Derivative-free optimisation techniques have emerged as indispensable tools in addressing complex problems where gradient information is either unavailable or unreliable. Such methods bypass the need ...

This is a preview. Log in through your library . Abstract Under what circumstances can finite difference approximations serve as substitutes for analytical derivatives in unconstrained optimization?

No algorithm for optimizing general nonlinear functions exists that will always find the global optimum for a general nonlinear minimization problem in a reasonable amount of time. Since no single ...

In the post-financial crisis environment, the nature of collateral and liquidity management has changed dramatically. Once a simple operational process, it is now a risk-based process in which ...

Derivatives market participants have renewed their focus on capital and margin optimization in response to the high cost of capital and the regulatory push toward central clearing, according to ...

Since the global financial crisis regulators have aimed to reduce systemic risk and increase transparency by expanding the use of collateral—the exchange of cash or securities to mitigate default risk ...

In the third week of January, Capitolis completed its 19th standardized approach – counterparty credit risk (SA-CCR) optimization run for FX derivatives. This latest series of compression trades ...