Optimization and Calibration
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
Cite As
Kienitz Wetterau FinModelling (2021). Optimization and Calibration (https://www.mathworks.com/matlabcentral/fileexchange/38359-optimization-and-calibration), MATLAB Central File Exchange. Retrieved .
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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/
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thanks！it is much better if you could tell us how to use them
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?
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)".
"Differential Evolution" subfolder is missing in the "Heston Caliration SQP, DE, SA" folder.
Kind Regards