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Financial Applications

KNITRO is the premier solver for all types of nonlinear optimization in financial applications.

  Large scale computations. The Interior Point algorithms are designed for large problems, offering a variety of options to best handle the structural sparsity of particular functions. 64-bit versions are not bound by the 2 Gbyte memory limit of 32-bit machines. The multi-start option can explore nonconvex problem domains to find better solutions.
  Real time applications. The shared object library can be safely embedded in a multithreaded application, running separate copies of KNITRO to serve client requests. Related optimization problems can be solved rapidly by warm starting the Active Set algorithm.

KNITRO is used in commercial applications for:

  • Portfolio Optimization
  • Optimal Pricing
  • Risk Management
  • Credit Risk
  • Strategic Bidding and Auctions (Nash equilibrium)
  • Demand Optimization
  • Nonlinear Least Squares (data fitting)

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Case Studies

  Finance Birge PDF Nonlinear Optimization Methods with Financial Applications. John Birge summarizes financial applications and the role that nonlinear optimization methods play in their solution. Professor Birge is a faculty member of the University of Chicago Graduate School of Business, and consults for Ziena Optimization. January 2007. PDF, 6 pages, 160k.
Options Nocedal PDF The ZIENA Solver for American Options Pricing. Jorge Nocedal discusses the robustness, speed, and ease of use of the Ziena software engine for real-time trading of options. Professor Nocedal is on the faculty at Northwestern University, McCormick Engineering, Department of Electrical Engineering and Computer Science. February 2008. PDF, 2 pages

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