NMOF: 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. 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.
Keywords for this software
References in zbMATH (referenced in 5 articles , 1 standard article )
Showing results 1 to 5 of 5.
- Ballestra, Luca Vincenzo; Cecere, Liliana: A fast numerical method to price American options under the Bates model (2016)
- Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; Krink, Thiemo: Exact and heuristic approaches for the index tracking problem with UCITS constraints (2013)
- Gilli, Manfred; Schumann, Enrico: Heuristic optimisation in financial modelling (2012)
- Maringer, Dietmar (ed.); Paterlini, Sandra (ed.); Winker, Peter (ed.): The 3rd special issue on optimization heuristics in estimation and modelling problems (2012)
- Gilli, Manfred; Maringer, Dietmar; Schumann, Enrico: Numerical methods and optimization in finance (2011)