2009

Optimization Software for Financial Mathematics

by

Hans D. Mittelmann
(Department of Math & Stats, Arizona State University)

on

January 05, 2009
(Tuesday)

at

02:30 ? 03:30 PM
L H ? 1, Department of Mathematics
Indian Institute of Science, Bangalore


Abstract

Information about available software to solve a large variety of optimization problems is provided at plato.asu.edu/guide.html while some
of this software is evaluated at plato.asu.edu/bench.html. Starting with these sources an overview will be given on codes that are particularly
useful for applications in mathematical finance.