A model for designing callable bonds and its solution using tabu search

DOI10.1016/S0165-1889(97)00034-1zbMath0901.90011OpenAlexW1964601735MaRDI QIDQ1391445

Andrea Consiglio, Stavros A. Zenios

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00034-1

zbMATH Keywords

simulationtabu searchproduct designparallel computationsfinancial innovationcallable bonds

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (3)

Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Multiterminal net assignments by scatter search

Uses Software

• PVM

Cites Work

• Unnamed Item
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• Optimization by Simulated Annealing
• A stochastic programming model for money management
• Tabu search for nonlinear and parametric optimization (with links to genetic algorithms)
• Tabu Search—Part I
• Tabu Search—Part II
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities

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