[NMOF-news] NMOF 2nd edition

[Enrico Schumann]

A second edition of "Numerical Methods and Optimization
in Finance" is currently in preparation and will be
released later this year.

Publisher's official website:

  https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8


What's new in the second edition:

- new chapter (50+ pages) with tutorial for heuristic
  search/optimization, including case studies
  (portfolio optimization, variable selection for
  regression model)

- new chapter (50+ pages) on backtesting investment
  strategies: how to do it, what pitfalls to avoid, and
  complete description for using and applying
  backtesting software

- expanded chapter on portfolio selection: new models
  und algorithms

- tutorial on parallel computing, with applications in
  backtesting

- chapter 3 (linear equations and Least-Squares
  problems) gains an appendix on solving linear systems
  in R

- the NMOF package has been _substantially_ expanded
  since the first edition: there are now functions for
  genetic algorithms, grid search, option pricing and
  much more; all are described in the new edition of
  the book

- many more code examples are now provided for both
  MATLAB and R

- code is provided for reproducing many of the figures
  in the book

- many additional code recipes have been included
  (e.g. for handling rank-deficient matrices)


-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net