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Optimization and Calibration

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

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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

Comments and Ratings (7)

jw chen

thanks!it is much better if you could tell us how to use them

Marc Matten

I'm currently working with your SQP solver 'modSQP.m'. It is working very well for equality constrtaints. Is there an easy way to extend it to handle inequality constraints? Or do you provide this extended version?

Roji

Roji (view profile)

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)".

Roji

Roji (view profile)

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

Kind Regards

Maik

Maik (view profile)

Maik

Maik (view profile)

Leonardo

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Matlab Files Ch.9/Differential Evolution/Example Ackley/

Matlab Files Ch.9/Differential Evolution/Example Constraints/

Matlab Files Ch.9/Heston Caliration SQP, DE, SA/

Matlab Files Ch.9/Heston Caliration SQP, DE, SA/Simulated Annealing/

Matlab Files Ch.9/Heston Caliration SQP, DE, SA/SQP/

Matlab Files Ch.9/LBFGS/FMINLBFGS/

Matlab Files Ch.9/LBFGS/

Matlab Files Ch.9/LevenbergMarquardt/

Matlab Files Ch.9/NelderMeadSimplex/

Matlab Files Ch.9/SimulatedAnnealing/

Matlab Files Ch.9/SQP/

Matlab Files Ch.9/SQP/SQP/