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 ...

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 ...

The input argument fun refers to an IML module that specifies a function that returns f, a vector of length m for least-squares subroutines or a scalar for other optimization subroutines. The returned ...

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 ...

The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

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