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Optimization and Calibration

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 (2019). Optimization and Calibration (https://www.mathworks.com/matlabcentral/fileexchange/38359-optimization-and-calibration), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (7)

jw chen

thanks!it is much better if you could tell us how to use them

Marc Matten

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?

Roji

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)".

Roji

"Differential Evolution" subfolder is missing in the "Heston Caliration SQP, DE, SA" folder.

Kind Regards

Maik

Maik

Leonardo

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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/