Optimization and Calibration

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.

Illustration of Chapter 9 of the book.

We cover genetic algorithms as well as Newton based optimizers.

Especially, we provide a SQP method which is a local optimizer that is globally convergent. we can specify a wide range of boundary conditions.

All this is applied to calibration of financial pricing models