Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization

DOI10.3934/jimo.2017014zbMath1406.91501OpenAlexW2560421275MaRDI QIDQ2411157

Roya Soltani, Seyed Jafar Sadjadi, Mona Rahnama

Publication date: 20 October 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017014

zbMATH Keywords

artificial intelligencenonlinear programmingfinancial engineeringmeta-heuristic approachesgradient search methodsparsimonious methodyield curve optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Learning and adaptive systems in artificial intelligence (68T05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Forecasting the term structure of government bond yields
• Comparison of non-linear optimization algorithms for yield curve estimation
• An electromagnetism-like mechanism for global optimization
• Nonlinear Programming