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updated almost 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)

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updated almost 4 years ago

FMINLBFGS: Fast Limited Memory Optimizer by Dirk-Jan Kroon

Quasi newton limited memory BFGS and Steepest decent optimizer for large amount of unknowns (optimization, optimizer, bfgs)

fminlbfgs.m

myfun(x)

example.m

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