https://github.com/enricoschumann/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

black-scholes differential-evolution genetic-algorithm grid-search heuristics implied-volatility local-search optimization particle-swarm-optimization r simulated-annealing threshold-accepting

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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 .

• Host: GitHub
• URL: https://github.com/enricoschumann/nmof
• Owner: enricoschumann
• License: other
• Created: 2016-04-10T19:45:25.000Z (over 9 years ago)
• Default Branch: master
• Last Pushed: 2025-06-28T07:19:18.000Z (3 months ago)
• Last Synced: 2025-06-28T08:27:38.643Z (3 months ago)
• Topics: black-scholes, differential-evolution, genetic-algorithm, grid-search, heuristics, implied-volatility, local-search, optimization, particle-swarm-optimization, r, simulated-annealing, threshold-accepting
• Language: R
• Homepage: http://enricoschumann.net/NMOF
• Size: 4.1 MB
• Stars: 37
• Watchers: 3
• Forks: 6
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • Changelog: ChangeLog
  • License: LICENSE

Awesome Lists containing this project

README

          
# 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](https://www.unige.ch/gsem/en/research/faculty/honorary-professors/manfred-gilli/),

[D. Maringer](https://wwz.unibas.ch/de/personen/dietmar-maringer/)

and [E. Schumann](https://enricoschumann.net/)

(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/](https://enricoschumann.net/R/packages/NMOF/).

A stable version is available from

[CRAN](https://cran.r-project.org/package=NMOF).

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](https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/nmof-news).

An [RSS feed of the package NEWS file](https://enricoschumann.net/R/packages/NMOF/NMOF_news.xml)

is also available.

Applications, as long as they are finance-related, should be

discussed on the [R-SIG-Finance mailing list](https://stat.ethz.ch/mailman/listinfo/r-sig-finance).

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](https://enricoschumann.net/NMOF.htm).

Academic Press, 2019.