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NMOF

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). This repository mirrors https://gitlab.com/NMOF/NMOF .

https://github.com/enricoschumann/nmof

Science Score: 26.0%

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    CITATION.cff file
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    Low similarity (10.1%) to scientific vocabulary

Keywords

black-scholes differential-evolution genetic-algorithm grid-search heuristics implied-volatility local-search optimization particle-swarm-optimization r simulated-annealing threshold-accepting
Last synced: 6 months ago · JSON representation

Repository

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). This repository mirrors https://gitlab.com/NMOF/NMOF .

Basic Info
Statistics
  • Stars: 37
  • Watchers: 3
  • Forks: 7
  • Open Issues: 0
  • Releases: 0
Topics
black-scholes differential-evolution genetic-algorithm grid-search heuristics implied-volatility local-search optimization particle-swarm-optimization r simulated-annealing threshold-accepting
Created almost 10 years ago · Last pushed 8 months ago
Metadata Files
Readme Changelog License

README.md

Numerical Methods and Optimisation 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.

Installing the package

The latest build of the package is always available from https://enricoschumann.net/R/packages/NMOF/. A stable version is available from CRAN.

To install the package from within an R session, type:

install.packages('NMOF')  ## CRAN version
install.packages('NMOF',  ## development version
                 repos = c('https://enricoschumann.net/R',
                           getOption('repos')))

News, feedback and discussion

New package releases and other news related to the book or the package are announced on the NMOF-news mailing list.

An RSS feed of the package NEWS file is also available.

Applications, as long as they are finance-related, should be discussed on the R-SIG-Finance mailing list.

Please send bug reports or suggestions directly to the package maintainer, for instance by using =bug.report=.

library("utils")
bug.report("[NMOF] Unexpected behaviour in function XXX",
           maintainer("NMOF"), package = "NMOF")

References

Manfred Gilli, Dietmar Maringer and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press, 2019.

Owner

  • Name: Enrico Schumann
  • Login: enricoschumann
  • Kind: user
  • Location: Switzerland

GitHub Events

Total
  • Issues event: 1
  • Watch event: 3
  • Issue comment event: 1
  • Push event: 12
  • Fork event: 1
  • Create event: 4
Last Year
  • Issues event: 1
  • Watch event: 3
  • Issue comment event: 1
  • Push event: 12
  • Fork event: 1
  • Create event: 4

Committers

Last synced: 7 months ago

All Time
  • Total Commits: 677
  • Total Committers: 3
  • Avg Commits per committer: 225.667
  • Development Distribution Score (DDS): 0.239
Past Year
  • Commits: 17
  • Committers: 1
  • Avg Commits per committer: 17.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
Enrico Schumann es@e****t 515
enricoschumann e****n@e****b 161
stefan7th s****h@e****b 1
Committer Domains (Top 20 + Academic)
enricoschumann.net: 1

Issues and Pull Requests

Last synced: 6 months ago

All Time
  • Total issues: 4
  • Total pull requests: 0
  • Average time to close issues: over 1 year
  • Average time to close pull requests: N/A
  • Total issue authors: 4
  • Total pull request authors: 0
  • Average comments per issue: 3.75
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 0
  • Pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
  • clcsar (1)
  • SatoshiReport (1)
  • pgarnry (1)
  • Thie1e (1)
Pull Request Authors
Top Labels
Issue Labels
Pull Request Labels

Packages

  • Total packages: 1
  • Total downloads:
    • cran 1,058 last-month
  • Total docker downloads: 43,390
  • Total dependent packages: 7
  • Total dependent repositories: 12
  • Total versions: 29
  • Total maintainers: 1
cran.r-project.org: NMOF

Numerical Methods and Optimization in Finance

  • Versions: 29
  • Dependent Packages: 7
  • Dependent Repositories: 12
  • Downloads: 1,058 Last month
  • Docker Downloads: 43,390
Rankings
Docker downloads count: 0.6%
Dependent packages count: 6.6%
Average: 7.9%
Dependent repos count: 8.4%
Forks count: 8.7%
Stargazers count: 8.8%
Downloads: 14.1%
Maintainers (1)
es@enricoschumann.net
Last synced: 6 months ago