Parameter identification in financial market models with a feasible point SQP algorithm (Q429503): Difference between revisions

@@ Property / author @@
-Jan H. Maruhn
@@ Property / author: Jan H. Maruhn / rank @@
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@@ Property / author @@
+Jan H. Maruhn
@@ Property / author: Jan H. Maruhn / rank @@
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+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E11
@@ Property / Mathematics Subject Classification ID: 93E11 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C20
@@ Property / Mathematics Subject Classification ID: 90C20 / rank @@
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@@ Property / zbMATH DE Number @@
+6048083
@@ Property / zbMATH DE Number: 6048083 / rank @@
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@@ Property / zbMATH Keywords @@
+parameter identification
@@ Property / zbMATH Keywords: parameter identification / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility models
@@ Property / zbMATH Keywords: stochastic volatility models / rank @@
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@@ Property / zbMATH Keywords @@
+feasibility perturbed sequential quadratic programming
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+Ipopt
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+https://doi.org/10.1007/s10589-010-9369-8
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+W2092924145
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@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Linear Matrix Inequalities in System and Control Theory
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@@ Property / cites work @@
+Trust Region Methods
@@ Property / cites work: Trust Region Methods / rank @@
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@@ Property / cites work @@
+A numerically stable dual method for solving strictly convex quadratic programs
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+Hybrid simulated annealing and direct search method for nonlinear unconstrained global optimization
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+Q3731381
@@ Property / cites work: Q3731381 / rank @@
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Computing a nearest symmetric positive semidefinite matrix
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+Q4368791
@@ Property / cites work: Q4368791 / rank @@
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@@ Property / cites work @@
+A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm
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+Identification of the local speed function in a Lévy model for option pricing
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@@ Property / cites work @@
+Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
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+Calibration of local volatility using the local and implied instantaneous variance
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+On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
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@@ Property / cites work @@
+A Feasible Trust-Region Sequential Quadratic Programming Algorithm
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@@ links / mardi / name / links / mardi / name @@
+Publication:429503