Essays about: "BOBYQA"

Found 1 essay containing the word BOBYQA.

  1. 1. Parameter Estimation of the Pareto-Beta Jump-Diffusion Model in Times of Catastrophe Crisis

    University essay from Tillämpad matematik och fysik (CAMP)

    Author : Wojciech Reducha; [2011]
    Keywords : Financial Mathematics; Calibration; Parameter Estimation; MLE; Likelihood; BOBYQA; Jump-diffusion; Pareto-Beta;

    Abstract : Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. READ MORE