Design of financial CDO squared transactions using constraint programming

DOI10.1007/S10601-006-9014-4MaRDI QIDQ2454813zbMATH OpenOpenAlexWikidataFDO

Authors Pierre Flener, Justin Pearson, Olof Sivertsson, Luis G. M. Reyna

Publication date 22 October 2007

Published in Constraints (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10601-006-9014-4

zbMATH Keywords

Balanced incomplete block design (BIBD)CDO squaredCollateralised debt obligation (CDO)Constraint programmingCredit derivativesEmbeddingFinancial mathematicsOptimal portfolio design (OPD)Portfolio design (PD)

Mathematics Subject Classification ID

Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20) Abstract computational complexity for mathematical programming problems (90C60) Portfolio theory (91G10)

Recommendations

• Principles and Practice of Constraint Programming – CP 2004
• VNS approach for solving a financial portfolio design problem
• Efficient hybrid methods for portfolio credit derivatives
• Optimal bespoke CDO design via NSGA-II
• Applications of Global Optimization to Portfolio Analysis

Cites work

• scientific article; zbMATH DE number 2084699 (Why is no real title available?)
• scientific article; zbMATH DE number 867473 (Why is no real title available?)
• scientific article; zbMATH DE number 3253977 (Why is no real title available?)
• Incremental Algorithms for Local Search from Existential Second-Order Logic
• Principles and Practice of Constraint Programming – CP 2004
• Symmetry breaking using stabilizers

Cited in

(4)

• Optimal bespoke CDO design via NSGA-II
• Automatically improving constraint models in Savile Row
• VNS approach for solving a financial portfolio design problem
• Principles and Practice of Constraint Programming – CP 2004

This page was built for publication: Design of financial CDO squared transactions using constraint programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2454813)