Computational Optimization Methods in Statistics, Econometrics and FinanceComputational Optimization Methods in Statistics, Econometrics and Finance

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Resources

This section provides publicly accessible resources produced by COMISEF members.

Please follow the links below.

  • A Data-Driven Optimization Heuristic for Downside Risk Minimization
  • Matlab and R functions for "Implementing Binomial Trees"
  • COMISEF Fellows’ Workshop on Numerical Methods and Optimisation in Finance
  • Matlab and R functions for "Calibrating Option Pricing Models with Heuristics"
  • R functions for "Calibrating the Nelson–Siegel–Svensson model"
  • R function for "A note on ‘good starting values’ in numerical optimisation"
A Data-Driven Optimization Heuristic for Downside Risk Minimization ›
COMISEF 2007-2013