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Highlights from
Optimization and Calibration

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Optimization and Calibration

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We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.

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Description

Illustration of Chapter 9 of the book.

We cover genetic algorithms as well as Newton based optimizers.

Especially, we provide a SQP method which is a local optimizer that is globally convergent. we can specify a wide range of boundary conditions.

All this is applied to calibration of financial pricing models

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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Comments and Ratings (5)
18 Dec 2012 Roji

About chapter 9 in the book:

To replicate Heston calibration example (pag501), deopt.m in DeMat folder must be replaced by deopt.m in DeMat folder located at "Pricing and Calibration Framework (Object Oriented)".

11 Dec 2012 Roji

"Differential Evolution" subfolder is missing in the "Heston Caliration SQP, DE, SA" folder.

Kind Regards

18 Nov 2012 Maik  
18 Nov 2012 Maik  
01 Oct 2012 Leonardo  

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