[NMOF-news] Second edition of NMOF (the book) has been published

[Enrico Schumann]

Dear all,

we are happy to announce that the second edition of
"Numerical Methods and Optimization in Finance" has now
been published.

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 with tutorial for heuristic
  search/optimization, including case studies (portfolio
  optimization, variable selection for regression model)

- new chapter 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
  and 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

- 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)



Some draft materials are available from SSRN
( https://ssrn.com/abstract=3374195 and
  https://ssrn.com/abstract=3391756 ).

The updated version of the NMOF package
-- to become version 2.0 -- is not yet on CRAN
but can be obtained from

  http://enricoschumann.net/R/packages/NMOF/

and

  https://github.com/enricoschumann/NMOF


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