Optimization and Calibration
Updated 26 Sep 2012
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
Kienitz Wetterau FinModelling (2023). Optimization and Calibration (https://www.mathworks.com/matlabcentral/fileexchange/38359-optimization-and-calibration), MATLAB Central File Exchange. Retrieved .
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