Numerical methods and optimization in finance

DOI10.1016/C2017-0-01621-XMaRDI QIDQ3121337zbMATH OpenFDO

Authors Manfred Gilli, Enrico Schumann, Dietmar G. Maringer

Publication date 15 March 2019

Full work available at URL https://doi.org/10.1016/C2017-0-01621-X

zbMATH Keywords

optimizationalgorithmsheuristicssimulationeconometricsfinanceportfolionumerical methodsassets

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Numerical methods (including Monte Carlo methods) (91G60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Cited in

(20)

• Revisiting `survival of the fittest' principle in global stochastic optimisation: incorporating anisotropic mutations
• Consistency issues for numerical methods for variance control, with applications to optimization in finance
• Modeling and Active Learning for Experiments with Quantitative-Sequence Factors
• Relaxation parameters and composite refinement techniques
• ROTEC: robust to early termination command governor for systems with limited computing capacity
• Constructing banking networks under decreasing costs of link formation
• Introduction to financial optimization: Mathematical programming special issue
• Novel methods in computational finance
• Repeated measurements and random scattering in quantum walks
• scientific article; zbMATH DE number 5935369 (Why is no real title available?)
• Natural computing in computational finance. Vol. 4. Some papers based on the presentations at the 4th European workshop on evolutionary computation in finance and economics (EvoFIN 2010), Istanbul, Turkey, April 7--9, 2010
• Optimization Methods in Finance
• Tools for computational finance
• Bi-objective reliability based optimization: an application to investment analysis
• scientific article; zbMATH DE number 1981778 (Why is no real title available?)
• Discrete Algorithms for Multivariate Financial Calculus
• Tools for computational finance
• Optimization methods in finance.
• Computational finance. An introductory course with R
• Implied value-at-risk and model-free simulation

Describes a project that uses

Uses Software

• R
• Matlab

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