NMOF (2.1-0)

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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, and functions that help with stochastic simulations.

Maintainer: Enrico Schumann
Author(s): Enrico Schumann [aut, cre] (<https://orcid.org/0000-0001-7601-6576>)

License: GPL-3

Uses: RUnit, quadprog, MASS, readxl, datetimeutils, PMwR
Reverse suggests: MSCMT

Released about 1 month ago.

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