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Rapid computation of value and risk for derivatives portfolios.

Stephen WestonJames SpoonerSébastien RacanièreOskar Mencer
Published in: Concurr. Comput. Pract. Exp. (2012)
Keyphrases
  • higher order
  • portfolio optimization
  • efficient computation
  • parallel computation
  • investment decisions
  • genetic algorithm
  • information systems
  • risk management
  • risk assessment