Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated 2 years ago

Optimization and Calibration by Kienitz Wetterau FinModelling

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. (heston, optimizer, sqp)

BoundConstraints(xvec,lb,ub,varargin)

BoundConstraints(xvec,lb,ub,varargin)

CharacteristicFunctionLib(model,u,T,r,d,params)

Contact us