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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 (6)
29 Jun 2016 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?

18 Dec 2012 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)".

11 Dec 2012 Roji

Roji (view profile)

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

Kind Regards

18 Nov 2012 Maik

Maik (view profile)

 
18 Nov 2012 Maik

Maik (view profile)

 
01 Oct 2012 Leonardo  

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