Article ID Journal Published Year Pages File Type
1143920 Systems Engineering Procedia 2012 10 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering