Optimization and Calibration

version 1.0.0.0 (198 KB) by Kienitz Wetterau FinModelling

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.

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Updated 26 Sep 2012

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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 (2022). Optimization and Calibration (https://www.mathworks.com/matlabcentral/fileexchange/38359-optimization-and-calibration), MATLAB Central File Exchange. Retrieved August 10, 2022.

MATLAB Release Compatibility

Created with R2012a

Compatible with any release

Platform Compatibility

Windows macOS Linux

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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/

fminlbfgs.m