Geodesic
Variable Neighbourhood Search for Financial Derivative Problem
Yugoslav journal of operations research, Tome 29 (2019) no. 3, p. 359 Cet article a éte moissonné depuis la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

Voir la notice de l'article

We propose a new matching problem for combinatorial optimization in financial markets. The problem studied here has arisen from the financial regulators that collect transaction data across regulated assets classes. Unlike previous matching problems, our focus is to identify any unhedged/unmatched derivative, Contract for Difference (CFD) with its corresponding underlying asset that has been reported to the corresponding component authorities. The underlying asset and CFD transaction contain variables like volume and price. Therefore, we are looking for a combination of underlying asset variables that may hedge/match the equivalent CFD variables. Our aim is to identify unhedged/unmatched CFD’s. This problem closely relates to the goal programming problem with variable parameters. In this paper, we construct and implement a variant of Basic Variable Neighborhood Search (BVNS) with our newly constructed local search techniques that performs efficient neighborhood search to solve these types of problems. Computational results show that the proposed approach achieve good solutions.
Classification : 90B06, 90C05, 90C08
Keywords: Goal Programming problem, Contract for Difference, Equity, Metaheuristics, Variable Neighborhood Search 
@article{YJOR_2019_29_3_a4,
     author = {Nareyus I Lawrance Amaldass and Cormac Lucas and Nenad Mladenovi\'c},
     title = {Variable {Neighbourhood} {Search} for {Financial} {Derivative} {Problem}},
     journal = {Yugoslav journal of operations research},
     pages = {359 },
     year = {2019},
     volume = {29},
     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/YJOR_2019_29_3_a4/}
}
TY  - JOUR
AU  - Nareyus I Lawrance Amaldass
AU  - Cormac Lucas
AU  - Nenad Mladenović
TI  - Variable Neighbourhood Search for Financial Derivative Problem
JO  - Yugoslav journal of operations research
PY  - 2019
SP  - 359 
VL  - 29
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/YJOR_2019_29_3_a4/
LA  - en
ID  - YJOR_2019_29_3_a4
ER  - 
%0 Journal Article
%A Nareyus I Lawrance Amaldass
%A Cormac Lucas
%A Nenad Mladenović
%T Variable Neighbourhood Search for Financial Derivative Problem
%J Yugoslav journal of operations research
%D 2019
%P 359 
%V 29
%N 3
%U http://geodesic.mathdoc.fr/item/YJOR_2019_29_3_a4/
%G en
%F YJOR_2019_29_3_a4
Nareyus I Lawrance Amaldass; Cormac Lucas; Nenad Mladenović. Variable Neighbourhood Search for Financial Derivative Problem. Yugoslav journal of operations research, Tome 29 (2019) no. 3, p. 359 . http://geodesic.mathdoc.fr/item/YJOR_2019_29_3_a4/