Parameter identification in financial market models with a feasible point SQP algorithm (Q429503): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E11 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6048083 / rank | |||
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parameter identification | |||
| Property / zbMATH Keywords: parameter identification / rank | |||
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stochastic volatility models | |||
| Property / zbMATH Keywords: stochastic volatility models / rank | |||
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feasibility perturbed sequential quadratic programming | |||
| Property / zbMATH Keywords: feasibility perturbed sequential quadratic programming / rank | |||
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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 |
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Parameter identification in financial market models with a feasible point SQP algorithm (English)
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19 June 2012
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parameter identification
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stochastic volatility models
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feasibility perturbed sequential quadratic programming
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