Parameter identification in financial market models with a feasible point SQP algorithm

DOI10.1007/S10589-010-9369-8MaRDI QIDQ429503zbMATH OpenOpenAlexFDO

Authors F. Gerlich, A. M. Giese, Ekkehard W. Sachs, Jan H. Maruhn

Publication date 19 June 2012

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-010-9369-8

zbMATH Keywords

parameter identificationstochastic volatility modelsfeasibility perturbed sequential quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Filtering in stochastic control theory (93E11) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3963585 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A Feasible Trust-Region Sequential Quadratic Programming Algorithm
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A computationally efficient feasible sequential quadratic programming algorithm
• A numerically stable dual method for solving strictly convex quadratic programs
• Calibration of local volatility using the local and implied instantaneous variance
• Computational Methods for Option Pricing
• Computing a nearest symmetric positive semidefinite matrix
• Hybrid simulated annealing and direct search method for nonlinear unconstrained global optimization
• Identification of the local speed function in a Lévy model for option pricing
• Linear Matrix Inequalities in System and Control Theory
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
• The pricing of options and corporate liabilities
• Trust Region Methods

Cited in

(3)

• Adjoint-based Monte Carlo calibration of financial methods
• Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
• Full and fast calibration of the Heston stochastic volatility model

Describes a project that uses

Uses Software

• Ipopt
• SDPA

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