Optimization and Calibration
Version 1.0.0.0 (198 ko) par
Kienitz Wetterau FinModelling
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
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
Citation pour cette source
Kienitz Wetterau FinModelling (2024). Optimization and Calibration (https://www.mathworks.com/matlabcentral/fileexchange/38359-optimization-and-calibration), MATLAB Central File Exchange. Récupéré le .
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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/SQP/
Matlab Files Ch.9/Heston Caliration SQP, DE, SA/Simulated Annealing/
Matlab Files Ch.9/LBFGS/
Matlab Files Ch.9/LBFGS/FMINLBFGS/
Matlab Files Ch.9/LevenbergMarquardt/
Matlab Files Ch.9/NelderMeadSimplex/
Matlab Files Ch.9/SQP/
Matlab Files Ch.9/SQP/SQP/
Matlab Files Ch.9/SimulatedAnnealing/
Version | Publié le | Notes de version | |
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1.0.0.0 |