Investment Company Calibrate Nonlinear Least Squares Problem with NAG® Library Optimization Solvers

Global Investment Company Exane use NAG® Library optimization solvers to calibrate parametric arbitrage-free volatility surfaces. After a testing phase including benchmarking NAG solvers against other numerical libraries, and open-source alternatives, the NAG® Library was selected for its performance, efficiency, and reliability.

Global asset management company enhances portfolio construction tool with NAG routines

Applications experts from Schroders, a global asset management company, have developed an in-house portfolio construction tool. The system SMART (Schroders Multi-Asset Risk Technology), is a highly flexible, open architecture toolset application that produces optimal portfolios relative to a variety of client-specified investment benchmarks as well as reporting on portfolio risk.

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