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Aug 11

Optimization packages

Posted by abiao at 07:40 | Code » Code site | Comments(3) | Reads(9486)
Optimization models play an increasingly important role in financial decisions. Many computational nance problems ranging from asset allocation to risk management, from option pricing to model calibration can be solved efficiently using modern optimization techniques. Several classes of optimization problems including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming are often encountered in fi nancial models. This site collects dozens of optimization packages in different programming languages, you will find one for you.


http://www.rpi.edu/~mitchj/pack.html#abacus
wiki(Optimization)


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