Olof Sivertsson

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We give an approximate and often extremely fast method of building a particular kind of portfolio in finance, here called a portfolio design (PD), with applications in the credit derivatives market, for example when designing collateralised debt obligations squared (CDO2) transactions. A PD generalises a balanced incomplete block design (BIBD) and is(More)
We present techniques used in the implementation of an efficient constraint program for the portfolio optimization (PO) problem. This important combinatorial problem in the credit derivatives market arises for example when constructing synthetic collateralized debt obligations (CDOs) squared. A close relationship with the balanced incomplete block design(More)
Kelb is a new real-time programming environment developed at Uppsala University for the Sony AIBO ERS-210. It is aimed to provide efficiency by introducing a notion of light-weight tasks executing according to well-known real-time scheduling algorithms and resource protocols, while still allowing applications to be developed in a high-level abstract(More)
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