{"title":"信用衍生品依赖结构的推导:一种差分演化方法","authors":"Xu Wei, Hu Zuhui","doi":"10.1016/j.sepro.2012.04.060","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"5 ","pages":"Pages 388-397"},"PeriodicalIF":0.0000,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.060","citationCount":"0","resultStr":"{\"title\":\"Deriving Dependence Structure of Credit Derivatives: A Differential Evolution Approach\",\"authors\":\"Xu Wei, Hu Zuhui\",\"doi\":\"10.1016/j.sepro.2012.04.060\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":101207,\"journal\":{\"name\":\"Systems Engineering Procedia\",\"volume\":\"5 \",\"pages\":\"Pages 388-397\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.060\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Systems Engineering Procedia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2211381912001038\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Engineering Procedia","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2211381912001038","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Deriving Dependence Structure of Credit Derivatives: A Differential Evolution Approach
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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