Currently, I am looking deeper into the topic of second-order cone programming. Could you suggest packages that solve SOCP-problems in R? With your answer, please provide a short description of ...
I am fitting the t-distribution to log-returns numerically (not using R, MATLAB, Stata, etc.), but rather using general programming. Assuming the log-return values are $r_t$, and the $t$-variates are ...
I am modelling an option value model of retirement, see for instance Stock and Wise (1990). I am however not sure to which class of problems this model falls into and hence which optimization method I ...
Please note: I posted this in nuclearphynance first, but didn't get any replies. For desks which sell exotics it is common practice (as far as I know it) to calibrate the model (Stochastic ...