-0123756626. The package provides implementations of several optimisation heuristics, such as Differential Evolution, Genetic Algorithms and Threshold Accepting. There are also functions for the valuation of financial instruments, such as bonds and options, and functions that help with stochastic simulations.

Maintainer: Enrico Schumann
Author(s): Enrico Schumann [aut, cre]

License: GPL-3

Uses: RUnit, quadprog, MASS
Reverse suggests: MSCMT

Released about 3 years ago.