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18 Dec 2012 Optimization and Calibration We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. Author: Kienitz Wetterau FinModelling

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 Optimization and Calibration We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. Author: Kienitz Wetterau FinModelling

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

Kind Regards

09 Dec 2012 FinancialModelling_Ch2_ImpliedVolatility Carr-Madan and Lewis pricing methods using FFT for many advanced financial models Author: Kienitz Wetterau FinModelling

Amazing book and code Sirs. Thank-you.

Just one issue: one running >> TestScriptVolSmileHeston
This error pops up:
Maximum variable size allowed by the program is exceeded.

Error in CallPricingFFT (line 53)
uvec = 1:FFT_N;

Error in TestScriptVolSmileHeston (line 52)
FFTopt(j,:) = CallPricingFFT('Heston',S,K,T(j),r,d,vInst,vLong,kappa,omega,rho);

Why is it?

Best Regards

10 Jul 2012 Fuzzy CART Generates fuzzy rules of fuzzy inference system (FIS) using CART algorithm and ANFIS training Author: Konstantin Sidelnikov

Thank-you Konstantin.

10 Jul 2012 Fuzzy CART Generates fuzzy rules of fuzzy inference system (FIS) using CART algorithm and ANFIS training Author: Konstantin Sidelnikov

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