Research

  • Test Problems for NonLinear, Stochastic, Mixed-Integer Optimization
  • TEST PROBLEMS: RISK MANAGEMENT, FINANCIAL ENGINEERING, ADVANCED STATISTICS, LOGISTICS, and MEDICAL APPLICATIONS. The test problems include problem statements, data, and calculation results.
    Research is focused on Financial Engineering Applications: portfolio optimization, asset and liability management (ALM), trading strategies, credit cards scoring, credit rating, derivatives pricing), Structured Finance (collateralized debt obligation (CDO), convertible bonds, mortgage backed securities); Risk Management (optimization of tail risk, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), Expected Shortfall, Credit Risk, Drawdown, option pricing) and military applications.