In this talk we analyse the optimization model, due to Black (1976) , to identify worse-case scenarios for portafolios containing European futures and options. The model has box contraints but the objective function is nonlinear and likely not to be convex. However, in some cases the optimization model is convex and methods based in local minimum can be used.

We present a SQP method for medium-size portafolios to solve the model. Extensive numerical results for solving the instances arising from Mexican business corporations will be discussed.

BIOSKETCH

Zeferino Parada

Bachelor degree: Mathematics/ Universidad Nacional Autonoma de Mexico
Master degree: Mathematics / Universidad Nacional Autonoma de Mexico
Ph.D. : Rice University (Advisor: Richard Tapia)

Current: Associate Professor
Department of Mathematics
Instituto Tecnologico Autonomo de Mexico
Mexico City, Mexico