Practical financial optimization. A library of GAMS models

MaRDI QIDQ5392482zbMATH OpenFDO

Authors Andrea Consiglio, Soren S. Nielsen, Stavros A. Zenios

Publication date 12 April 2011

zbMATH Keywords

\texttt{FINLIB}\texttt{GAMS}\url{http://www.gams.com/finlib}

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Software, source code, etc. for problems pertaining to operations research and mathematical programming (90-04) Applications of mathematical programming (90C90) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
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• scientific article; zbMATH DE number 2065134

Cited in

(4)

• GUSS: solving collections of data related models within \texttt{GAMS}
• GAMS: A stylistic approach to economic modelling
• A parsimonious model for generating arbitrage-free scenario trees
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz

Describes a project that uses

Uses Software

• GAMS
• GAMS Model

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