View License

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
Improving MATLAB® performance when solving financial optimization problems

Join the 15-year community celebration.

Play games and win prizes!

» Learn more

5.0 | 1 rating Rate this file 9 Downloads (last 30 days) File Size: 1.48 MB File ID: #33597 Version:
image thumbnail

Improving MATLAB® performance when solving financial optimization problems



03 Nov 2011 (Updated )

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011

| Watch this File

File Information

Optimization algorithms are commonly used in the financial industry with examples including Markowitz portfolio optimization, Asset-Liability management, credit-risk management, volatility surface estimation etc. Many optimization problems involve nonlinear objective functions and constraints. These problems can be computationally expensive, especially with numerically estimated gradients. We have seen many cases where optimizations were sped up by incorporating pre-computed analytical derivatives.
In the Wilmott Magazine May 2011 article, we illustrate how optimization problems can be sped up using this approach with MATLAB® and Symbolic Math Toolbox™.

A copy of the article is included in the submission

Required Products Curve Fitting Toolbox
Financial Toolbox
Optimization Toolbox
Symbolic Math Toolbox
MATLAB release MATLAB 7.12 (R2011a)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (1)
31 May 2016 liu lei  
01 Sep 2016

Updated license

Contact us