Parameter identification in financial market models with a feasible point SQP algorithm
type: Item
instance of: scholarly article
title: Parameter identification in financial market models with a feasible point SQP algorithm
zbMATH Open document ID: 1241.91147
author: F. Gerlich
author: A. M. Giese
author: Ekkehard W. Sachs
author: Jan H. Maruhn
published in: Computational Optimization and Applications
publication date: 2012-06-19T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 6048083
zbMATH Keywords: parameter identification
zbMATH Keywords: stochastic volatility models
zbMATH Keywords: feasibility perturbed sequential quadratic programming
describes a project that uses: Ipopt
describes a project that uses: SDPA
MaRDI profile type: Publication
full work available at URL: s10589-010-9369-8
OpenAlex ID: W2092924145
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DOI: 10.1007/S10589-010-9369-8
description: scientific article; zbMATH DE number 6048083