Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1143920 | Systems Engineering Procedia | 2012 | 10 Pages |
Abstract
This paper focuses on the application of an original engineering global optimization algorithm, based on matrixing operators, positive semi-definite transformation and DE algorithm, for the resolution of constrained optimization problem for credit derivative correlation relationships. Results are analyzed confirming their efficiencies from a financial point view.
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