Parameter identification in financial market models with a feasible point SQP algorithm (Q429503): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G80 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 93E11 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 90C20 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6048083 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
parameter identification | |||
Property / zbMATH Keywords: parameter identification / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
stochastic volatility models | |||
Property / zbMATH Keywords: stochastic volatility models / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
feasibility perturbed sequential quadratic programming | |||
Property / zbMATH Keywords: feasibility perturbed sequential quadratic programming / rank | |||
Normal rank |
Revision as of 23:33, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Parameter identification in financial market models with a feasible point SQP algorithm |
scientific article |
Statements
Parameter identification in financial market models with a feasible point SQP algorithm (English)
0 references
19 June 2012
0 references
parameter identification
0 references
stochastic volatility models
0 references
feasibility perturbed sequential quadratic programming
0 references