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

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-Jan H. Maruhn
@@ Property / author: Jan H. Maruhn / rank @@
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+Jan H. Maruhn
@@ Property / author: Jan H. Maruhn / rank @@
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+W2092924145
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+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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+Linear Matrix Inequalities in System and Control Theory
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+Trust Region Methods
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+Computing a nearest symmetric positive semidefinite matrix
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+Q4368791
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+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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+Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
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+A Feasible Trust-Region Sequential Quadratic Programming Algorithm
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@@ links / mardi / name / links / mardi / name @@
+Publication:429503