Parameter identification in financial market models with a feasible point SQP algorithm

DOI10.1007/s10589-010-9369-8zbMath1241.91147OpenAlexW2092924145MaRDI QIDQ429503

Ekkehard W. Sachs, F. Gerlich, A. M. Giese, Jan H. Maruhn

Publication date: 19 June 2012

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-010-9369-8

zbMATH Keywords

parameter identificationstochastic volatility modelsfeasibility perturbed sequential quadratic programming

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Quadratic programming (90C20) Financial applications of other theories (91G80)

Related Items (2)

Full and fast calibration of the Heston stochastic volatility model ⋮ Adjoint-based Monte Carlo calibration of financial methods

Uses Software

• SDPA
• Ipopt

Cites Work

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• Trust Region Methods
• A Feasible Trust-Region Sequential Quadratic Programming Algorithm
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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