Computational Optimization Methods in Statistics, Econometrics and Finance
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Matlab and R functions for "Calibrating Option Pricing Models with Heuristics"
OptionCalibration.zip
(~85kb) contains the code and instructions. Also see working paper:
Calibrating Option Pricing Models with Heuristics
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‹ COMISEF Fellows’ Workshop on Numerical Methods and Optimisation in Finance
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R functions for "Calibrating the Nelson–Siegel–Svensson model" ›
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